This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

We consider a nonparametric random design regression model in which the response variable is possibly right censored. The aim of this paper is to estimate the conditional destribution function and the conditional x-quantile of the response variable. We restrict attention to the case where the...

The infinite source Poisson model is a fluid queue approximation of network data transmission that assumes that sources begin constant rate transmissions of data at Poisson time points for random lengths of time. This model has been a popular one as analysts attempt to provide explantations for...

We analyze a model related to the strategic hereding literature where a second expert maximises his expected second period vvalue by conforming witj a first expert ("herding"). In contrast to the herdinfg literature we assume that an agent is most valuable if he is the only smart agent. We...

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.

L'objet de cet article est de presenter une synthese de la litterature theorique concernant les interactions entre strategies financieres et strategies de production.