Currently displaying 1 – 15 of 15

Showing per page

Order by Relevance | Title | Year of publication

Dependent defaults and losses with factor copula models

Damien AckererThibault Vatter — 2017

Dependence Modeling

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss...

How humans fly

Alain AjamiJean-Paul GauthierThibault MaillotUlysse Serres — 2013

ESAIM: Control, Optimisation and Calculus of Variations

This paper is devoted to the general problem of reconstructing the cost from the observation of trajectories, in a problem of optimal control. It is motivated by the following applied problem, concerning HALE drones: one would like them to decide by themselves for their trajectories, and to behave at least as a good human pilot. This applied question is very similar to the problem of determining what is minimized in human locomotion. These starting points are the reasons for the particular classes...

Page 1

Download Results (CSV)