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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 resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting,...

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

Pricing Innovation: State of the Art and Automotive Applications

Chanaron, Jean-Jacques - HAL - 2008

The paper aims at elaborating on pricing and business models for forthcoming innovative ITS devices, limiting its scope … in particular to in-vehicle driving assistance systems and suggesting the various possible innovation and pricing … made by the fields of managerial economics and management sciences to the study of pricing strategies and practices and, in …

Persistent link: https://www.econbiz.de/10010549137

Equilibrium Pricing in Incomplete Markets

Bizid, Abdelhamid; Jouini, Elyès - HAL - 2005

. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …

Persistent link: https://www.econbiz.de/10010750418

Mark-up and Capital Structure of the Firm facing Uncertainty

Chatelain, Jean-Bernard - HAL - 2001

This note shows that, with pre-set price and capital decisions of firms facing uncertainty and financial market imperfections, price, mark up and the expected degree of capacity utilization (resp. capital) decreases (resp. increases) with the firm internal net worth.

Persistent link: https://www.econbiz.de/10010750432

Pricing of Non-redundant Derivatives in a Complete Market

Jouini, Elyès; Pierre-François, Koehl; Bizid, Abdelhamid - HAL - 1998

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framawork, we derive an equilibrium...

Persistent link: https://www.econbiz.de/10010750485

Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - HAL - 2008

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models for the underlying asset returns with Generalized Hyperbolic (GH) innovations that are potentially skewed and leptokurtic. Assuming that the stochastic discount factor is an...

Persistent link: https://www.econbiz.de/10010750905

Competition between wireless service providers sharing a radio resource

Maillé, Patrick; Tuffin, Bruno; Vigne, Jean-Marc - HAL - 2012

association game always has an equilibrium, but that several can exist. The pricing game is then solved by assuming that providers …

Persistent link: https://www.econbiz.de/10010898687

Is Energy Storage an Economic Opportunity for the Eco-Neighborhood?

Cadre, Hélène Le; Mercier, David - HAL - 2012

various pricing mechanisms: flat rate, peak and off-peak hour, blue/white/red day, peak day clearing and a dynamic update of … depends deeply on the implemented pricing mechanism and on the homogeneity in the houses' characteristics. Furthermore, when …

Persistent link: https://www.econbiz.de/10010593616

Les médicaments orphelins : rétrospective et perspectives du marché européen Orphan drugs : retrospective and prospective analysis of the european market

Fauvelle, Khristina - HAL - 2012

model, monopoly, pricing, size / cover / limits of the market) ? …

Persistent link: https://www.econbiz.de/10010630686

Window double barrier options

Guillaume, Tristan - HAL - 2003

implementation. Numerical results show that they compare very favourably with alternative pricing approaches in terms of accuracy and …

Persistent link: https://www.econbiz.de/10010820456