The paper introduces a new concept of asymmetry (contemporaneous asymmetry) in
conditional heteroskedasticity models. We propose an original class of models aimed to capture …

Provides an approach for pricing multivariate and partial look-back options or options with
several barriers using Monte Carlo stimulations. Unbiased Monte Carlo methods for path-…

This note applies techniques of absorbing Brownian motion with drift to derive solutions for
a large class of regime-switching problems, including the one posed by Flood and Garber (…

The paper proposes an original class of conditionally heteroskedastic models aimed to capture
a new concept of asymmetry. Not only past up and down moves of stock market returns …

… M, El Babsiri and Jean-Michel Zakoian … M, El Babsiri: Crest …

Temporal Aggregation and Tests of Arbitrage Pricing Theory IDEAS home Advanced search
Economic literature: papers, articles, software, chapters, books. Authors Institutions Rankings …

… result does not exactly solve the calibration problem exhibited in El Karoui (2007), it generates
empirical joint … He would like to thank Mohamed El Babsiri for supporting this work, as well …

We consider three sets of phenomena that feature prominently-and separately-in the financial
economics literature: conditional mean dependence (or lack thereof) in asset returns, …

… I would also like to thank Mohamed El Babsiri, Taoufik Cherif and Michel Crouhy for
encouraging me to make the effort to write a book from my lecture notes. My thanks to many who …

… L’alm et la gestion des risques bancaires ; la place de l’alm dans le dispositif de gestion
des … [12] M El Babsiri and D Dupré. Alm-techniques pour la gestion actif-passif. Economie …