L’équipe d’enseignants-chercheurs Finance Group issus de l’EMLV et de l’ESILV.
L’ensemble des travaux des enseignants-chercheurs en finance.
2017
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Articles de journaux
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Giorgia Callegaro; Lucio Fiorin; Martino Grasselli Pricing via Quantization in Stochastic Volatility Models Article de journal Dans: Quantitative Finance, 17 (6), p. 855-872, 2017. Résumé | Liens | BibTeX @article{Callegaro2017,
title = {Pricing via Quantization in Stochastic Volatility Models},
author = {Giorgia Callegaro and Lucio Fiorin and Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2669734},
year = {2017},
date = {2017-10-22},
journal = {Quantitative Finance},
volume = {17},
number = {6},
pages = {855-872},
abstract = {In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation. |
Elias Erragragui; Kabir Hassan; Jonathan Peillex; Faisal Khan Does ethics improve stock market resilience in times of instability? Article de journal Forthcoming Dans: Economic Systems, Forthcoming. BibTeX @article{Erragragui2017,
title = {Does ethics improve stock market resilience in times of instability?},
author = {Elias Erragragui and Kabir Hassan and Jonathan Peillex and Faisal Khan},
year = {2017},
date = {2017-10-10},
journal = {Economic Systems},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Philippe Desbrières; Elias Erragragui; Jonathan Peillex L'investissement conforme à la Charia est-il socialement responsable? Article de journal Forthcoming Dans: Management International, Forthcoming. BibTeX @article{Desbrières2017,
title = {L'investissement conforme à la Charia est-il socialement responsable?},
author = {Philippe Desbrières and Elias Erragragui and Jonathan Peillex},
year = {2017},
date = {2017-09-10},
journal = {Management International},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Article de journal Dans: Financial Analysts Journal, 73 (3), p. 1-14, 2017. Résumé | Liens | BibTeX @article{Brière2017b,
title = {Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? },
author = {Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau},
editor = {CFA Institute},
url = {http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n3.2},
doi = {10.2469/faj.v73.n3.2},
year = {2017},
date = {2017-05-06},
journal = {Financial Analysts Journal},
volume = {73},
number = {3},
pages = {1-14},
abstract = {Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. |
Conférences
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Sabrina KHEMIRI; Amel SAHLI Crise financière et performance du capital investissement en France 5500 - 5599 Conférence International Finance Conference 9, ISC, Paris, 11-12 Mars , 2017. BibTeX @conference{Khemiribbl,
title = {Crise financière et performance du capital investissement en France},
author = {Sabrina KHEMIRI and Amel SAHLI},
year = {2017},
date = {2017-03-11},
publisher = {International Finance Conference 9},
address = {ISC, Paris, 11-12 Mars },
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
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2016
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Inproceedings
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Grasselli Martino; Callegaro G.; Fiorin L. Quantized stochastic volatility inproceedings Dans: Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016. BibTeX @inproceedings{GrasseliiConf1,
title = {Quantized stochastic volatility},
author = {Grasselli Martino and Callegaro G. and Fiorin L. },
year = {2016},
date = {2016-12-13},
booktitle = {Quantitative Methods in Finance QMF 2016 , Sydney, Australia},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Grasselli M.; Craddock M. Lie symmetry methods for local volatility models inproceedings Dans: Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016. BibTeX @inproceedings{GrasselliConf2,
title = {Lie symmetry methods for local volatility models},
author = {Grasselli M. and Craddock M. },
year = {2016},
date = {2016-11-25},
booktitle = {Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Grasselli M.; Callegaro G.; Fiorin L. Pricing via Recursive Quantization in Stochastic Volatility Models inproceedings Dans: Workshop in Quantitative Finance, Pisa, Italy, 2016. BibTeX @inproceedings{Grasselliconf3,
title = {Pricing via Recursive Quantization in Stochastic Volatility Models},
author = {Grasselli M. and Callegaro G. and Fiorin L. },
year = {2016},
date = {2016-04-12},
booktitle = {Workshop in Quantitative Finance, Pisa, Italy},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Conférences
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Moreno M.; Novales A.; Platania, F. Long-term swings and and seasonality in energy markets 5500 - 5599 Conférence 4th Paris Financial Management Conferen, hosted by IPAG Business School., 2016. BibTeX @conference{Platania2016,
title = {Long-term swings and and seasonality in energy markets},
author = {Moreno M. and Novales A. and Platania, F. },
year = {2016},
date = {2016-12-12},
booktitle = {4th Paris Financial Management Conferen, hosted by IPAG Business School.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
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Livres
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Sergio Focardi; H. Fallaghoul; F. Fabozzi Fractional Calculus and Fractional Processes with Applications to Financial Economics, Livre John Wiley & Sons,105 pages, 2016. BibTeX @book{FocardiFabozzi,
title = {Fractional Calculus and Fractional Processes with Applications to Financial Economics, },
author = {Sergio Focardi and H. Fallaghoul and F. Fabozzi},
year = {2016},
date = {2016-10-12},
publisher = {John Wiley & Sons,105 pages},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
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Articles de journaux
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Martino Grasselli The 4/2 stochastic volatility model Article de journal Dans: Mathematical Finance, to appear, 2016. Résumé | Liens | BibTeX @article{Grassellibb,
title = {The 4/2 stochastic volatility model},
author = { Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2523635},
doi = {DOI: 10.1111/mafi.12124},
year = {2016},
date = {2016-10-09},
journal = {Mathematical Finance, to appear},
abstract = {We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications. |
Griselda Deelstra; Martino Grasselli; Christopher van Weverberg The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options Article de journal Dans: Insurance: Mathematics and Economics, 71 , p. 205-219, 2016, ISSN: 0167-6687. Résumé | Liens | BibTeX @article{Deelstra2015b,
title = {The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options},
author = {Griselda Deelstra and Martino Grasselli and Christopher van Weverberg},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2667939
http://dx.doi.org/10.1016/j.insmatheco.2016.09.010},
doi = {http://dx.doi.org/10.1016/j.insmatheco.2016.09.010},
issn = {0167-6687},
year = {2016},
date = {2016-09-28},
journal = {Insurance: Mathematics and Economics},
volume = {71},
pages = {205-219},
institution = {ULB},
abstract = {In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider more general affine models where the mortality and interest rates remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider more general affine models where the mortality and interest rates remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation. |
Vivien Brunel Operational risk modelled analytically II: classification invariance Article de journal Dans: Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk2,
