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Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Fliess, Michel; Join, Cédric - HAL - 2008

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …

Persistent link: https://www.econbiz.de/10008791958

A class of models satisfying a dynamical version of the CAPM

Jouini, Elyès; Napp, Clotilde - HAL - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008793270

Energy Risk Management with Carbon Assets

Chevallier, Julien - HAL - 2009

the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal …

Persistent link: https://www.econbiz.de/10008793949

The CAPM versus the risk neutral pricing model

Pepin, Dominique - HAL - 2002

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …

Persistent link: https://www.econbiz.de/10010899378

Science-Industry Links and the Labour Markets for Ph.D.s

Lanciano-Morandat, Caroline; Nohara, Hiroatsu - HAL - 2006

The aim of this research was twofold: firstly to highlight how the current “hybridisation” of the academic and industrial rationales exerts its influence over the new production of young scientists; secondly to compare, between five OECD countries (USA, France, Great Britain, Japan and...

Persistent link: https://www.econbiz.de/10008791962

How do OECD donor countries distribute foreign aid among developing countries during their fiscal episodes?

Gnangnon, Sèna Kimm - HAL - 2013

In this paper, we investigate the effects of fiscal episodes in Organization for Economic Cooperation and Development (OECD) donor countries on the distribution of their aid expenditures towards developing countries. We use descriptive statistics provided by Alesina and Ardagna (2010) on fiscal...

Persistent link: https://www.econbiz.de/10010899478

Credit constraints and the cyclicality of R&D investment: Evidence from France

Aghion, Philippe; Askenazy, Philippe; Berman, Nicolas; … - HAL - 2008

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10010930234

Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

Persistent link: https://www.econbiz.de/10009360288

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … our estimation methodology with two empirical examples: the hedge fund losses of August 2007 and the Great Deleveraging …

Persistent link: https://www.econbiz.de/10010548433

Preliminary remarks on option pricing and dynamic hedging

Fliess, Michel; Join, Cédric - HAL - 2012

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

Persistent link: https://www.econbiz.de/10010551681