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Boelaert, Julien - HAL - 2013

We introduce a new type of demand system using a feedforward artificial neural network. The neural network demand system is a flexible system that requires few hypotheses, has no roots in consumer theory but may be used to test it. We use the system to estimate demand elasticities on micro data...

Persistent link: https://www.econbiz.de/10011026086

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

Cross-currency smile calibration

Turinici, Gabriel; Laillat, Marc - HAL - 2009

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …

Persistent link: https://www.econbiz.de/10008789152

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 …

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

Conditional Markov regime switching model applied to economic modelling.

Goutte, Stéphane - HAL - 2012

In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility … processes combined with two Markov regime switch- ing processes. In fact, the volatility structure of this model depends on a … identifies both mean reverting and volatility regimes switches. More- over, it allows us to give economic interpretations of this …

Persistent link: https://www.econbiz.de/10010821432

Calibration of local volatility using the local and implied instantaneous variance

Turinici, Gabriel - HAL - 2009

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first …

Persistent link: https://www.econbiz.de/10008791649

Equilibrium on International Assets and Goods Markets

Fontaine, Patrice; Van, Cuong Le - HAL - 2010

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

Persistent link: https://www.econbiz.de/10010603675

Model uncertainty and its impact on the pricing of derivative instruments

Cont, Rama - HAL - 2006

Model uncertainty, in the context of derivative pricing, can be defined as the uncertainty on the value of a contingent claim resulting from the lack of precise knowledge of the pricing model to be used for its valuation. We introduce here a quantitative framework for defining model uncertainty...

Persistent link: https://www.econbiz.de/10008792846

Option pricing for GARCH-type models with generalized hyperbolic innovations

Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - HAL - 2010

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic...

Persistent link: https://www.econbiz.de/10010549117

Valuation of the prepayment option of a perpetual corporate loan

Papin, Timothée; Turinici, Gabriel - HAL - 2013

We investigate in this paper a perpetual prepayment option related to a corporate loan. The default intensity of the rm is supposed to follow a CIR process. We assume the contractual margin of the loan is de ned by the credit quality of the borrower and the liquidity cost that re ects the...

Persistent link: https://www.econbiz.de/10009645476