title = {Operational risk modelled analytically II: classification invariance},
author = {Vivien Brunel},
year = {2016},
date = {2016-09-15},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
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A. Cissé; Patrice Fontaine Why do companies transfer the trading compartment of their common stocks Article de journal Dans: Research In International Business and Finance, (36), p. 624-640, 2016. BibTeX @article{FontaineCissé,
title = {Why do companies transfer the trading compartment of their common stocks},
author = {A. Cissé and Patrice Fontaine},
year = {2016},
date = {2016-07-12},
journal = {Research In International Business and Finance},
number = {36},
pages = {624-640},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
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Jonathan Peillex; Loredana Ureche-Rangau Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation Article de journal Dans: Journal of Business Ethics, 136 (1), p. 101-117, 2016, ISSN: 1573-0697. Résumé | Liens | BibTeX @article{Peillexb,
title = {Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation},
author = { Jonathan Peillex and Loredana Ureche-Rangau},
editor = {Springer Netherlands},
url = {http://www.iae-aix.com/affi2014/docs/phd/identifying_the_determinants_of_the_decision_to_create_socially_responsible_funds_an_empirical_investigation.pdf},
doi = {10.1007/s10551-014-2507-y},
issn = {1573-0697},
year = {2016},
date = {2016-06-17},
journal = {Journal of Business Ethics},
volume = {136},
number = {1},
pages = {101-117},
abstract = {This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds. |
Marie Haikel-Elsabeh; Sébastien Nouet; M. Narayadou How personal finance management influences consumers motivations and behavior regarding online banking services Article de journal Dans: Communications and Strategies - Digiworld Economic Journal, (103), p. 15-34, 2016. BibTeX @article{NouetHaikel,
title = {How personal finance management influences consumers motivations and behavior regarding online banking services},
author = {Marie Haikel-Elsabeh and Sébastien Nouet and M. Narayadou},
year = {2016},
date = {2016-06-15},
journal = {Communications and Strategies - Digiworld Economic Journal},
number = {103},
pages = {15-34},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Robert Engle; Sergio Focardi; Frank Fabozzi Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management Article de journal Dans: Journal of Portfolio Management, 42 (5), p. 94-106, 2016. Résumé | Liens | BibTeX @article{Engle,
title = {Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management},
author = {Robert Engle and Sergio Focardi and Frank Fabozzi},
editor = {Institutional Investors},
doi = {10.3905/jpm.2016.42.5.094},
year = {2016},
date = {2016-06-01},
journal = { Journal of Portfolio Management},
volume = {42},
number = {5},
pages = {94-106},
abstract = {In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors (i.e., the number of variables needed to explain or forecast returns). In finite markets such as stock markets, the problem of determining the true number of factors cannot be solved theoretically. Instead, asset managers must be content with approximations using model selection criteria. The authors then discuss the questions of overfitting and dimensionality reduction—both of which can lead to poor out-of-sample performance of investment or trading strategies. Overfitting entails using a model that is too complex for the data available to the modeler; thus, the resulting model fits noise. Dimensionality reduction solves the problem of dimensionality by using approximate models of reduced dimensionality that can be estimated with small samples. An important instance of applying dimensionality reduction techniques is using factor GARCH models to forecast covariance matrices. Finally, the authors discuss problems associated with backtesting. In trying to choose the best-performing model or strategy, a modeler may be tempted to run multiple backtests, thereby creating the risk of using out-of-sample backtesting as a form of in-sample testing. In turn, this leads to overfitting.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors (i.e., the number of variables needed to explain or forecast returns). In finite markets such as stock markets, the problem of determining the true number of factors cannot be solved theoretically. Instead, asset managers must be content with approximations using model selection criteria. The authors then discuss the questions of overfitting and dimensionality reduction—both of which can lead to poor out-of-sample performance of investment or trading strategies. Overfitting entails using a model that is too complex for the data available to the modeler; thus, the resulting model fits noise. Dimensionality reduction solves the problem of dimensionality by using approximate models of reduced dimensionality that can be estimated with small samples. An important instance of applying dimensionality reduction techniques is using factor GARCH models to forecast covariance matrices. Finally, the authors discuss problems associated with backtesting. In trying to choose the best-performing model or strategy, a modeler may be tempted to run multiple backtests, thereby creating the risk of using out-of-sample backtesting as a form of in-sample testing. In turn, this leads to overfitting. |
Lakshithe Wagalath; R. Cont Institutional Investors and the Dependant Structure Of Asset Returns Article de journal Dans: International Journal of Theoritical and Applied Finance, 19 (02), p. 1650010-01 - 1650010-37 , 2016. BibTeX @article{Lakshithe2016,
title = {Institutional Investors and the Dependant Structure Of Asset Returns},
author = {Lakshithe Wagalath and R. Cont},
year = {2016},
date = {2016-05-17},
journal = {International Journal of Theoritical and Applied Finance},
volume = {19},
number = {02},
pages = {1650010-01 - 1650010-37 },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Amel Sahli Le contrôleur de gestion, prescripteur d'information Article de journal Dans: Revue Finance & Gestion, (342), p. 30-32, 2016. BibTeX @article{Sahli2016,
title = {Le contrôleur de gestion, prescripteur d'information },
author = {Amel Sahli},
year = {2016},
date = {2016-05-11},
journal = {Revue Finance & Gestion},
number = {342},
pages = {30-32},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Vivien Brunel Loan Classification under IFRS9 Article de journal Dans: Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk1,
title = {Loan Classification under IFRS9},
author = {Vivien Brunel},
year = {2016},
date = {2016-05-10},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Stefano Bosi; Patrice Fontaine; Cuong LeVan Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets Article de journal Dans: Mathematical Social Sciences, 82 , p. 26-36, 2016. Résumé | BibTeX @article{Bosi2016,
title = {Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets},
author = {Stefano Bosi and Patrice Fontaine and Cuong LeVan},
editor = {Elsiever},
year = {2016},
date = {2016-05-01},
journal = {Mathematical Social Sciences},
volume = {82},
pages = {26-36},
abstract = {In this paper, we consider a two-period consumption model with
many financial assets. In the spirit of Hart [5], consumers purchase
financial assets in period 0 and consume in period 1. We differ from Hart
by considering that each agent is a country. We provide conditions for
the existence of an equilibrium in both international financial assets
and goods markets.
