Raphael Douady
Names
first: 
Raphael 
last: 
Douady 
Contact
email: 

Affiliations

SUNY Stony Brook University Applied Math and Statistics Dept
 website
 location: USA, NY, Stony Brook
Research profile
author of:

On the SuperAdditivity and Estimation Biases of Quantile Contributions
by Nassim Nicholas Taleb & Raphaël Douady

The Whys of the LOIS: Credit Skew and Funding Spread Volatility
by Stéphane Crépey & Raphaël Douady

The Precautionary Principle (with Application to the Genetic Modification of Organisms)
by Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer BarYam

The Whys of the LOIS: Credit Skew and Funding Spread Volatility
by Stéphane Crépey & Raphaël Douady

The StressVaR: A New Risk Concept for Superior Fund Allocation
by Cyril Coste & Raphael Douady & Ilija I. Zovko

On measuring nonlinear risk with scarce observations
by Alexander Cherny & Raphael Douady & Stanislav Molchanov

Mathematical Definition, Mapping, and Detection of (Anti)Fragility
by Nassim Nicholas Taleb & Raphaël Douady

On the SuperAdditivity and Estimation Biases of Quantile Contributions
by Nassim N. Taleb & Raphael Douady

Mathematical Definition, Mapping, and Detection of (Anti)fragility
by N. N. Taleb & Raphaël Douady

On the SuperAdditivity and Estimation Biases of Quantile Contributions
by Nassim Nicholas Taleb & Raphaël Douady

On the superadditivity and estimation biases of quantile contributions
by Taleb, Nassim Nicholas & Douady, Raphael

An Empirical Approach to Financial Crisis Indicators Based on Random Matrices
by Antoine Kornprobst & Raphael Douady

Financial crisis dynamics: attempt to define a market instability indicator
by Youngna Choi & Raphael Douady

Yield Curve Smoothing and Residual Variance of Fixed Income Positions
by Raphaël Douady

Mathematical definition, mapping, and detection of (anti)fragility
by N. N. Taleb & R. Douady

Yield Curve Smoothing and Residual Variance of Fixed Income Positions
by Raphaël Douady

Mathematical Definition, Mapping, and Detection of (Anti)Fragility
by Nassim Nicholas Taleb & Raphaël Douady

A Pratical Approach to Financial Crisis Indicators Based on Random Matrices
by Antoine Kornprobst & Raphaël Douady

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
by Youngna Choi & Raphaël Douady

A Practical Approach to Financial Crisis Indicators Based on Random Matrices
by Antoine Kornprobst & Raphael Douady

Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises
by Hafiz Hoque & Dimitris Andriosopoulos & Kostas Andriosopoulos & Raphaël Douady

Financial Crisis and Contagion: A Dynamical Systems Approach
by Youngna Choi & Raphaël Douady

Bank regulation, risk and return: Evidence from the credit and sovereign debt crises
by Hoque, Hafiz & Andriosopoulos, Dimitris & Andriosopoulos, Kostas & Douady, Raphael

Mathematical Definition, Mapping, and Detection of (Anti)Fragility
by Nassim N. Taleb & Raphael Douady

Extreme Risk, excess return and leverage: the LP formula
by Olivier Le Marois & Julia Mikhalevski & Raphaël Douady

BERMUDAN OPTION PRICING WITH MONTECARLO METHODS
by RAPHAËL DOUADY
edited by

CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
by RAPHAEL DOUADY
edited by

Yield Curve Smoothing and Residual Variance of Fixed Income Positions
by Raphaël Douady

Extreme Risk, excess return and leverage: the LP formula
by Olivier Le Marois & Julia Mikhalevsky & Raphaël Douady

Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses
by Angela Armakola & Raphaël Douady & JeanPaul Laurent & Francesco Molteni

On the SuperAdditivity and Estimation Biases of Quantile Contributions
by Nassim Nicholas Taleb & Raphaël Douady

The Precautionary Principle (with Application to the Genetic Modification of Organisms)
by Nassim Nicholas Taleb & Rupert Read & Raphaël Douady & Joseph Norman & Yaneer BarYam

Lois: credit and liquidity
by Stéphane Crépey & Raphaël Douady

On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
by Raphaël Douady & A. N. Shiryaev & Marc Yor

Optimal Transport Filtering with Particle Reweighing in Finance
by Raphaël Douady & Shohruh Miryusupov

The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation
by Cyril Coste & Raphaël Douady & Ilija I. Zovko

Modèles mathématiques et crise financière
by Raphaël Douady

Capital Adequacy, Procyclicality and Systemic Risk
by Raphaël Douady

Hamiltonian Flow Simulation of Rare Events
by Raphaël Douady & Shohruh Miryusupov

STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM
by Claude Bardos & Raphaël Douady & Andrei Fursikov

A Noncyclical Capital Adequacy Rule and the Aversion of Systemic Risk
by Raphaël Douady

The Whys of the LOIS: Credit Skew and Funding Rates Volatility
by Stéphane Crépey & Raphaël Douady

CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
by RAPHAËL DOUADY

Introduction
by Le Theule FrançoisGilles & Douady Raphael & de Boissieu Christian

Systemic Risk Indicators Based on Nonlinear PolyModel
by Xingxing Ye & Raphael Douady

AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES
by RAPHAEL DOUADY & ANTOINE KORNPROBST