Raphael Douady : Citation Profile


Are you Raphael Douady?

7

H index

5

i10 index

153

Citations

RESEARCH PRODUCTION:

12

Articles

84

Papers

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 6
   Journals where Raphael Douady has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 15 (8.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdo453
   Updated: 2024-01-16    RAS profile: 2022-11-24    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Raphael Douady.

Is cited by:

Blanchet, Thomas (10)

Gethin, Amory (5)

Chancel, Lucas (5)

Flores, Ignacio (5)

Santoro, Alessandro (4)

Roventini, Andrea (4)

Leung, Tim (3)

Potters, Marc (3)

Schlogl, Erik (3)

Ashraf, Badar Nadeem (3)

Chowdhury, Mohammad Ashraful (2)

Cites to:

Acharya, Viral (11)

Demirguc-Kunt, Asli (9)

Engle, Robert (7)

Laeven, Luc (7)

Levine, Ross (6)

Brunnermeier, Markus (5)

Lopez-de-Silanes, Florencio (5)

Berger, Allen (5)

La Porta, Rafael (5)

Shleifer, Andrei (5)

Fabozzi, Frank (4)

Main data


Where Raphael Douady has published?


Journals with more than one article published# docs
Quantitative Finance3
Physica A: Statistical Mechanics and its Applications2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL36
Post-Print / HAL29
Working Papers / HAL7
Papers / arXiv.org6
Documents de travail du Centre d'Economie de la Sorbonne / Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne6

Recent works citing Raphael Douady (2024 and 2023)


YearTitle of citing document
2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

Full description at Econpapers || Download paper

2023Generating drawdown-realistic financial price paths using path signatures. (2023). Wyns, Maarten ; Boudt, Kris ; Lemahieu, Emiel. In: Papers. RePEc:arx:papers:2309.04507.

Full description at Econpapers || Download paper

2023Regulatory oversight and bank risk. (2023). Yilmaz, Muhammed H ; Chronopoulos, Dimitris K. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308923000050.

Full description at Econpapers || Download paper

2023An analysis of natural disasters’ effects – A global comparative study of ‘Blessing in Disguise’. (2023). Banica, Alexandru ; Nijkamp, Peter ; Kourtit, Karima. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:88:y:2023:i:c:s003801212300099x.

Full description at Econpapers || Download paper

2023Wealth inequality in Latin America. (2023). Flores, Ignacio ; de Rosa, Mauricio ; Carranza, Rafael. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119426.

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2023The rollout of internal credit risk models: Implications for the novel partial-use philosophy. (2023). Woyand, Corinna ; Schlam, Carina. In: Discussion Papers. RePEc:zbw:bubdps:072023.

Full description at Econpapers || Download paper

Raphael Douady has edited the books:


YearTitleTypeCited

Works by Raphael Douady:


