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25 research outputs found

Liquidation Process Optimisation and Swing Option

Author: C Kamtchueng
C Kamtchueng
C Kamtchueng
C Kamtchueng
C Kamtchueng
Christian Kamtchueng
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

Autocallable More American Than European?

Author: C Kamtchueng
C Kamtchueng
C P Fries
Christian Kamtchueng
G Deng
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Measure of the Information Relevance

Author: C Kamtchueng
C Kamtchueng
Christian Kamtchueng
M Jeanblanc
Publication venue: 'Elsevier BV'
Publication date: 01/01/2014
Field of study

Collateral and PDE

Author: ?
? -P
? ? S
C Kamtchueng
C Kamtchueng
C Kamtchueng
Christian Kamtchueng
D
F Black
R C Merton
R C Merton
V Piterbarg
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

FVA, Modelling and Netting Arbitrage - Introduction

Author: A Castagna
C Burgard
C Fries
C Kamtchueng
C Kamtchueng
C Kamtchueng
C Kamtchueng
Christian Kamtchueng
J Hull
J Hull
M Morini
S Alavian
S Laughton
V Piterbarg
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

CVA Implied Vol and Netting Arbitrage II Application

Author: A Castagna
B Dupire
C Burgard
C Ech-Chabtbi
C Kamtchueng
C Kamtchueng
C Kamtchueng
C Kamtchueng
Christian Kamtchueng
F Black
R C Merton
R C Merton
S Alavian
S L Heston
V Piterbarg
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Digital Pricing and Hedging

Author: B Dupire
C Kamtchueng
C Kamtchueng
Christian Kamtchueng
F Black
M Avellaneda
R C Merton
S L Heston
Publication venue: 'Elsevier BV'
Publication date: 01/01/2010
Field of study

Incomplete Market and Information Relevance Response to the No Believer on Self Finance Replication Strategy

Author: C Kamtchueng
C Kamtchueng
C Kamtchueng
Christian Kamtchueng
H E Leland
I Gikhman
M Avellaneda
M H A Davis
M Jeanblanc
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

Nothing is Clear about Clearing!

Author: C Boissel
Christian Kamtchueng
D Duffie
Kamtchueng Christian
Kamtchueng Christian
Simon Porcher
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

CVA Implied Volatility and Netting Arbitrage Introduction

Author: C Kamtchueng
Christian Kamtchueng
D Brigo
S Alavian
T R Bielecki
V Piterbarg
Y Elouerkhaoui
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

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