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Areski COUSIN
Areski COUSIN
Professor, University of Strasbourg, France
Verified email at unistra.fr - Homepage
Title
Cited by
Cited by
Year
Mean field games and applications
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...
Paris-Princeton lectures on mathematical finance 2010, 205-266, 2011
8372011
The Skorokhod embedding problem and model-independent bounds for option prices
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...
Paris-Princeton lectures on mathematical finance 2010, 267-318, 2011
2662011
Pricing and hedging in exponential Lévy models: review of recent results
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...
Paris-Princeton Lectures on Mathematical Finance 2010, 319-359, 2011
1412011
On multivariate extensions of value-at-risk
A Cousin, E Di Bernardino
Journal of multivariate analysis 119, 32-46, 2013
1022013
Hedging default risks of CDOs in Markovian contagion models
JP Laurent, A Cousin, JD Fermanian
Quantitative Finance 11 (12), 1773-1791, 2011
882011
Kriging of financial term-structures
A Cousin, H Maatouk, D Rullière
European Journal of Operational Research 255 (2), 631-648, 2016
652016
About the pricing equations in finance
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...
Paris-Princeton Lectures on Mathematical Finance 2010, 63-203, 2011
582011
A multifractal mass transference principle for Gibbs measures with applications to dynamical Diophantine approximation
AH Fan, J Schmeling, S Troubetzkoy
Proceedings of the London Mathematical Society 107 (5), 1173-1219, 2013
552013
On multivariate extensions of conditional-tail-expectation
A Cousin, E Di Bernardino
Insurance: Mathematics and Economics 55, 272-282, 2014
542014
Dynamic hedging of portfolio credit risk in a Markov copula model
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Journal of Optimization Theory and Applications 161, 90-102, 2014
482014
Adaptive robust control under model uncertainty
TR Bielecki, T Chen, I Cialenco, A Cousin, M Jeanblanc
SIAM Journal on Control and Optimization 57 (2), 925-946, 2019
302019
Hedging CDO tranches in a Markovian environment
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...
Paris-Princeton Lectures on Mathematical Finance 2010, 1-61, 2011
292011
An overview of factor models for pricing CDO tranches
A Cousin, JP Laurent
Frontiers In Quantitative Finance, Ed. R. Cont, Wiley Finance, 2008
292008
Comparison results for exchangeable credit risk portfolios
A Cousin, JP Laurent
Insurance: Mathematics and Economics 42 (3), 1118-1127, 2008
282008
Beyond surrogate modeling: Learning the local volatility via shape constraints
M Chataigner, A Cousin, S Crépey, M Dixon, D Gueye
SIAM Journal on Financial Mathematics 12 (3), SC58-SC69, 2021
202021
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Communications in Statistics-Theory and Methods 43 (7), 1362-1389, 2014
192014
An extension of Davis and Lo's contagion model
A Cousin, D Dorobantu, D Rullière
Quantitative Finance 13 (3), 407-420, 2013
192013
A bottom-up dynamic model of portfolio credit risk. part I: Markov copula perspective
TR Bielecki, A Cousin, S Crépey, A Herbertsson
2012 Recent Advances in Financial Engineering: Proceedings of the …, 2014
182014
Paris-Princeton lectures on mathematical finance 2010
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...
Springer Science & Business Media, 2011
172011
Delta-hedging correlation risk?
A Cousin, S Crépey, YH Kan
Review of Derivatives Research 15, 25-56, 2012
162012
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