Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 3

Search results for: Timothée Bligny

3 Cash Flow Optimization on Synthetic CDOs

Authors: Timothée Bligny, Clément Codron, Antoine Estruch, Nicolas Girodet, Clément Ginet

Abstract:

Collateralized Debt Obligations are not as widely used nowadays as they were before 2007 Subprime crisis. Nonetheless there remains an enthralling challenge to optimize cash flows associated with synthetic CDOs. A Gaussian-based model is used here in which default correlation and unconditional probabilities of default are highlighted. Then numerous simulations are performed based on this model for different scenarios in order to evaluate the associated cash flows given a specific number of defaults at different periods of time. Cash flows are not solely calculated on a single bought or sold tranche but rather on a combination of bought and sold tranches. With some assumptions, the simplex algorithm gives a way to find the maximum cash flow according to correlation of defaults and maturities. The used Gaussian model is not realistic in crisis situations. Besides present system does not handle buying or selling a portion of a tranche but only the whole tranche. However the work provides the investor with relevant elements on how to know what and when to buy and sell.

Keywords: Synthetic Collateralized Debt Obligation (CDO), Credit Default Swap (CDS), Cash Flow Optimization, Probability of Default, Default Correlation, Strategies, Simulation, Simplex.

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2 The Game of Col on Complete K-ary Trees

Authors: Alessandro Cincotti, Timothee Bossart

Abstract:

Col is a classic combinatorial game played on graphs and to solve a general instance is a PSPACE-complete problem. However, winning strategies can be found for some specific graph instances. In this paper, the solution of Col on complete k-ary trees is presented.

Keywords: Combinatorial game, Complete k-ary tree, Mapcoloring game.

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1 Recursive Similarity Hashing of Fractal Geometry

Authors: Timothee G. Leleu

Abstract:

A new technique of topological multi-scale analysis is introduced. By performing a clustering recursively to build a hierarchy, and analyzing the co-scale and intra-scale similarities, an Iterated Function System can be extracted from any data set. The study of fractals shows that this method is efficient to extract self-similarities, and can find elegant solutions the inverse problem of building fractals. The theoretical aspects and practical implementations are discussed, together with examples of analyses of simple fractals.

Keywords: hierarchical clustering, multi-scale analysis, Similarity hashing.

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