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Abergel, Frédéric; Zaatour, Riadh - HAL - 2012

We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying, so its effects on option price dynamics are tested. Empirical results are confronted with the...

Persistent link: https://www.econbiz.de/10010541432

Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios

Amédée-Manesme, Charles-Olivier; Baroni, Michel; … - HAL - 2011

use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease … extent the options exercised by the tenant significantly affect the owner's income. Our main findings are that simulated cash … flows which take account of such options are more reliable that those usually computed by the traditional method of …

Persistent link: https://www.econbiz.de/10009647579

Are derivatives dangerous?

Capelle-Blancard, Gunther - HAL - 2010

Since the 1970s, the financial system has undergone deep structural changes. Innovation has been a key driver of these changes and most economists acknowledge that the impact has been positive overall. However, each time a financial crisis arises, the debate is on. Derivatives especially, which...

Persistent link: https://www.econbiz.de/10010605339

What drives option prices ?

Abergel, Frédéric; Zaatour, Riadh - HAL - 2012

Persistent link: https://www.econbiz.de/10010898539

Control-theoretic framework for a quasi-Newton local volatility surface inversion

Turinici, Gabriel - HAL - 2009

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...

Persistent link: https://www.econbiz.de/10008789569

Evaluation du crédit-bail et risque de crédit

Capiez, Alain - HAL - 2000

Malgré une similitude observée entre les contrats de leasing et les obligations à risque, les modèles classiques de détermination des loyers d'un contrat de crédit-bail se focalisent sur le risque attaché au matériel ou risque de valeur résiduelle et ignorent le risque de crédit. Nous...

Persistent link: https://www.econbiz.de/10009004239

Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - HAL - 2010

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...

Persistent link: https://www.econbiz.de/10008793854

How does investor sentiment affect stock market crises? Evidence from panel data

Zouaoui, M.; Nouyrigat, G.; Beer, F. - HAL - 2010

We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a...

Persistent link: https://www.econbiz.de/10008790351

The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests

Charles, Amélie; Darne, Olivier - HAL - 2009

This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992-2007. The hypothesis is tested with new multiple variance ratio tests - Whang-Kim subsampling and Kim's wild bootstrap tests - as well as the...

Persistent link: https://www.econbiz.de/10010898762

Share repurchase: Does it increase the informativeness of market prices?

Bruslerie, Hubert De La - HAL - 2013

Share repurchases are transactions which are supposed to cause a market reaction through a signaling approach. However looking only at cumulated abnormal returns (CARs) is insufficient and the results are sometimes contradictory. We introduce the concept of informativeness to assess if...

Persistent link: https://www.econbiz.de/10010898867