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High dimensionality in finance: a graph-theory analysis
Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2012
Persistent link: https://www.econbiz.de/10010960549
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Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
Féron, Olivier; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012
We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound autoregressive (or affine) stochastic processes. We show that...
Persistent link: https://www.econbiz.de/10010861561
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The cross-market index for volatility surprise
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based … on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves …
Persistent link: https://www.econbiz.de/10010781511
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Volatility returns with vengeance: Financial markets vs. commodities
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015
To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …
Persistent link: https://www.econbiz.de/10011205311
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Systematic credit risk: CDX index correlation and extreme dependence
Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2008
Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence...
Persistent link: https://www.econbiz.de/10010905302
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Financial Markets in Continuous Time
Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2003
Persistent link: https://www.econbiz.de/10010799306
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Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014
This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...
Persistent link: https://www.econbiz.de/10010799319
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Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières
Kourouvakalis, Stylianos - Université Paris-Dauphine (Paris IX) - 2008
The thesis presents a construction of a grid that discretizes the threshold model introduced by Geman and Roncoroni (2006) for electricity spot prices, incorporating both mean reversion and jumps, the direction of the latter depending on the price of the underlying at the time of the jump. The...
Persistent link: https://www.econbiz.de/10010705810
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A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2010
In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...
Persistent link: https://www.econbiz.de/10010706457
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A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2011
In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...
Persistent link: https://www.econbiz.de/10010706604