Whereas the spatial integration has already been examined in commodity markets, empirical tests on temporal integration have never been carried out. Relying on the “preferred habitat” theory, which is applied to the crude oil market, this article investigates whether this market is segmented...

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

Cet article expose la problématique de la volatilité des prix des matières premières, montre quels sont les moyens pour s’en protéger et explique comment les employer. Les instruments de couverture sont présentés en première section, en distinguant le type de besoin auquel ils...

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...

This paper examines the determinants of the time it takes for an index options marketto be brought back to efficiency after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 – July 2001 period. Weaddress this issue through...

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Le rapport fait le point sur les interactions entre la volatilité des prix du pétrole et les stratégies des acteurs financiers. Il présente également les réflexions et actions en cours au niveau international pour améliorer le fonctionnement des marchés pétroliers. Et au final, il...

This paper examines how credit derivatives have changed the construction of an efficient portfolio. Credit derivatives provide a way of gaining exposure to credit risk alone, to the exclusion of interest rate risk. They also permit a relatively easy use of leverage. We examine two types of...

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,...