The paper investigates the pricing of derivative securities with calendar-time maturities.

Globalization of trading in foreign exchange markets is a principal sourceof the daily and weekly seasonability in market volatility. One way to mo del such phenomena is to adopt a framework where market volatility is tiedto the intensity of (world) trading through a subordinated stochastic pro...

This paper examines causality between the series of returns ans transaction volumes in high frequency data. The dynamics in both series is restricted to transitions between a finite umber of stated. Depending on the state selection criteria, this approach approximated the dynamics of varying...

Dans cet article, pour etendre la theorie du consommateur a ses choix d'epargne et de placements, on utilise a la fois la theorie usuelle, celle des caracteristiques et celle du raisonnement quantitatif. On en deduit un systeme complet de demandes comprenant simultanement les quantites de biens...