Areski Cousin

Publication Activity (10 Years)

Years Active: 2013-2021
Publications (10 Years): 3

Top Topics

Portfolio Optimization

Top Venues

J. Optim. Theory Appl.

SIAM J. Financial Math.

SIAM J. Control. Optim.

Eur. J. Oper. Res.

Publications

Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew F. Dixon, Djibril Gueye
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints. SIAM J. Financial Math. 12 (3) (2021)
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc
Adaptive Robust Control under Model Uncertainty. SIAM J. Control. Optim. 57 (2) (2019)
Areski Cousin, Hassan Maatouk, Didier Rullière
Kriging of financial term-structures. Eur. J. Oper. Res. 255 (2) (2016)
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. J. Optim. Theory Appl. 161 (1) (2014)
Areski Cousin, Elena Di Bernardino
On multivariate extensions of Value-at-Risk. J. Multivar. Anal. 119 (2013)