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Arbitrage and control problems in finance: A presentation.
Jouini, Elyès - Université Paris-Dauphine - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10008800246
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Arbitrage and investment opportunities.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2001
quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …
Persistent link: https://www.econbiz.de/10008800249
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Convenience Yield and Commodity Markets.
Lautier, Delphine - Université Paris-Dauphine - 2009
commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying …
Persistent link: https://www.econbiz.de/10009189924
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Endogenous liquidity and contagion
Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009
Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In this paper we propose a welfare-based...
Persistent link: https://www.econbiz.de/10010884503
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Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach
Hodgson, Douglas J; Linton, Oliver; Vorkink, Keith - London School of Economics (LSE) - 2000
We develop new tests of the capital asset pricing model which are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation...
Persistent link: https://www.econbiz.de/10010746304
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Modélisation du risque dans les méthodologies d'audit : apport de la psychométrie.
Mansour, Sadok - Université Paris-Dauphine
Le thème de la décision en situation d’incertitude a été abordé par les recherches en audit en utilisant des approches … en psychologie de la décision menées par Kahneman et Tversky. …Audit decision in risk situations was studied by researchers using normative and descriptive approaches issued from …
Persistent link: https://www.econbiz.de/10008529695
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Les informations comptables répondent-elles aux besoins informationnels des banquiers lors de l'octroi d'un crédit à une entreprise ?.
Rougès, Véronique - Université Paris-Dauphine
Les informations comptables sont supposées être utiles aux parties prenantes en situation de décision. Cette … communication s'interroge sur l'utilité des données comptables pour les banques lors de la décision de faire crédit à une entreprise …
Persistent link: https://www.econbiz.de/10008532316
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Professional Reputation, Cash, and Transition to Entrepreneurial Activity.
Loss, Frédéric; Renucci, Antoine - Université Paris-Dauphine
We analyze the role of professional reputation in the transition to entrepreneurial activity when credit is rationed. We study an employee's willingness to allow the market to learn information about talent by choosing more or less informative projects. This choice impacts the employee's...
Persistent link: https://www.econbiz.de/10008532658