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Maxmin computation and optimal correlation in repeated games with signals
Gossner, Olivier; Laraki, Rida; Tomala, Tristan - HAL - 2004
d'optimisation défini sur l'ensemble des distributions de probabilités sous contraintes d'entropie. Cette article offre …
Persistent link: https://www.econbiz.de/10008793627
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La Biosphère selon Vernadsky : Contradiction du principe de Carnot
Loiret, Richard - HAL - 2012
résultats, dans ce cahier n°1. En posant que le vivant exerce une activité contrevenant à "l'entropie croissante de l … Biosphère (et l'Ecosphère) selon un "principe de coproduction entropie-néguentropie", qui va bien à l'encontre du discours …
Persistent link: https://www.econbiz.de/10010899807
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Une théorie de Shannon pour la connaissance
Ermine, Jean-Louis; Blanc, Benoit Le - HAL - 2007
Notre société dite société de l'information est en train de laisser la place à une société de la connaissance. La théorie de Shannon a permis de poser un cadre formel pour l'étude de l'information. Le présent papier propose une transposition de cette théorie à l'étude de la...
Persistent link: https://www.econbiz.de/10011026231
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Entropy and the value of information for investors
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - HAL - 2011
represented by the decrease in entropy of his beliefs, regardless of his preferences, initial wealth, or investment problem. We …
Persistent link: https://www.econbiz.de/10010930175
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An axiomatization of entropy of capacities on set systems
Honda, Aoi; Grabisch, Michel - HAL - 2008
We present an axiomatization of the entropy of capacities defined on set systems which are not necessarily the whole … power set, but satisfy a condition of regularity. This entropy encompasses the definition of Marichal and Roubens for the … entropy of capacities. Its axiomatization is in the spirit of the one of Faddeev for the classical Shannon entropy. In …
Persistent link: https://www.econbiz.de/10010750597
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Mitigating Supply Chain System Entropy by the Implementation of RFID
Saikouk, T.; Zouaghi, I.; Spalanzani, A. - HAL - 2011
entropy, namely the degree of disorder within a system. In this paper we assume that "complete" and "accurate" real …-time information sharing concerning product and inventory levels through RFID reduces entropy and limits its effects on the supply … informational entropy in the supply chain. …
Persistent link: https://www.econbiz.de/10011025782
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Martingalized Historical approach for Option Pricing
Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - HAL - 2010
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small: the...
Persistent link: https://www.econbiz.de/10010738536
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Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results
Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - HAL - 2008
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. The data set is the daily log returns of the French CAC40 index, on the period January 2, 1988, October 26, 2007. Under...
Persistent link: https://www.econbiz.de/10010738691
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Martingalized Historical approach for Option Pricing
Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - HAL - 2009
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small : the higher...
Persistent link: https://www.econbiz.de/10010738694
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Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges
Barrieu, Pauline; Bensusan, Harry; Karoui, Nicole El; … - HAL - 2012
This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood;...
Persistent link: https://www.econbiz.de/10008791882