Tarek Fakhfakh

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We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a …rm’s assets, and computing the term structure of yield spreads and default probabilities. Our setting accommodates arbitrary corporate debts, multiple seniority classes, payouts, tax bene…ts, bankruptcy costs, and a reorganization process. This(More)
The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for American-style vanilla options by selected portfolios of call options. We provide an alternative interpretation of their numerical procedure as a stochastic dynamic program for which the Bellman value(More)
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