Didier KOUOKAP YOUMBI

Quantitative Analyst

Working Papers

• D. KOUOKAP YOUMBI, Derivatives pricing after the 2007 crisis ; Working paper. 2014
  
  
• D. KOUOKAP YOUMBI, A Short Note on Volatility Models ; Working paper. 2013
  
  
• D. KOUOKAP YOUMBI, Pricing of Options on Forward Bonds and Constant Maturity Treasury (CMT): A Monte Carlo Approach ; first version: April 2012. This version: January 2013
  
  
• D. KOUOKAP YOUMBI, Forward Volatility and Forward Underlying Move Estimations ; Working paper. July 2016
  
  
• D. KOUOKAP YOUMBI, Implementation of the free boundary SABR model ; Working paper. June 2017
  
  
• D. KOUOKAP YOUMBI, Construction of the Markowitz efficient frontier ; Working paper. Aug. 2017
  
  
• D. KOUOKAP YOUMBI, Pricing of CDS, BOND and CDO (With Stochastic (Krekel) and Constant Recovery Rate) ; Working paper. 2010
  
  
• D. KOUOKAP YOUMBI, CDS QUOTATIONS: Quoted spread, Upfront Fees and Running Spread ; Working paper. 2010
  
  
• D. KOUOKAP YOUMBI, Bond yield curve interpolation ; Working Paper. Feb. 2017
  
  
• D. KOUOKAP YOUMBI, 2 Factors Stochastic Volatility Models: Formula for the Variance Swap variance and asymptotic formula for the At The Money Forward (ATMF) Skew ; Master 2 degree internship report. 2008
  
  
• D. KOUOKAP YOUMBI, Realized Volatility of Volatility for a fixed maturity ; Working paper. 2010
  
  
• D. KOUOKAP YOUMBI, Calibration on historical term structure of Spot-Variance correlation ; Working paper. 2009
  
  
• D. KOUOKAP YOUMBI, Diffusion Schemes and Variance Positivity ; Working paper. 2009