In this paper we consider an incomplete market framework and explainhow to use jointlyobserv ed prices of the underlying asset and of some derivativeswritten on this asset for an efficient pricing of other derivatives. Thisquestion involves two types of moment restrictions, which can be...

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

In this paper, we consider an incomplete market framework and explain how to usejointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of momentrestrictions, which can be written...

The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong...

In this paper we propose causality measures based on the Kullback Information Criterion. These causality measures are applicable in a general context which contains, as special cases, the stationary autoregressive case, considered by GEWEKE, and qualitative models. Estimators of these measures...

In this paper we are interested in inference problems on the matrix of coefficients in a multivariate linear model; in particular we consider tests on the kernel, the range and the rank of this matrix. Various test procedures are explicited and compared: (pseudo) likelihood ratio, Wald (or...

In this paper we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and some derivatives written on this asset for an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be written...