Didier KOUOKAP YOUMBI
Quantitative Analyst
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Papers in finance
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
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2014
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