YearTitleTypeCited
2009The StressVaR: A New Risk Concept for Superior Fund Allocation In: Papers.
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2012Mathematical Definition, Mapping, and Detection of (Anti)Fragility In: Papers.
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2013Mathematical Definition, Mapping, and Detection of (Anti)fragility.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 18
paper
2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Mathematical Definition, Mapping, and Detection of (Anti)fragility.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 18
paper
2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Post-Print.
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2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Mathematical definition, mapping, and detection of (anti)fragility.(2013) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 18
article
2014On the Super-Additivity and Estimation Biases of Quantile Contributions In: Papers.
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paper21
2015On the super-additivity and estimation biases of quantile contributions.(2015) In: Physica A: Statistical Mechanics and its Applications.
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article
2014On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 21
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2015On the Super-Additivity and Estimation Biases of Quantile Contributions.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 21
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2014On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 21
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2015On the Super-Additivity and Estimation Biases of Quantile Contributions.(2015) In: Post-Print.
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2014On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 21
paper
2014The Precautionary Principle (with Application to the Genetic Modification of Organisms) In: Papers.
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2014The Precautionary Principle (with Application to the Genetic Modification of Organisms).(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 5
paper
2014The Precautionary Principle (with Application to the Genetic Modification of Organisms).(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 5
paper
2017An Empirical Approach to Financial Crisis Indicators Based on Random Matrices In: Papers.
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2018An empirical approach to financial crisis indicators based on random matrices.(2018) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 2
paper
2018An empirical approach to financial crisis indicators based on random matrices.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 2
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2018AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 2
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2020Tempered Stable Processes with Time Varying Exponential Tails In: Papers.
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2020Tempered Stable Processes with Time Varying Exponential Tails.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 3
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2021Tempered stable processes with time-varying exponential tails.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 3
paper
2021Tempered stable processes with time-varying exponential tails.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 3
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2020Tempered Stable Processes with Time Varying Exponential Tails.(2020) In: Working Papers.
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2022Tempered stable processes with time-varying exponential tails.(2022) In: Quantitative Finance.
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2017Introduction In: Accounting, Economics, and Law: A Convivium.
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2015Bank regulation, risk and return: Evidence from the credit and sovereign debt crises In: Journal of Banking & Finance.
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article29
2015Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has nother version. Agregated cites: 29
paper
2015Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 29
paper
2020A comparison of wealth inequality in humans and non-humans In: Physica A: Statistical Mechanics and its Applications.
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article1
2020A comparison of wealth inequality in humans and non-humans.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 1
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2020A comparison of wealth inequality in humans and non-humans.(2020) In: Post-Print.
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This paper has nother version. Agregated cites: 1
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2018Systemic Risk Indicators Based on Nonlinear PolyModel In: JRFM.
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In: .
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2011The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper1
2010The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 1
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2011The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation.(2011) In: Post-Print.
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This paper has nother version. Agregated cites: 1
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2010The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation.(2010) In: Post-Print.
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2012Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper12
2012Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator.(2012) In: Post-Print.
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This paper has nother version. Agregated cites: 12
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2012Financial crisis dynamics: attempt to define a market instability indicator.(2012) In: Quantitative Finance.
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2013Yield Curve Smoothing and Residual Variance of Fixed Income Positions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 5
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2013Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 5
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2014Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Post-Print.
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2014Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Financial Crisis and Contagion: A Dynamical Systems Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Financial Crisis and Contagion: A Dynamical Systems Approach.(2013) In: Post-Print.
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2014The Whys of the LOIS: Credit Skew and Funding Spread Volatility In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014The Whys of the LOIS: Credit Skew and Funding Spread Volatility.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 1
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2014The Whys of the LOIS: Credit Skew and Funding Spread Volatility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Extreme Risk, excess return and leverage: the LP formula In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Extreme Risk, excess return and leverage: the LP formula.(2014) In: Post-Print.
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2014Extreme Risk, excess return and leverage: the LP formula.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2002STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2002STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM.(2002) In: Post-Print.
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2000On Probability Characteristics of Downfalls in a Standard Brownian Motion In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2000On Probability Characteristics of Downfalls in a Standard Brownian Motion.(2000) In: Post-Print.
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2013The Whys of the LOIS: Credit Skew and Funding Rates Volatility In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013The Whys of the LOIS: Credit Skew and Funding Rates Volatility.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 1
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2013Lois: credit and liquidity In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Lois: credit and liquidity.(2013) In: Post-Print.
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2014A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk.(2014) In: Post-Print.
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2015Capital Adequacy, Pro-cyclicality and Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015Capital Adequacy, Pro-cyclicality and Systemic Risk.(2015) In: Post-Print.
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2015Capital Adequacy, Pro-cyclicality and Systemic Risk.(2015) In: International Series in Operations Research & Management Science.
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2014Modèles mathématiques et crise financière In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Modèles mathématiques et crise financière.(2014) In: Post-Print.
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2020Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2020Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 5
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2017Hamiltonian Flow Simulation of Rare Events In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Hamiltonian Flow Simulation of Rare Events.(2017) In: Working Papers.
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2017Optimal Transport Filtering with Particle Reweighing in Finance In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Optimal Transport Filtering with Particle Reweighing in Finance.(2017) In: Working Papers.
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2019Managing the Downside of Active and Passive Strategies: Convexity and Fragilities In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2019Managing the Downside of Active and Passive Strategies: Convexity and Fragilities.(2019) In: Post-Print.
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2019Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2019Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel.(2019) In: Post-Print.
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2020SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2020SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE.(2020) In: Working Papers.
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2020Crisis Risk Prediction with Concavity from Polymodel In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2022Crisis risk prediction with concavity from Polymodel.(2022) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2022Crisis risk prediction with concavity from Polymodel.(2022) In: Post-Print.
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2020Crisis Risk Prediction with Concavity from Polymodel.(2020) In: Working Papers.
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2017Financial Regulation in the EU: From Resilience to Growth In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Financial Regulation in the EU: From Resilience to Growth.(2017) In: Post-Print.
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This paper has nother version. Agregated cites: 2
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2019Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper0
2019Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses.(2019) In: Post-Print.
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2019Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses.(2019) In: World Scientific Book Chapters.
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2015A Pratical Approach to Financial Crisis Indicators Based on Random Matrices In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015A Pratical Approach to Financial Crisis Indicators Based on Random Matrices.(2015) In: Post-Print.
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2015A Practical Approach to Financial Crisis Indicators Based on Random Matrices.(2015) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2010On measuring nonlinear risk with scarce observations In: Finance and Stochastics.
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1999CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION In: International Journal of Theoretical and Applied Finance (IJTAF).
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1999CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION.(1999) In: World Scientific Book Chapters.
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2002BERMUDAN OPTION PRICING WITH MONTE-CARLO METHODS In: World Scientific Book Chapters.
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