This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Chapter 1 : The Birth of Modern Finance -- Chapter 2 : The Birth of Capital Market Theory -- Chapter 3 : Rise of Institutional Quantitative Management -- Chapter 4 : Finance Theory in Crisis -- Chapter 5: The Crisis at the Workbench or Markowitz’s revenge -- Chapter 6: The Michaud Efficient...

Sampled distributions are used to price, hedge and produce scenarios for derivative products which is essential for risk management. This approach accumulates many types of discretisation errors. These can be linked to data quality input, to calibration algorithms, discretisation in time,...

I consider the development of Markov chain Monte Carlo (MCMC) methods, from late-1980s Gibbs sampling to present-day gradient-based methods and piecewise-deterministic Markov processes. In parallel, I show how these ideas have been implemented in successive generations of statistical software...