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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

Volatility Models : from GARCH to Multi-Horizon Cascades

Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - HAL - 2009

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...

Persistent link: https://www.econbiz.de/10010738497

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

Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters

Berdjane, Belkacem; Pergamenshchikov, Sergei - HAL - 2012

We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown...

Persistent link: https://www.econbiz.de/10010821411

What drives option prices ?

Abergel, Frédéric; Zaatour, Riadh - HAL - 2012

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

Approximate hedging with proportional transaction costs in stochastic volatility models with jumps

Nguyen, Huu Thai; Pergamenchtchikov, Serguei - HAL - 2014

We extend the resutls for the problem of option replication under proportional transaction costs in \cite{Nguyen} to more general frameworks where stochastic volatility and jumps are combined to capture market's important features. In particular, we study the hedging error due to discrete...

Persistent link: https://www.econbiz.de/10010899695

Non linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédéric - HAL - 2014

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a stochastic volatility models. The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot...

Persistent link: https://www.econbiz.de/10011026142

INTELLECTUAL PROPERTY TOOLS, STANDARDS AND MARKET POSITIONING

Liotard, Isabelle - HAL - 2006

strengthening, more particularly in software and business methods areas because these informational goods could be viewed as generic …

Persistent link: https://www.econbiz.de/10008789602

Firms' contribution to open source software and the dominant skilled user

Jullien, Nicolas; Zimmermann, Jean-Benoît - HAL - 2008

: Free/libre or open-source software (FLOSS) is nowadays produced not only by individual benevolent developers but, in … that, beside factors like the importance of software as a core competence of the firm, the role of users on the related … empirical stylized facts drawn from the recent trends in the software industry …

Persistent link: https://www.econbiz.de/10008793932