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Simple and extended Kalman filters : an application to term structures of commodity prices.
Galli, Alain; Lautier, Delphine - Université Paris-Dauphine - 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/10008572192
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The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach.
Deville, Laurent; Riva, Fabrice - Université Paris-Dauphine
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 …, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some …
Persistent link: https://www.econbiz.de/10008572196
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Systematic credit risk: CDX index correlation and extreme dependence.
Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine - 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/10008520018
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A market for weather risk ? Worlds in conflict and compromising.
Huault, Isabelle; Rainelli-Le Montagner, Hélène - Université Paris-Dauphine
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...
Persistent link: https://www.econbiz.de/10008520033
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La volatilité des prix des matières premières.
Lautier, Delphine; Simon, Yves - Université Paris-Dauphine - 2004
Cet article expose la problématique de la volatilité des prix des matières premières, montre quels sont les moyens pour s’en protéger et explique comment les employer. Les instruments de couverture sont présentés en première section, en distinguant le type de besoin auquel ils...
Persistent link: https://www.econbiz.de/10008532326
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Term structure of crude oil futures prices : a principal component analysis.
Lautier, Delphine - Université Paris-Dauphine - 2005
Cet article s’appuie sur une analyse en composantes principales pour identifier les mouvements des courbes de prix du pétrole brut. L’étude confirme que trois composantes permettent d’expliquer les fluctuations des prix à terme : déplacement parallèle, pentification, et courbure. De...
Persistent link: https://www.econbiz.de/10008532380
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On Real Options and Information Costs.
Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine
real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in … costs in standard discounted cash flow techniques and present the basic concepts of real options. The justification of … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We …
Persistent link: https://www.econbiz.de/10008532470
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L’exposition au risque de change et les déterminants de la couverture : le cas.
Bellalah, Mondher; Mefteh, Salma - Université Paris-Dauphine
Cet article examine si la valeur d’une entreprise exportatrice française est affectée par les fluctuations contemporaines et retardées du taux de change. En se basant sur un ´échantillon de 100 entreprises exportatrices françaises, l’´étude trouve que 22% des entreprises connaissent...
Persistent link: https://www.econbiz.de/10008532481
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Segmentation in the Crude Oil Futures Term Structure.
Lautier, Delphine - Université Paris-Dauphine - 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/10008532719
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A market for weather risk ? Worlds in conflict and compromising.
Huault, Isabelle; Rainelli-Le Montagner, Hélène - Université Paris-Dauphine
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...
Persistent link: https://www.econbiz.de/10008532725