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A fast subsampling method for nonlinear dynamic models

Hong, H.; Scaillet, O. - In: Journal of econometrics 133 (2006) 2, pp. 557-578

Persistent link: https://www.econbiz.de/10007287909

Compound and exchange options in the affine term structure model

Scaillet, O. - In: Applied Mathematical Finance 3 (1996) 1, pp. 75-92

We present explicit formulae allowing us to price compound and exchange options in the framework of the affine term structure model. The various proposed options deal with discount bonds, coupon bonds and yields. A probabilistic approach is adopted in order to find closed-form pricing formulae....

Persistent link: https://www.econbiz.de/10009279059

Unemployment insurance and mortgages

Gourieroux, C.; Scaillet, O. - In: Insurance / Mathematics & economics 20 (1997) 3, pp. 173-196

Persistent link: https://www.econbiz.de/10006922056

Local Transformation Kernel Density Estimation of Loss Distributions

Gustafsson, J.; Hagmann, M.; Nielsen, J.P.; Scaillet, O. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10008248864

WORKSHOP - Testing for Concordance Ordering

Cebrián, A.C.; Denuit, M.; Scaillet, O. - In: Astin bulletin : the journal of the International … 34 (2004) 1, pp. 151-174

Persistent link: https://www.econbiz.de/10008214647

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Scaillet, O. - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 115-130

Persistent link: https://www.econbiz.de/10008214997

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

Leblanc, B.; Renault, O.; Scaillet, O. - In: Finance and stochastics 4 (2000) 1, pp. 109

Persistent link: https://www.econbiz.de/10008217586

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, J.-P.; Prigent, J.-L.; Scaillet, O. - In: Finance and stochastics 4 (2000) 1, pp. 81-94

Persistent link: https://www.econbiz.de/10008217589

THEORY AND CALIBRATION OF SWAP MARKET MODELS

Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 111-142

Persistent link: https://www.econbiz.de/10008222123

Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

Lahiani, A.; Scaillet, O. - In: International journal of forecasting 25 (2009) 2, pp. 418-428

Persistent link: https://www.econbiz.de/10008231943