First, we introduce a weaker notion of Uncovered Interest (rate) Parity
(UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show
its equivalence to the no-arbitrage condition in the inter- national
financial markets.
Second, we introduce the concept of common no arbitrage and we show its
equivalence to the UIP.
These results bridge concepts of no arbitrage in general equilibrium
theory and financial microeconomics, and of interest parity in international
financial macroeconomics. In a multi-country model with many
currencies and only one good, we introduce a country-specific conversion
rate which transforms the returns on assets valued in local currency
into units of physical good. We define also the exchange rates between
currencies of different countries. The UIP is required for the existence
of an equilibrium in both international financial assets and goods
markets and for the existence of the Law of One Price.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper, we consider a two-period consumption model with
many financial assets. In the spirit of Hart [5], consumers purchase
financial assets in period 0 and consume in period 1. We differ from Hart
by considering that each agent is a country. We provide conditions for
the existence of an equilibrium in both international financial assets
and goods markets.
First, we introduce a weaker notion of Uncovered Interest (rate) Parity
(UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show
its equivalence to the no-arbitrage condition in the inter- national
financial markets.
Second, we introduce the concept of common no arbitrage and we show its
equivalence to the UIP.
These results bridge concepts of no arbitrage in general equilibrium
theory and financial microeconomics, and of interest parity in international
financial macroeconomics. In a multi-country model with many
currencies and only one good, we introduce a country-specific conversion
rate which transforms the returns on assets valued in local currency
into units of physical good. We define also the exchange rates between
currencies of different countries. The UIP is required for the existence
of an equilibrium in both international financial assets and goods
markets and for the existence of the Law of One Price. |
Martino Grasselli; Giulio Miglietta A Flexible Spot Multiple-Curve Model Article de journal Dans: Quantitative Finance, 16 (10), p. 1465-1477, 2016, ISSN: 1469-7688. Résumé | Liens | BibTeX @article{Grasselli2015,
title = {A Flexible Spot Multiple-Curve Model},
author = {Martino Grasselli and Giulio Miglietta},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2424242
http://dx.doi.org/10.1080/14697688.2015.1108521},
doi = {10.1080/14697688.2015.1108521},
issn = {1469-7688},
year = {2016},
date = {2016-04-27},
journal = {Quantitative Finance},
volume = {16},
number = {10},
pages = {1465-1477},
abstract = {We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A calibration exercise based on real data illustrates the flexibility of our approach for some typical specifications used in the literature and in the banking industry.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A calibration exercise based on real data illustrates the flexibility of our approach for some typical specifications used in the literature and in the banking industry. |
Vivien Brunel; Stéphane Crépey; Monique Jeanblanc Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis Article de journal Dans: Bankers Markets Investors, (141), p. 6-18, 2016. BibTeX @article{Brunel2016,
title = {Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis},
author = {Vivien Brunel and Stéphane Crépey and Monique Jeanblanc},
year = {2016},
date = {2016-04-13},
journal = {Bankers Markets Investors},
number = {141},
pages = {6-18},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Yann Braouezec; Cyril Grunspan Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates Article de journal Dans: European Journal of Operational Research, 249 (1), p. 270–280, 2016, ISSN: 0377-2217. Résumé | Liens | BibTeX @article{Grunspanb,
title = {Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates},
author = { Yann Braouezec and Cyril Grunspan},
editor = {Elsevier},
url = {http://www.sciencedirect.com/science/article/pii/S0377221715007614},
doi = {10.1016/j.ejor.2015.08.024},
issn = {0377-2217},
year = {2016},
date = {2016-02-16},
journal = { European Journal of Operational Research},
volume = {249},
number = {1},
pages = {270–280},
abstract = {The aim of this paper is to provide a new straightforward textitmeasure-free methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which is elementary, is presented for a one period model and is subsequently used for multiperiod models. It shows that a certain point, called the forward point, must lie inside a convex polygon. Multiperiod models are then considered and the pricing bounds of a put option (European and American) are explicitly computed. We then show that the barycentric coordinates of the forward point can be interpreted as a martingale pricing measure. An application is provided for the trinomial model where the pricing measure has a simple geometric interpretation in terms of areas of triangles. Finally, we consider the case of entropic barycentric coordinates in a multi assets framework.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
The aim of this paper is to provide a new straightforward textitmeasure-free methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which is elementary, is presented for a one period model and is subsequently used for multiperiod models. It shows that a certain point, called the forward point, must lie inside a convex polygon. Multiperiod models are then considered and the pricing bounds of a put option (European and American) are explicitly computed. We then show that the barycentric coordinates of the forward point can be interpreted as a martingale pricing measure. An application is provided for the trinomial model where the pricing measure has a simple geometric interpretation in terms of areas of triangles. Finally, we consider the case of entropic barycentric coordinates in a multi assets framework. |
Martino Grasselli; Jacinto Marabel Romo Stochastic Skew and Target Volatility Options Article de journal Dans: The Journal of Futures Markets, 36 (2), p. 174-193, 2016. Résumé | Liens | BibTeX @article{Grasselli,
title = {Stochastic Skew and Target Volatility Options},
author = { Martino Grasselli and Jacinto Marabel Romo},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2419211},
doi = {DOI: 10.1002/fut.21720},
year = {2016},
date = {2016-01-01},
journal = {The Journal of Futures Markets},
volume = {36},
number = {2},
pages = {174-193},
