With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share...

In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess the impact of a modification of the whole distribution of asset prices’ factors, rather than focusing as the common practices...

In literature, sales promotion effects on brand equity are often documented through econometric models. However, few empirical researches have investigated the consumer’s perception of this specific type of communication. Thus to fill the gap, this work aims at studying sales promotion effects...

2009 has been the year of many changes in the promotional practice in France. Retailers as well as Industrials have to face the crisis, the application of a new law – called LME (Economy Modernisation Law) and the hard – discounters in the mean time and in a feroce price war. Within this...

In the article, we want to study existence and valence of the signal given by a promotional communication, usually associated with a price discount. An individual utility model is used to analyse empirical data from Gabor & Granger study. Results show that signal increase price effect and that,...

We consider a multivariate financial market with proportional transaction costs as in Kabanov (1999). We study the problem of contingent claim pricing via utility maximization as in Hodges and Neuberger (1989). Using an exponential utility function, we derive a closed form characterization for...

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion "Samuelson" market model (also known as the Black-Scholes model because it is used in that most...

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...