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A Neural Network Demand System
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
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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
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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
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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
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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
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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
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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
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The liquidity regimes and the prepayment option of a corporate loan in the finite horizon case
Papin, Timothée; Turinici, Gabriel - HAL - 2014
We investigate the prepayment option related to a corporate loan. The default intensity of the firm is supposed to follow a Cox-Ingersoll-Ross (CIR) process and the short interest rate is assumed constant. A liquidity term that represents the funding costs of the bank is introduced and modeled...
Persistent link: https://www.econbiz.de/10010936663
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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
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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