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Fliess, Michel; Join, Cédric - HAL - 2010

See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.

Persistent link: https://www.econbiz.de/10008833330

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 … problems related to violent behaviors of the underlying, like the existence of jumps, become then quite straightforward by … incorporating them into the trends. Several convincing computer experiments are reported. …

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

Towards a new viewpoint on causality for time series

Fliess, Michel; Join, Cédric - HAL - 2014

Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those...

Persistent link: https://www.econbiz.de/10010899129

Systematic risk analysis: first steps towards a new definition of beta

Fliess, Michel; Join, Cédric - HAL - 2009

management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M …., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory …

Persistent link: https://www.econbiz.de/10008792703

The power of some standard tests of stationarity against changes in the unconditional variance

Ahamada, Ibrahim; Boutahar, Mohamed - HAL - 2010

Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this paper, we show that traditional KPSS-based tests have a low power against nonstationarities stemming from changes in the unconditional variance. More precisely, we show that...

Persistent link: https://www.econbiz.de/10010603693

A note on the risk management of CDOs

Laurent, Jean-Paul - HAL - 2006

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to...

Persistent link: https://www.econbiz.de/10008794771

Non-stationarity and meta-distribution

Guegan, Dominique - HAL - 2008

economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc …

Persistent link: https://www.econbiz.de/10010750362

Regime switching models : real or spurious long memory ?

Guegan, Dominique; Rioublanc, Stéphanie - HAL - 2005

In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior. Analyzing the value of sum of the transition probabilities and the number of switches inside such...

Persistent link: https://www.econbiz.de/10008792737

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman R. - HAL - 2011

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. We then...

Persistent link: https://www.econbiz.de/10010820706

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman R. - HAL - 2011

Persistent link: https://www.econbiz.de/10010820811