The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and...

In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists...

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...

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...

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...

This paper analyses the private equity fund compensation. We build a model to estimate the expected revenue of fund managers as a function of their investor contracts. We tried to evaluate the present value of the carried interest, which is one of the most common profit sharing arrangements...

Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors. This article discusses the advantages of adding a long volatility strategy for a protection to a global European equity portfolio and to specific equity portfolios based in "core" or...

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

In this paper, we are dealing with financial high frequency data; any time an order reaches the market, any time a cancellation or transaction occurs, a new record is made, ending up with a huge amount of data. Hence the time interval between two events is not fixed, forbidding the use of...