Showing 1 - 10 of 101
Dans la plupart des pays développés, les marchés financiers ont connu un essor rapide et important entre les années 1970 et 1990, après une longue période où ils ont occupé une place mineure dans le financement de l’économie. Cette phase n’est pas sans précédent, dans la mesure...
Persistent link: https://www.econbiz.de/10011162101
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts’s daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We...
Persistent link: https://www.econbiz.de/10011166443
We consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process $S$ over $[0, T]$. Every option price is defined as the conditional expectation under a given equivalent (true)...
Persistent link: https://www.econbiz.de/10011074294
Persistent link: https://www.econbiz.de/10010708369
L e capitalisme financier est entré dans une crise profonde en 2007. Cette crise, d’abord bancaire et localisée dans le marché du crédit immobilier américain, est rapidement devenue mondiale, financière et réelle. Elle a remis en cause la forte croissance dont bénéficiait...
Persistent link: https://www.econbiz.de/10011072946
Le présent article analyse l’efficience du marché des changes. L’article reconsidère la définition originelle de l’efficience au sens de Fama (1965) en mettant en lumière les différentes contradictions internes de cette définition. Partant de là, trois définitions de...
Persistent link: https://www.econbiz.de/10011074576
provide some analytical (using Random Matrix Theory) and numerical benchmarks. We find that downward index trends increase the …
Persistent link: https://www.econbiz.de/10011166376
Understanding the relationships among multivariate assets would help one greatly about how best to position one’s investments and enhance one’s financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous...
Persistent link: https://www.econbiz.de/10011166406
We provide a price characterization of efficient contingent claims - that is, chosen by at least a rational agent - in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency...
Persistent link: https://www.econbiz.de/10011166429
We propose a general framework to study the stability of the subspace spanned by P consecutive eigenvectors of a generic symmetric matrix H0 when a small perturbation is added. This problem is relevant in various contexts, including quantum dissipation (H0 is then the Hamiltonian) and financial...
Persistent link: https://www.econbiz.de/10011166454