abstract = {Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. For instance, a target volatility call can be viewed as a European call whose notional amount depends on the ratio of the target volatility (a fixed quantity representing the investor's expectation of the future realized volatility) and the realized volatility of the underlying asset over the life of the option. In equity options markets the slope of the skew is largely independent of the volatility level. A single-factor Heston based volatility model can generate steep skew or flat skew at a given volatility level but cannot generate both for a given parameterization. Since the payoff corresponding to TVO is a function of the joint evolution of the underlying asset and its realized variance, the consideration of stochastic skew is a relevant question for the valuation of TVO. In this sense, this article studies the effect of considering a multifactor stochastic volatility specification in the valuation of the TVO. To this end, we consider the two-factor Heston-based model of Christoffersen et al. (2009) in order to investigate TVO, as well as forward-start TVO, that is, TVO where the strike is determined at a later date.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. For instance, a target volatility call can be viewed as a European call whose notional amount depends on the ratio of the target volatility (a fixed quantity representing the investor's expectation of the future realized volatility) and the realized volatility of the underlying asset over the life of the option. In equity options markets the slope of the skew is largely independent of the volatility level. A single-factor Heston based volatility model can generate steep skew or flat skew at a given volatility level but cannot generate both for a given parameterization. Since the payoff corresponding to TVO is a function of the joint evolution of the underlying asset and its realized variance, the consideration of stochastic skew is a relevant question for the valuation of TVO. In this sense, this article studies the effect of considering a multifactor stochastic volatility specification in the valuation of the TVO. To this end, we consider the two-factor Heston-based model of Christoffersen et al. (2009) in order to investigate TVO, as well as forward-start TVO, that is, TVO where the strike is determined at a later date. |
Sergio M. Focardi, Frank J. Fabozzi; Ivan Mitov A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Article de journal Dans: Journal of Banking and Finance, 2016. BibTeX @article{Econometricsb,
title = {A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance},
author = {Sergio M. Focardi, Frank J. Fabozzi and Ivan Mitov},
year = {2016},
date = {2016-01-01},
journal = {Journal of Banking and Finance},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
2015
|
Conférences
|
Giorgia Callegaro; Lucio Fiorin; Martino Grasselli Pricing via Quantization in stochastic volatility models 5500 - 5599 Conférence QMF Quantitative Methods in Finance, Sydney, UTS, 15-17 december, 2015. BibTeX @conference{grasselli2015confb,
title = {Pricing via Quantization in stochastic volatility models},
author = {Giorgia Callegaro and Lucio Fiorin and Martino Grasselli},
year = {2015},
date = {2015-12-15},
publisher = {QMF Quantitative Methods in Finance, Sydney, UTS, 15-17 december},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine; Dany Gu Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms? 5500 - 5599 Conférence conférence de la Financial Management Association, Orlando (Etats-Unis), october 16., 2015. BibTeX @conference{Fontaine2015b,
title = {Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms?},
author = {Patrice Fontaine and Dany Gu},
year = {2015},
date = {2015-10-16},
booktitle = {conférence de la Financial Management Association, Orlando (Etats-Unis), october 16.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries 5500 - 5599 Conférence IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13, 2015. BibTeX @conference{fontaineindustrial2015,
title = {Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries},
author = {Patrice Fontaine},
year = {2015},
date = {2015-09-12},
booktitle = { IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine; Xuehua Gu Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization? 5500 - 5599 Conférence 32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris, 2015. BibTeX @conference{Fontaine2015b,
title = {Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization?},
author = {Patrice Fontaine and Xuehua Gu},
year = {2015},
date = {2015-06-01},
publisher = {32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Fontaine Patrice; Youssef Khoali “Impacts of Introducing Short Maturity Options" 5500 - 5599 Conférence onférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16., C, 2015. BibTeX @conference{fontainechicago2015,
title = {“Impacts of Introducing Short Maturity Options"},
author = {Fontaine Patrice and Youssef Khoali},
year = {2015},
date = {2015-05-14},
booktitle = {onférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16.},
publisher = {C},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Jonathan Peillex L’investissement conforme à la Charia est-il socialement responsable? 5500 - 5599 Conférence XIIe Congrès ADERSE, 19-20 mars, 2015. BibTeX @conference{peillexcharia2015,
title = {L’investissement conforme à la Charia est-il socialement responsable?},
author = {Jonathan Peillex},
year = {2015},
date = {2015-03-20},
booktitle = {XIIe Congrès ADERSE, 19-20 mars},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Martino Grasselli; Mark Craddock Lie Symmetries Methods in Local Volatility Models 5500 - 5599 Conférence Workshop in Quantitative Finance, Florence (Italy), 29-30 january, 2015. BibTeX @conference{grasselli2015conf,
title = {Lie Symmetries Methods in Local Volatility Models},
author = {Martino Grasselli and Mark Craddock},
year = {2015},
date = {2015-01-30},
publisher = {Workshop in Quantitative Finance, Florence (Italy), 29-30 january},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Technical Reports
|
Griselda Deelstra; Martino Grasselli; Christopher van Weverberg Explosion time for some Wishart transforms Technical Report ULB 2015. Résumé | Liens | BibTeX @techreport{Deelstra2015,
title = {Explosion time for some Wishart transforms},
author = {Griselda Deelstra and Martino Grasselli and Christopher van Weverberg},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2542185},
year = {2015},
date = {2015-10-22},
institution = {ULB},
