The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical...

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead out-of-sample call options and also its ability to...

This paper posits itself in the stream of literature related to event studies and in particular the September 11th event. It is the first study to our knowledge that investigates the impact on the French financial market of September 11th, 2001 and September 21st, 2001. Was there any information...

Financial analysis software have known a strong development during these last years due to the fact of an evolution of the technical data-processings, but equally of the conflictual relationship between users and publishers. The development to the artificial intelligence transforms traditional...

Financial analysis software have known a strong development during these last years due to the fact of an evolution of the technical data-processings, but equally of the conflictual relationship between users and publishers. The development to the artificial intelligence transforms traditional...

For the last two decades, authors (e.g. Ohlson, 1995; Lev, 2000, 2001) have regularly pointed out the enforcement of limitations by traditional accounting frameworks on financial reporting informativeness. Consistent with this claim, it has been then argued that accounting finds one of its major...

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems...

The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...

Collective processes of organizational knowledge creation remain poorly explored. Yet efficient knowledge management has to focus on those processes as far as it aims at dealing with sustaining knowledge development and sharing rather than solely sustaining its memorization. In this paper, we...