This paper deals with the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse.

This paper shows how financial contracts might be redesigned to allow for banks to manage the idiosyncratic component for their own accounts.

This paper publishes new results on immunization of bond portfolios.

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure.