Cet article tests la validite du Capital Asset Pricing Model pour le marche des actions suisses sur une periode allant de 1973 a 1991.

This paper investigates, theoretically and empirically, the dynamic of the implied volatility (ISD) around earnings announcements dates. The volatility implied in option prices can be interpreted as the market's expected level of volatility over the remaining life of the option. In this...

This paper presents linear algebra techniques used in the implementation of an interior point method for solving linear programs and convex quadratic programs with linear constraint. The new regularization techniques for Newton equation system applicable to both symmetric positive definite and...

The aim of this paper is to propose a method for coupling national energy models, to identify the dividends of international cooperation in atmospheric pollution abatement and efficient energy use. It indicates also how to solve the resulting large-scale multinational model. It stimulates...

In this paper we give an overview of the mostimportant characteristics of advanced implementations of interior point methods.