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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 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...

Persistent link: https://www.econbiz.de/10010707894

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 price relations known as Constant Elasticity of Variance Model (CEV …

Persistent link: https://www.econbiz.de/10010742272

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

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

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

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

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

Financial Markets in Continuous Time

Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10010799306

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

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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