abstract = {We consider non mean-reverting Wishart processes and we study the problem of determining the smallest time such that the Laplace transforms of the process and its integral become infinite. Thanks to the remarkable property of (affine) Wishart processes to reproduce non-trivial dependence among the positive factors, we are able to explain the behavior of the explosion times in terms of the relative importance of the involved factors and their correlations. In this way, we go far beyond the known results that can be recovered in the classical affine framework.},
keywords = {},
pubstate = {published},
tppubtype = {techreport}
}
We consider non mean-reverting Wishart processes and we study the problem of determining the smallest time such that the Laplace transforms of the process and its integral become infinite. Thanks to the remarkable property of (affine) Wishart processes to reproduce non-trivial dependence among the positive factors, we are able to explain the behavior of the explosion times in terms of the relative importance of the involved factors and their correlations. In this way, we go far beyond the known results that can be recovered in the classical affine framework. |
Articles de journaux
|
José Da Fonseca; Alessandro Gnoatto; Martino Grasselli Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique Article de journal Dans: Operations Research Letters, 43 , p. 601-607, 2015, ISSN: 0167-6377. Résumé | Liens | BibTeX @article{Fonseca2015,
title = {Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique},
author = {José Da Fonseca and Alessandro Gnoatto and Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2428628
http://dx.doi.org/10.1016/j.orl.2015.09.006},
doi = {http://dx.doi.org/10.1016/j.orl.2015.09.006},
issn = {0167-6377},
year = {2015},
date = {2015-09-25},
journal = {Operations Research Letters},
volume = {43},
pages = {601-607},
abstract = {We price for different affine stochastic volatility models some derivatives that recently appeared in the market. These products are characterised by payoffs depending on both stock and its volatility. Using a Fourier-analysis approach, we recover in a much simpler way some results already established in the literature for the single factor specification of the volatility and we push forward our methodology, which turns out to be independent of the dimension of the problem, thanks to a simple conditioning with respect to the subfiltration generated by the variance path. For each product we provide a closed form solution based on the Fast Fourier Transform and we illustrate the results for realistic model parameter values. Also, our results highlight the great flexibility and tractability of the Wishart based stochastic volatility models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We price for different affine stochastic volatility models some derivatives that recently appeared in the market. These products are characterised by payoffs depending on both stock and its volatility. Using a Fourier-analysis approach, we recover in a much simpler way some results already established in the literature for the single factor specification of the volatility and we push forward our methodology, which turns out to be independent of the dimension of the problem, thanks to a simple conditioning with respect to the subfiltration generated by the variance path. For each product we provide a closed form solution based on the Fast Fourier Transform and we illustrate the results for realistic model parameter values. Also, our results highlight the great flexibility and tractability of the Wishart based stochastic volatility models. |
Martino Grasselli; Alessandro Gnoatto; Gianluca Fusai; Ruggero Caldana General Closed-From Basket Option Pricing Bounds Article de journal Dans: Quantitative Finance, 16 (4), p. 535-554, 2015, ISSN: 1469-7688. Résumé | Liens | BibTeX @article{Grassellib,
title = {General Closed-From Basket Option Pricing Bounds},
author = {Martino Grasselli and Alessandro Gnoatto and Gianluca Fusai and Ruggero Caldana},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2376134
http://dx.doi.org/10.1080/14697688.2015.1073854},
doi = {http://dx.doi.org/10.1080/14697688.2015.1073854},
issn = {1469-7688},
year = {2015},
date = {2015-09-14},
journal = {Quantitative Finance},
volume = {16},
number = {4},
pages = {535-554},
abstract = {This article presents lower and upper bounds on the prices of basket options for a general class of continuous-time financial models. The techniques we propose are applicable whenever the joint characteristic function of the vector of log-returns is known in closed-form. Moreover, the basket value is not required to be positive. We test our new bounds on different multivariate models, allowing for jumps and stochastic volatility. Numerical examples are discussed and benchmarked against Monte Carlo simulations. All bounds are general and do not require any additional assumption on the characteristic function, so our methods may be employed also to non-affine models. All bounds involve the computation of one-dimensional Fourier transforms, hence they do not suffer from the curse of dimensionality. In particular, our new lower bound turns out to be fast and accurate.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This article presents lower and upper bounds on the prices of basket options for a general class of continuous-time financial models. The techniques we propose are applicable whenever the joint characteristic function of the vector of log-returns is known in closed-form. Moreover, the basket value is not required to be positive. We test our new bounds on different multivariate models, allowing for jumps and stochastic volatility. Numerical examples are discussed and benchmarked against Monte Carlo simulations. All bounds are general and do not require any additional assumption on the characteristic function, so our methods may be employed also to non-affine models. All bounds involve the computation of one-dimensional Fourier transforms, hence they do not suffer from the curse of dimensionality. In particular, our new lower bound turns out to be fast and accurate. |
Abdoul Cisse; Patrice Fontaine Why Do Companies Switch the Listing Section of Their Common Stocks Article de journal Dans: Research in International Business and Finance, on line , 2015. Résumé | Liens | BibTeX @article{Cisse2015b,
title = {Why Do Companies Switch the Listing Section of Their Common Stocks},
author = {Abdoul Cisse and Patrice Fontaine},
editor = {Elsiever},
url = {http://www.sciencedirect.com/science/article/pii/S0275531915300052},
year = {2015},
date = {2015-08-15},
journal = {Research in International Business and Finance},
volume = {on line},
