This paper analyzes a family of multivariate point process models of correlated event timing
whose arrival intensity is driven by an affine jump diffusion. The components of an affine …

… Eymen Errais and Kay Giesecke …

… Eymen Errais and Sarra Ben Miled Eymen Errais is an associate professor at the
University of Tunis in Tunis, Tunisia. eymen@stanfordalumni.org …

We propose a flexible framework for pricing single-name knock-out credit derivatives.
Examples include Credit Default Swaps (CDSs) and European, American and Bermudan CDS …

This paper explores private equity return drivers in African countries. We focus on factors
driven by macroeconomic, industry, and deal-level data instead of the classic investees …

We introduce a general discrete time dynamic framework to value pilot project investments
that reduce idiosyncratic uncertainty with respect to the final cost of a project. The model …

We introduce a simple extension of a shifted geometric Brownian motion for modelling
forward LIBOR rates under their canonical measures. The extension is based on a parameter …

Insurance plays an important economic and social role through its ability to transfer risk. In
this paper, we focus on the largest insurance sector, the automobile sector. We model …

This book perfectly combines financial modelling, mathematical rigor and numerical
implementation. While it belongs to the field of applied mathematics, the author didn’t refrain from …

In the last twenty years, caps, swaptions, and other interest rate derivatives have become
increasingly popular. This trend is well consolidated. In fact, as reported by the International …