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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

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

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

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

Prepayment option of a perpetual corporate loan: the impact of the funding costs

Papin, Timothée; Turinici, Gabriel - HAL - 2014

We investigate in this paper a perpetual prepayment option related to a corporate loan. The short interest rate and default intensity of the firm are supposed to follow CIR processes. A liquidity term that represents the funding costs of the bank is introduced and modeled as a continuous time...

Persistent link: https://www.econbiz.de/10010820872

Short-time asymptotics for marginal distributions of semimartingales

Bentata, Amel; Cont, Rama - HAL - 2012

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior...

Persistent link: https://www.econbiz.de/10010821352

Martingalized Historical approach for Option Pricing

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

In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small: the...

Persistent link: https://www.econbiz.de/10010738536