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Asset Pricing with Second-Order Esscher Transforms.

Monfort, A.; Pegoraro, F. - Banque de France - 2012

and its usefulness is testified by the specification and calibration of what we name the Second-Order GARCH Option Pricing … Model. The associated European Call option pricing formula generates a rich family of implied volatility smiles and skews …The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the …

Persistent link: https://www.econbiz.de/10010815981

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005036199

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005646662

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

inplemented. We successfully apply our method to the estimation of risk neutral densities that arise within a financial option … pricing context. …

Persistent link: https://www.econbiz.de/10005487055

Macro-prudential policy and the conduct of monetary policy.

Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2011

In this paper, we analyse the interactions between monetary and macro-prudential policies and the circumstances under which such interactions call for their coordinated implementation. We start with a review of the interdependencies between monetary and macro-prudential policies. Then, we use a...

Persistent link: https://www.econbiz.de/10010815922

Macro-Prudential Policy and the Conduct of Monetary Policy.

Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2012

Persistent link: https://www.econbiz.de/10010816001

Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1998

The Gram-Charlier expansion, where skewness and kurtosi directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The...

Persistent link: https://www.econbiz.de/10005036204

La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières

Coffinet, J. - Banque de France - 2008

Persistent link: https://www.econbiz.de/10008528497

Price as a choice under nonstochastic randomness in finance

Y, Ivanenko.; B, Munier. - Banque de France - 2012

Arrow-Debreu state preference approach to derivatives pricing is embedded into decision theoretical framework … pricing relation is obtained that extends classical relations for European contingent claims. The obtained structure happens …

Persistent link: https://www.econbiz.de/10010691595

Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.

Jondeau, E.; Rockinger, M. - Banque de France - 2000

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis …

Persistent link: https://www.econbiz.de/10005487056