Hatem Ben-Ameur

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Cahiers du GERAD

29 results — page 1 of 2

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We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation i...

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The structural model of Merton (1974) gives rise to multiple applications and extensions in corporate credit-risk analysis. The estimation of this fram...

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We use NORTA (NORmal To Anything) to enhance normal credit-risk factor settings in modeling common risk factors and capturing contagion effects...

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An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...

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Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

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We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...

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Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

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We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...

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We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

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We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

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We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

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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 Ame...

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This paper presents a non--technical account of the developments in tree--based methods for the analysis of survival data with censoring. This review desc...

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We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...

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This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

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The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

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The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

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Discrete-time survival data with time-varying covariates are often encountered in practice. One such example is bankruptcy studies where the status of each f...

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The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

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Tree-based methods are frequently used in studies with censored survival time. Their structure and ease of interpretability make them useful to identify p...

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