Narrow search
Showing 1 - 10 of 27
Cover Image
Illiquidité, contagion et risque systémique
Dudek, Jérémy - Université Paris-Dauphine (Paris IX) - 2013
The aim of this thesis is to improve the management of financial risks through the employment of econometric methods … effects that market liquidity risks encounter. This procedure can be useful to provide a better management of the liquidity …
Persistent link: https://www.econbiz.de/10011074619
Cover Image
Arbitrage and control problems in finance: A presentation
Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10010708371
Cover Image
Arbitrage and control problems in finance: A presentation.
Jouini, Elyès - Université Paris-Dauphine - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10008800246
Cover Image
The number of securities giving the maximum return in the presence of transaction costs
Lajili, Souad; Rakotondratsimba, Yves - Université Paris-Dauphine (Paris IX) - 2008
An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...
Persistent link: https://www.econbiz.de/10010748209
Cover Image
Reconsidering asset allocation involving illiquid assets
Teiletche, Jérôme; Cao, Dan - Université Paris-Dauphine (Paris IX) - 2007
Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...
Persistent link: https://www.econbiz.de/10010706658
Cover Image
Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)
Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007
This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...
Persistent link: https://www.econbiz.de/10010905293
Cover Image
The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
Avouyi-Dovi, Sanvi; Idier, Julien - Université Paris-Dauphine (Paris IX) - 2012
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010706618
Cover Image
Ombres et lumières des ETF
Hamon, Jacques - Université Paris-Dauphine (Paris IX) - 2013
Exchange Traded Funds (ETF) are designed to track a benchmark. ETF facilitate asset management and contribute to reduce … management fees and transaction costs, they are traded like stocks at current price on continuous markets and meet an increasing … volatility but also strategies: inverseETFtry to achieve the opposite performance or leveragedETFthat seek to magnify the …
Persistent link: https://www.econbiz.de/10010707604
Cover Image
On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
Temam, Emmanuel; Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2005
In this note, we consider a general discrete time ¯nancial market with pro- portional transaction costs as in Kabanov and Stricker [4], Kabanov et al. [5], Kabanov et al. [6] and Schachermayer [10]. We provide a dual formulation for the set of initial endowments which allow to super-hedge some...
Persistent link: https://www.econbiz.de/10011073540
Cover Image
Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014
shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …
Persistent link: https://www.econbiz.de/10010799319