Risks are usually represented and measured by volatility-covolatility matrices.Wishart processes are models for a dynamic analysis of multivariaterisk, that describe the evolution of stochastic volatility-covolatility matrices,constrained to be symmetric positive definite. The autoregressive...

This paper provides a uni¯ed statistical framework for the analysis of distortion riskmeasures (DRM) and of their sensitivities with respect to parameters representing riskaversion and/or pessimism. We derive the general formula for calculating the functionalasymptotic distribution of the...

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...

This paper extends to the multiasset framework the closed-form solution for options withstochastic volatility derived in Heston (1993) and Ball and Roma (1994). This extensionintroduces a risk premium in the return equation and considers Wishart dynamics for theprocess of the stochastic...

The discounting of very long-term cash-flows is crucial for the valuation oflong-term investment projects. In this paper, we analyze the market prices ofUS government bonds with very long-term time-to-maturity, and emphasizesome statistical specificities of very long-term zero-coupon rates, that...