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Option pricing with discrete rebalancing
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - In: Journal of Empirical Finance 11 (2004) 1, pp. 133-161
Persistent link: https://www.econbiz.de/10005198994
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On ill-posedness of nonparametric instrumental variable regression with convexity constraints
Scaillet, Olivier - In: The econometrics journal 19 (2016) 2, pp. 232-236
Persistent link: https://www.econbiz.de/10011712183
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DURATION MODELS FOR CREDIT RATING MIGRATION : EVIDENCE FROM THE FINANCIAL CRISIS
Ben Ayed, Myriam; Karaa, Adel; Prigent, Jean-Luc - In: Economic Inquiry 56 (2018) 3, pp. 1870-1886
Persistent link: https://www.econbiz.de/10012089211
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On the stochastic dominance of portfolio insurance strategies
Maalej, Hela; Prigent, Jean-Luc - In: Journal of mathematical finance 6 (2016) 1, pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
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Preface: Decision making and risk/return optimization in financial economics
AitSahlia, Farid; Barone-Adesi, Giovanni; Clark, Ephraim; … - In: Decision making and risk/return optimization in …, (pp. 1-2). 2019
Persistent link: https://www.econbiz.de/10012127903
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Mixed-asset portfolio allocation under mean-reverting asset returns
Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; … - In: Decision making and risk/return optimization in …, (pp. 65-98). 2019
Persistent link: https://www.econbiz.de/10012127933
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Optimal portfolio positioning on multiple assets under ambiguity
Ben Ameur, Hachmi; Abbes, Mouna Boujelbène; Prigent, … - In: Computational economics 56 (2020) 1, pp. 21-57
Persistent link: https://www.econbiz.de/10012272015
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About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262
Persistent link: https://www.econbiz.de/10012272028
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Optimal positioning in financial derivatives under mixture distributions
Hentati-Kaffel, R.; Prigent, Jean-Luc - In: Economic modelling 52 (2016), pp. 115-124
Persistent link: https://www.econbiz.de/10011645569
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Equilibrium of financial derivative markets under portfolio insurance constraints
Bertrand, Philippe; Prigent, Jean-Luc - In: Economic modelling 52 (2016), pp. 278-291
Persistent link: https://www.econbiz.de/10011645654