This paper presents bayesian inference procedures for the continuous time mover-stayer model applied to individual transition data collected in discrete time. In particular, these methods allow to derive the probability of embeddability of the discrete-time modelling with the continuous-time...

Let {Xn: n=1} be a sequence of independent and identically distributed random variables with a common distribution function F. Let Sk= X1+...+Xk, k=1, denote the partial sums associated to {Xn: n=1}. In this paper, we study the number and times of the maximal and minimal excursion endpoints of...

Nous examinons l'information contenue dans un ensemble de prix d'options europeennes de change USD/DEM de dates et de prix d'exercice differents. Nous rappelons le lien entre fonctions de prix d'etat et prix d'options europeennes ainsi que les principes d'estimation de fonctions de prix d'etat a...