In principle, liabilities combining both insurancial risks (e.g. mortality/longevity, crop yield,...) and pure financial risks cannot be priced neither by applying the usual actuar- ial principles of diversification, nor by arbitrage-free replication arguments. Still, it has been often proposed...

In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the...

Les fonctions de la finance sont souvent méconnues. L’idéologie libérale en est largement responsable : elle a fait croire qu’en laissant la finance à elle-même nos économies seraient dotées de mécanismes capables d’allouer au mieux l’épargne qui s’y dégage. La dernière...

The post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator principal objective is to set banks' capital requirements equal to international minimum standards in order to mimimise systemic...

Today, the main problem in financing economies is linked to liquidity problems of banks. The paradox is that the world has never had so many liquidities at its disposal and rarely has economic players found themselves under such obligations. Economic stimulus goes through this mobilisation of...

The post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator principal objective is to set banks' capital requirements equal to international minimum standards in order to mimimise systemic...

The organization of securities markets has not benefited from the feigned attempts of reform presented by authorities since the outbreak of the current crisis. However, speculative opportunities like the risks incurred also depend on the markets on which one operates. The Markets in Financial...

In this paper, we consider a family of complete or incomplete Financial models such that the price processes of the Financial assets converge in distribution to those in a limit model. Different authors pointed out that we do not have necessarily convergence of the arbitrage pricing intervals in...

Given exogenously the price process of some assets, we constrain the price process of other assets, which are characterised by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence of the equilibrium. In this setup, we derive...