abstract = {We analyze the motives and determinants of voluntarily stock exchange section switching on the NYSE Euronext. By strategically deciding trading-section transfer when it is beneficial, managers expect to reduce their liquidity and invisibility costs, cost of capital, or their listing costs. We show that managers decide to change the trading compartment of their common stocks based on various factors including firm's size, liquidity level, debt ratio, and expected growth opportunities. Firms that move voluntarily from a less or non regulated compartments to a more regulated one are likely to have transferred to increase their credibility, improve their stocks’ liquidity, re-balance their leverage, and to finance their growth opportunities. Whereas those that move their common stocks toward a less-regulated compartments do it mainly for costs saving reasons.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We analyze the motives and determinants of voluntarily stock exchange section switching on the NYSE Euronext. By strategically deciding trading-section transfer when it is beneficial, managers expect to reduce their liquidity and invisibility costs, cost of capital, or their listing costs. We show that managers decide to change the trading compartment of their common stocks based on various factors including firm's size, liquidity level, debt ratio, and expected growth opportunities. Firms that move voluntarily from a less or non regulated compartments to a more regulated one are likely to have transferred to increase their credibility, improve their stocks’ liquidity, re-balance their leverage, and to finance their growth opportunities. Whereas those that move their common stocks toward a less-regulated compartments do it mainly for costs saving reasons. |
Gui Citovski Sergio Focardi A novel view of suprathreshold stochastic resonance and its applications to financial markets Article de journal Dans: Frontiers Applied Mathematics and Statistics, 2015. Liens | BibTeX @article{Citovski,
title = {A novel view of suprathreshold stochastic resonance and its applications to financial markets},
author = {Gui Citovski Sergio Focardi},
editor = {Frontiers Applied Mathematics and Statistics},
doi = {http://dx.doi.org/10.3389/fams.2015.00010},
year = {2015},
date = {2015-08-10},
journal = {Frontiers Applied Mathematics and Statistics},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Mondher Bellalah; Mohamed Zouari; Amel Sahli; Hela Miniaoui Portfolio credit risk models and name concentration issues: theory and simulations Article de journal Dans: International Journal of Business, 20 (2), p. 111-117, 2015, ISSN: 1083-4346. Résumé | Liens | BibTeX @article{Sahlib,
title = {Portfolio credit risk models and name concentration issues: theory and simulations},
author = { Mondher Bellalah and Mohamed Zouari and Amel Sahli and Hela Miniaoui},
url = {http://www.craig.csufresno.edu/IJB/Volumes/Volume%2020/V202-2.pdf},
issn = {1083-4346},
year = {2015},
date = {2015-04-01},
journal = {International Journal of Business},
volume = {20},
number = {2},
pages = {111-117},
abstract = {Credit risk is an important aspect in the activity of commercial banks. Regulators require from banks to measure credit risk within Basel II and also during the Internal Capital Assessment and Adequacy Process (ICAAP) and stress tests. Name concentration in a lending portfolio arises when there are few borrowers in a bank portfolio or when loan amounts are very unequal in distribution. The portfolio credit risk model underpinning the Basel II Internal Ratings-Based (IRB) approach does not account for name concentration. To measure the latter the literature proposes specific concentration indexes such as the Herfindahl-Hirschman index, the Gini index or more general approaches like the granularity adjustment (GA) to calculate the appropriate economic capital needed to cover the risk arising from the potential default of large borrowers. This paper investigates the practical aspects of granularity adjustment, Gini index and Herfindahl index for contribution’s quantification of name concentrations to portfolio risk. We try also to extend the upper bound approach of GA developed by Gordy and Lütkebohmert (2007). For many banks, this approach would permit dramatic reductions in data requirements relative to the full GA.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Credit risk is an important aspect in the activity of commercial banks. Regulators require from banks to measure credit risk within Basel II and also during the Internal Capital Assessment and Adequacy Process (ICAAP) and stress tests. Name concentration in a lending portfolio arises when there are few borrowers in a bank portfolio or when loan amounts are very unequal in distribution. The portfolio credit risk model underpinning the Basel II Internal Ratings-Based (IRB) approach does not account for name concentration. To measure the latter the literature proposes specific concentration indexes such as the Herfindahl-Hirschman index, the Gini index or more general approaches like the granularity adjustment (GA) to calculate the appropriate economic capital needed to cover the risk arising from the potential default of large borrowers. This paper investigates the practical aspects of granularity adjustment, Gini index and Herfindahl index for contribution’s quantification of name concentrations to portfolio risk. We try also to extend the upper bound approach of GA developed by Gordy and Lütkebohmert (2007). For many banks, this approach would permit dramatic reductions in data requirements relative to the full GA. |
Jan Baldeaux; Martino Grasselli; Eckhard Platen Pricing currency derivatives under the benchmark approach Article de journal Dans: Journal of Banking and Finance, 53 , p. 34-48, 2015, ISSN: 0378-4266. Résumé | Liens | BibTeX @article{Grassellib,
title = {Pricing currency derivatives under the benchmark approach},
author = { Jan Baldeaux and Martino Grasselli and Eckhard Platen},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2327316
http://dx.doi.org/10.1016/j.jbankfin.2014.11.018},
doi = {http://dx.doi.org/10.1016/j.jbankfin.2014.11.018},
issn = {0378-4266},
year = {2015},
date = {2015-04-01},
journal = {Journal of Banking and Finance},
volume = {53},
pages = {34-48},
