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Pricing of non-redundant derivatives in a complete market.

Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine - 1999

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

Persistent link: https://www.econbiz.de/10008800245

Notations et écarts de rentabilité : le marché français avant l'euro.

Merli, Maxime; Alexandre, Hervé - Université Paris-Dauphine - 2003

French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of …

Persistent link: https://www.econbiz.de/10009002004

Corporate Finance: The Role of the Private Equity Funds in Restructuring of the Economic Productive Tissue.

Benslimane, Sonia; Poix, Michel - Université Paris-Dauphine

The question of financing innovative small business is determinant in the current context. Giving the share that they represent in the market, they contribute to increase productivity of the economy. The problems of financing the SME’s are related to the almost intangible specificity of their...

Persistent link: https://www.econbiz.de/10009291999

Crisis-Robust Bond Portfolios.

Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008

Persistent link: https://www.econbiz.de/10009364875

Do Inflation-Linked Bonds Still Diversify ?.

Brière, Marie; Signori, Ombretta - Université Paris-Dauphine - 2009

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly …. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds …, nominal bonds, and equities, in the USA and Europe. Using a DCC-MVGARCH for the period 1997-2007, we highlight the change that …

Persistent link: https://www.econbiz.de/10009364876

Volatility Exposure for Strategic Asset Allocation.

Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine - 2010

The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...

Persistent link: https://www.econbiz.de/10009364880

How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?.

Platten, Isabelle; Gresse, Carole; De Winne, Rudy - Université Paris-Dauphine

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF …-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as … because some large liquidity traders exit the underlying stocks’ market for the ETF market. Some statistics suggest that those …

Persistent link: https://www.econbiz.de/10009370244

The freight market and its interactions with the energy system.

Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10009370255

Intangibles mismeasurements, synergy, and accounting numbers : a note.

Ramond, Olivier; Casta, Jean-François; Bry, Xavier - Université Paris-Dauphine

For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major...

Persistent link: https://www.econbiz.de/10008520016

Systematic credit risk: CDX index correlation and extreme dependence.

Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine - 2008

Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common …

Persistent link: https://www.econbiz.de/10008520018