This paper questions the view that leverage should have forewarned us of the global financial crisis of 2007-09, pointing to several gearing indicators that were neither useful portents of the onset of the crisis nor of its ferocity. Instead it shows, first, that the use of ill-suited collateral...

In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings...

This paper presents an equilibrium asset pricing model with incomplete information on returns and agents' utility. Only some moments of the returns distributions are observable, and investors associate a return's riskness to the time required for its mean to converge around its expectation,...

This paper adapts the methods of Minimax-Hedging developped in Bernis & Giraud [2000] to other models of financial markets, including discontinuous semi-martingale. The measure of the risk is defined as the value of a zero-sum game between the investor and a fictitious player, representing the...