abstract = {This paper considers the realistic modelling of derivative contracts on exchange rates. We propose a stochastic volatility model that recovers not only the typically observed implied volatility smiles and skews for short dated vanilla foreign exchange options but allows one also to price payoffs in foreign currencies, lower than possible under classical risk neutral pricing, in particular, for long dated derivatives. The main reason for this important feature is the strict supermartingale property of benchmarked savings accounts under the real world probability measure, which the calibrated parameters identify under the proposed model. Using a real dataset on vanilla option quotes, we calibrate our model on a triangle of currencies and find that the risk neutral approach fails for the calibrated model, while the benchmark approach still works.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper considers the realistic modelling of derivative contracts on exchange rates. We propose a stochastic volatility model that recovers not only the typically observed implied volatility smiles and skews for short dated vanilla foreign exchange options but allows one also to price payoffs in foreign currencies, lower than possible under classical risk neutral pricing, in particular, for long dated derivatives. The main reason for this important feature is the strict supermartingale property of benchmarked savings accounts under the real world probability measure, which the calibrated parameters identify under the proposed model. Using a real dataset on vanilla option quotes, we calibrate our model on a triangle of currencies and find that the risk neutral approach fails for the calibrated model, while the benchmark approach still works. |
Giorgia Callegaro; Lucio Fiorin; Martino Grasselli Quantized calibration in local volatility models Article de journal Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776. Résumé | Liens | BibTeX @article{Grassellibb,
title = {Quantized calibration in local volatility models},
author = { Giorgia Callegaro and Lucio Fiorin and Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2495829},
doi = {10.2139/ssrn.2495829},
issn = {0952-8776},
year = {2015},
date = {2015-03-31},
journal = {Risk Magazine},
volume = {9},
pages = {62-67},
abstract = {In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the recursive marginal quantization methodology to the pricing of vanilla and barrier options. A successful calibration of the Quadratic Normal Volatility model is performed in order to show the potentiality of the method in a concrete example, while a numerical exercise on barrier options shows that quantization overcomes Monte-Carlo methods.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the recursive marginal quantization methodology to the pricing of vanilla and barrier options. A successful calibration of the Quadratic Normal Volatility model is performed in order to show the potentiality of the method in a concrete example, while a numerical exercise on barrier options shows that quantization overcomes Monte-Carlo methods. |
Sébastien Nouet; Philippe Caton; Michel Revest Le partage public/privé du marché de la dépendance Article de journal Dans: Revue Risques , (101), p. 124-130, 2015, ISBN: 978-2-35588-064-3. Résumé | BibTeX @article{nouetbb,
title = {Le partage public/privé du marché de la dépendance},
author = {Sébastien Nouet and Philippe Caton and Michel Revest},
isbn = {978-2-35588-064-3},
year = {2015},
date = {2015-03-15},
journal = {Revue Risques },
number = {101},
pages = {124-130},
abstract = {Le marché de la dépendance ne pourra se développer fortement qu'à travers un système public-privé, similaire sur certains points à celui de la santé ; ceci en fournissant une prise en charge paramédicale grâce à des garanties à la fois assurables et innovantes répondant bien aux besoins des assurés, assurés dont la sinistralité associée est supérieure au tiers au-delà de 85 ans. Deux scénarios de prise en charge privée complémentaire sont proposés dans lesquels les assureurs ont accès à une base de données commune et panélisée afin d'acquérir avec le temps le recul nécessaire à l'observation du risque grâce à un échantillon national de taille importante. La piste principale de la forme financière de l'adossement de la part complémentaire se traduit par la transformation de l'épargne vie en épargne dépendance. Cet article propose ainsi des solutions innovantes afin de développer ce marché et aborde le problème sous-jacent de la prévention.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Le marché de la dépendance ne pourra se développer fortement qu'à travers un système public-privé, similaire sur certains points à celui de la santé ; ceci en fournissant une prise en charge paramédicale grâce à des garanties à la fois assurables et innovantes répondant bien aux besoins des assurés, assurés dont la sinistralité associée est supérieure au tiers au-delà de 85 ans. Deux scénarios de prise en charge privée complémentaire sont proposés dans lesquels les assureurs ont accès à une base de données commune et panélisée afin d'acquérir avec le temps le recul nécessaire à l'observation du risque grâce à un échantillon national de taille importante. La piste principale de la forme financière de l'adossement de la part complémentaire se traduit par la transformation de l'épargne vie en épargne dépendance. Cet article propose ainsi des solutions innovantes afin de développer ce marché et aborde le problème sous-jacent de la prévention. |
Jonathan Peillex; Loredana Ureche-Rangau Comment expliquer la performance financière de l’investissement conforme à la Charia ? Article de journal Dans: Management international / International Management / Gestión Internacional, 19 (2), p. 128-139, 2015, ISSN: 1206-1697. Résumé | Liens | BibTeX @article{Peillex,
title = {Comment expliquer la performance financière de l’investissement conforme à la Charia ?},
author = { Jonathan Peillex and Loredana Ureche-Rangau},
editor = {HEC Montréal et Université Paris Dauphine},
url = {http://id.erudit.org/iderudit/1030391ar},
doi = {10.7202/1030391ar},
issn = {1206-1697},
year = {2015},
date = {2015-02-01},
journal = {Management international / International Management / Gestión Internacional},
volume = {19},
number = {2},
pages = {128-139},
abstract = {Many studies have set forth that Shariah Compliant Investments (SCI) and Conventional Investments (CI) record similar financial performances. Such a result goes against the basic principles of modern portfolio theory. The aim of this paper is to provide several explanations for these counterintuitive results using an empirical corpus composed by 37 studies. Through a case of index reconstruction, we set forth that the exclusion of the financial sector combined with pro-cyclical negative screening methods play an important role in explaining the financial performance of the SCI.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Many studies have set forth that Shariah Compliant Investments (SCI) and Conventional Investments (CI) record similar financial performances. Such a result goes against the basic principles of modern portfolio theory. The aim of this paper is to provide several explanations for these counterintuitive results using an empirical corpus composed by 37 studies. Through a case of index reconstruction, we set forth that the exclusion of the financial sector combined with pro-cyclical negative screening methods play an important role in explaining the financial performance of the SCI. |
