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Laurent Cousot, Ph.D.

Affiliations: 
2007 Mathematics New York University, New York, NY, United States 
Area:
Mathematics
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"Laurent Cousot"
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Robert Kohn grad student 2007 NYU
 (Constructions of martingales and of increasing processes with constrained marginal distributions.)

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Publications

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Carr P, Cousot L. (2012) Explicit constructions of martingales calibrated to given implied volatility smiles Siam Journal On Financial Mathematics. 3: 182-214
Amraoui S, Cousot L, Hitier S, et al. (2012) Pricing CDOs with state-dependent stochastic recovery rates Quantitative Finance. 12: 1219-1240
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