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Bouleau, Nicolas - HAL - 2012

The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...

Persistent link: https://www.econbiz.de/10010899270

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

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

Sunshine-Factor Model with Treshold GARCH for Predicting Temperature of Weather Contracts

Hamisultane, Hélène - HAL - 2008

on the volatility by estimating a structural model with a periodic threshold GARCH. We show that this model provides …

Persistent link: https://www.econbiz.de/10008794220

Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.

Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2008

This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model, which we name Hierarchical RSDC, is building with the hierarchical generalization...

Persistent link: https://www.econbiz.de/10008794823

Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)

Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2011

This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named Hierarchical RSDC (HRSDC), has been built with the hierarchical...

Persistent link: https://www.econbiz.de/10009151637

Values for Markovian coalition processes

Faigle, Ulrich; Grabisch, Michel - HAL - 2012

Time series of coalitions (so-called scenarios) are studied that describe processes of coalition formation where several players may enter or leave the current coalition at any point in (discrete) time and convergence to the grand coalition is not necessarily prescribed. Transitions from one...

Persistent link: https://www.econbiz.de/10010899976

Markov switching quadratic term structure models

Goutte, Stéphane - HAL - 2013

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends...

Persistent link: https://www.econbiz.de/10010821155