Concepedia

Laurent Cousot

LC

Statistics

Publications

8

Citations

160

H-Index

8

Active since

2004

Affiliations

BNP Paribas (France)(Current)

Courant Institute of Mathematical Sciences

BNP Paribas (United Kingdom)

Université Paris 1 Panthéon-Sorbonne

New York University

Laurent Cousot is an author at BNP Paribas (France) specializing in financial economics, economics, and business.

Publications per year

2004–2012

8

Publications

8

Conditions on option prices for absence of arbitrage and exact calibration

Laurent Cousot · Journal of Banking & Finance · 2007 · 62 citations

, , +13

A Comparison between the SSRD Model and the Market Model for CDS Options Pricing

Damiano Brigo, Laurent Cousot · Research Portal (King's College London) · 2006 · 21 citations

, , +15

A Comparison between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing

Damiano Brigo, Laurent Cousot · SSRN Electronic Journal · 2004 · 16 citations · Full text

, , +17

Conditions on Option Prices for Absence of Arbitrage and Exact Calibration

Laurent Cousot · SSRN Electronic Journal · 2006 · 13 citations · Full text

, , +13

Pricing CDOs with state-dependent stochastic recovery rates

Salah Amraoui, Laurent Cousot, Sébastien Hitier et al. · Quantitative Finance · 2012 · 13 citations

, , +17

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