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Modélisation d'actifs à volatilité stochastique et pricing d'options européennes

Rose, Martin; Zitouni, Loubna - 2006

Black et Scholes ont proposé en 1973 un modèle de marché financier qui conduit à une formule simple pour calculer le prix d'une option européenne sur un actif boursier. Bien que les formules de Black-Scholes soient explicites, le modèle repose sur certaines hypothèses qui ne correspondent...

Persistent link: https://www.econbiz.de/10015257349

Notations et écarts de rentabilité : le marché français avant l'euro.

Merli, Maxime; Alexandre, Hervé - Université Paris-Dauphine - 2003

L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du...

Persistent link: https://www.econbiz.de/10009002004

Une nouvelle formalisation de la dynamique du système des prix du marché action (A New Formalization of the Dynamics of the Market Price System of the Equity Market)

Parent, Léo - 2021

French abstract: Le présent papier formalise un nouveau modèle de dynamique du système des prix du marché action, capable de saisir un large spectre de phénomènes renseignés par la littérature académique financière. Le modèle s’attache particulièrement à rendre compte de trois...

Persistent link: https://www.econbiz.de/10013235445

False news, informational efficiency, and price reversals

Dugast, Jérôme; Foucault, Thierry - 2015

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...

Persistent link: https://www.econbiz.de/10010499565

La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires

Hervé, Fabrice - In: Revue Finance Contrôle Stratégie 6 (2003) 3, pp. 41-77

leurs performances futures.(VA)This paper proposes to explore the consistency of performance of some UK defined … contributions pension funds:the Personal Pension Scheme. Our results show evidence of performance reversion for domestic equity … funds and performance persistence for fixed-income funds. Nonetheless, the best pension funds in both categories are …

Persistent link: https://www.econbiz.de/10005111132

Liquidity, Moral Hazard and Inter-Bank Market Collapse.

Kharroubi, E.; Vidon E. - Banque de France - 2008

This paper proposes a framework to analyze the functioning of the inter-bank liquidity market and the occurrence of liquidity crises. The model relies on three key assumptions: (i) liquidity provisioning is not verifiable -it cannot be contracted upon-, (ii) banks face moral hazard when...

Persistent link: https://www.econbiz.de/10005036213

Fair Value Accounting

Magnan, Michel; Thornton, Daniel B - Centre Interuniversitaire de Recherche en Analyse des … - 2009

The paper provides a genesis of fair value accounting (FVA) and reviews some research and empirical evidence that are relevant to the debate surrounding its use. We also comment on FVA's role in the financial crisis: was it just the messenger of bad news or was it procyclical, contributing to...

Persistent link: https://www.econbiz.de/10008550099

Qu’attend-on de la finance mondiale après la crise ? Les quatre commandements oubliés

Brack, Estelle; Saidane, Dhafer - 2010

The recent crisis should not be used to prouve the failure of the entire financial system. Global banking systems are regulated by rules, that have not been applied correctly all over the place. And just one "hole" in the regulatory net is sufficient to make it useless.

Persistent link: https://www.econbiz.de/10015222093

Les banques étrangères dans les pays d’Europe Centrale et Orientale : source de vulnérabilité ou facteur de stabilisation

Beuran, Monica; Brack, Estelle - 2009

We study the impact of foreign banks' presence in Central and Eastern Europe's countries on their economic development and on the financial crisis they went through. We show that, despite a certain vulnerability of the domestic banking systems, the consequences of the opening of the banking...

Persistent link: https://www.econbiz.de/10015222095

États-Unis,“soupe primitive” de la crise financière

Brack, Estelle - 2009

It is likely that such a crisis could not be born somewhere else only in the United States. The "current financial disaster" is the fruit of the combination of specific factors in the US, where elements were gathered to catalyse such a crisis, like, someway, some "primal soup" where were...

Persistent link: https://www.econbiz.de/10015222098