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Sunspot equilibrium as a game theoretical solution concept

Forges, Françoise - Université Paris-Dauphine (Paris IX) - 1991

Persistent link: https://www.econbiz.de/10010905050

Financial markets survey written for encyclopedia EOLSS

Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2000

In the last forty years, the theory of financial markets has become a growing field of interest for academics as well as for practitioners. We present here an overview of the main topics.

Persistent link: https://www.econbiz.de/10010706711

Financial markets in continuous time

Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2007

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...

Persistent link: https://www.econbiz.de/10010708856

Trois modèles de structure par terme des prix du pétrole : une comparaison

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2002

La présentation de la théorie du stockage et de la notion de convenience yield permet d’exposer les fondements théoriques des modèles de structure par terme des prix des commodités. Ces derniers peuvent être utilisés pour réaliser des opérations de couverture ou dans le cadre de...

Persistent link: https://www.econbiz.de/10011071877

The Determinants Of Volatility On The American Crude Oil Futures Market

Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2008

This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order to reach this objective, price fluctuations are...

Persistent link: https://www.econbiz.de/10010708916

Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?

Lautier, Delphine; Ling, Julien; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2015

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

Persistent link: https://www.econbiz.de/10011205310

Cross-market linkages between commodities, stocks and bonds

Ielpo, Florian; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011

Persistent link: https://www.econbiz.de/10010707610

Volatility spillovers in commodity markets

Ielpo, Florian; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard...

Persistent link: https://www.econbiz.de/10010708343

Understanding momentum in commodity markets

Ielpo, Florian; Gatumel, Mathieu; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995–2012...

Persistent link: https://www.econbiz.de/10010708391

The Choice of Detecting Down Syndrome: Does Money Matter?

Garrouste, Clémentine; Le, Jérôme; Maurin, Eric - Université Paris-Dauphine (Paris IX) - 2011

comparing the risk of giving birth to an affected child and the risk of losing an unaffected child through amniocentesis … test. By contrast, the sole fact of being labelled 'high-risk' by the Health system seems to have, as such, only a modest … evidence suggesting that amniocentesis increases the risk of premature birth and low weight at birth. …

Persistent link: https://www.econbiz.de/10011193760