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We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behavior of a series of stocks or indexes… (More)

- Wim Schoutens, Sophie Ladoucette
- 2006

The one-factor Gaussian model is well-known not to fit simultaneously the prices of the different tranches of a collateralized debt obligation (CDO), leading to the implied correlation smile.… (More)

- Wim Schoutens
- 2001

In the Black-Scholes option price model Brownian motion and the underlying Normal distribution play a fundamental role. Empirical evidence however shows that the normal distribution is a very poor… (More)

- José Manuel Corcuera, David Nualart, Wim Schoutens
- Finance and Stochastics
- 2005

We work under a geometric Lévy market model: the stock price process is modelled by a SDE driven by a general Lévy process (taking into account jumps). Except for the geometric Brownian model and the… (More)

Credit default swaps (CDSs), the basic building block of the credit risk market, offer investors the opportunity to either buy or sell default protection on a reference entity. The protection buyer… (More)

- Marc Decamps, Marc Goovaerts, Wim Schoutens
- 2004

In this paper, we study a new class of tractable diffusions suitable for model’s primitives of interest rates. We consider scalar diffusions with scale s(x) and speed m(x) densities discontinuous at… (More)

- Peter Carr, Wim Schoutens
- 2007

In this paper we will explain how to perfectly hedge under Heston’s stochastic volatility model with jump to default, which is in itself a generalization of the Merton jump-to-default model and a… (More)

In this paper we present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge… (More)

The stock price process is modelled by a geometric Lévy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are… (More)

- Andrew Chernih, Steven Vanduffel, +4 authors Wim Schoutens
- 2006

The Basel II Accord outlines a general framework for determining regulatory capital requirements for credit risk portfolios. Different obligors usually operate in dependent socio-economic… (More)