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The reactive volatility model
Valeyre, Sébastien; Grebenkov, Denis; Aboura, Sofiane; … - Université Paris-Dauphine (Paris IX) - 2013
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...
Persistent link: https://www.econbiz.de/10010742272
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Arbitrage in securities markets with short-sales constraints
Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 1995
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...
Persistent link: https://www.econbiz.de/10010706423
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Arbitrage pricing and equilibrium pricing : compatibility conditions
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete …
Persistent link: https://www.econbiz.de/10010707894
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Segmentation in the Crude Oil Futures Term Structure
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005
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...
Persistent link: https://www.econbiz.de/10011072171
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A super-replication theorem in Kabanov’s model of transaction costs
Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine (Paris IX) - 2006
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...
Persistent link: https://www.econbiz.de/10011073697
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Information Flows in the term structure of commodity prices
Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2014
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...
Persistent link: https://www.econbiz.de/10011096669
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Pricing of non-redundant derivatives in a complete market
Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1999
We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless …, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence …. In such a framework, we derive an equilibrium restriction on the admissible prices of derivative assets. The equilibrium …
Persistent link: https://www.econbiz.de/10010709003
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The determinants of the time to efficiency in options markets : a survival analysis approach
Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2006
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...
Persistent link: https://www.econbiz.de/10010861470
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Simple and extended Kalman filters : an application to term structures of commodity prices
Galli, Alain; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004
This article presents and compares two different Kalman filters. These methods provide a very interesting way to cope with the presence of non-observable variables, which is a frequent problem in finance. They are also very fast even in the presence of a large information volume. The first...
Persistent link: https://www.econbiz.de/10010905031
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La volatilité des prix des matières premières
Lautier, Delphine; Simon, Yves - Université Paris-Dauphine (Paris IX) - 2004
This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...
Persistent link: https://www.econbiz.de/10010905033