Sergio Focardi; Frank Fabozzi Economics : An Empirical Science Capable of Forecasting Economic Events ? Article de journal Dans: The Journal of Portfolio Management, 41 (4), p. 145-151, 2015. BibTeX @article{Focardi2015,
title = {Economics : An Empirical Science Capable of Forecasting Economic Events ?},
author = {Sergio Focardi and Frank Fabozzi },
editor = {Institutional Investor Journals Group},
year = {2015},
date = {2015-01-01},
journal = {The Journal of Portfolio Management},
volume = {41},
number = {4},
pages = {145-151},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Sergio M. Focardi Is economics an empirical science? If not, can it become one? Article de journal Dans: Frontiers Applied Mathematics Statistics , 2015. Liens | BibTeX @article{Focardi,
title = {Is economics an empirical science? If not, can it become one?},
author = {Sergio M. Focardi},
editor = {Frontiers Applied Mathematics Statistics },
doi = {http://dx.doi.org/10.3389/fams.2015.00007},
year = {2015},
date = {2015-01-01},
journal = {Frontiers Applied Mathematics Statistics },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Dépubli
|
Joel Bun; Romain Allez; Jean-Philippe Bouchaud; Marc Potters Rotational invariant estimator for general noisy matrices Dépubli 2015. Résumé | Liens | BibTeX @unpublished{Bunb,
title = {Rotational invariant estimator for general noisy matrices},
author = { Joel Bun and Romain Allez and Jean-Philippe Bouchaud and Marc Potters},
url = {http://arxiv.org/abs/1502.06736},
year = {2015},
date = {2015-02-24},
abstract = {We investigate the problem of estimating a given real symmetric signal matrix C from a noisy observation matrix M in the limit of large dimension. We consider the case where the noisy measurement M comes either from an arbitrary additive or multiplicative rotational invariant perturbation. We establish, using the Replica method, the asymptotic global law estimate for three general classes of noisy matrices, significantly extending previously obtained results. We give exact results concerning the asymptotic deviations (called overlaps) of the perturbed eigenvectors away from the true ones, and we explain how to use these overlaps to "clean" the noisy eigenvalues of M. We provide some numerical checks for the different estimators proposed in this paper and we also make the connection with some well known results of Bayesian statistics.},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
We investigate the problem of estimating a given real symmetric signal matrix C from a noisy observation matrix M in the limit of large dimension. We consider the case where the noisy measurement M comes either from an arbitrary additive or multiplicative rotational invariant perturbation. We establish, using the Replica method, the asymptotic global law estimate for three general classes of noisy matrices, significantly extending previously obtained results. We give exact results concerning the asymptotic deviations (called overlaps) of the perturbed eigenvectors away from the true ones, and we explain how to use these overlaps to "clean" the noisy eigenvalues of M. We provide some numerical checks for the different estimators proposed in this paper and we also make the connection with some well known results of Bayesian statistics. |
Joel Bun; Romain Allez; Jean-Philippe Bouchaud Eigenvectors of a Gaussian matrix with an external source Dépubli 2015. Résumé | Liens | BibTeX @unpublished{Bunbb,
title = {Eigenvectors of a Gaussian matrix with an external source},
author = { Joel Bun and Romain Allez and Jean-Philippe Bouchaud},
url = {http://xxx.tau.ac.il/pdf/1412.7108.pdf},
year = {2015},
date = {2015-01-20},
abstract = {We consider a diffusive matrix process (Xt)t≥0 defined as Xt:=A+Ht where A is a given deterministic Hermitian matrix and (Ht)t≥0 is a Hermitian Brownian motion. The matrix A is the "external source" that one would like to estimate from the noisy observation Xt at some time t>0. We investigate the relationship between the non-perturbed eigenvectors of the matrix A and the perturbed eigenstates at some time t for the three relevant scaling relations between the time t and the dimension N of the matrix Xt. We determine the asymptotic (mean-squared) projections of any given non-perturbed eigenvector |ψ0j⟩, associated to an eigenvalue aj of A which may lie inside the bulk of the spectrum or be isolated (spike) from the other eigenvalues, on the orthonormal basis of the perturbed eigenvectors |ψti⟩,i≠j. We derive a Burgers type evolution equation for the local resolvent (z−Xt)−1ii, describing the evolution of the local density of a given initial state |ψ0j⟩. We are able to solve this equation explicitly in the large N limit, for any initial matrix A. In the case of one isolated eigenvector |ψ0j⟩, we prove a central limit Theorem for the overlap ⟨ψ0j|ψtj⟩. When properly centered and rescaled by a factor N−−√, this overlap converges in law towards a centered Gaussian distribution with an explicit variance depending on t. Our method is based on analyzing the eigenvector flow under the Dyson Brownian motion.},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
We consider a diffusive matrix process (Xt)t≥0 defined as Xt:=A+Ht where A is a given deterministic Hermitian matrix and (Ht)t≥0 is a Hermitian Brownian motion. The matrix A is the "external source" that one would like to estimate from the noisy observation Xt at some time t>0. We investigate the relationship between the non-perturbed eigenvectors of the matrix A and the perturbed eigenstates at some time t for the three relevant scaling relations between the time t and the dimension N of the matrix Xt. We determine the asymptotic (mean-squared) projections of any given non-perturbed eigenvector |ψ0j⟩, associated to an eigenvalue aj of A which may lie inside the bulk of the spectrum or be isolated (spike) from the other eigenvalues, on the orthonormal basis of the perturbed eigenvectors |ψti⟩,i≠j. We derive a Burgers type evolution equation for the local resolvent (z−Xt)−1ii, describing the evolution of the local density of a given initial state |ψ0j⟩. We are able to solve this equation explicitly in the large N limit, for any initial matrix A. In the case of one isolated eigenvector |ψ0j⟩, we prove a central limit Theorem for the overlap ⟨ψ0j|ψtj⟩. When properly centered and rescaled by a factor N−−√, this overlap converges in law towards a centered Gaussian distribution with an explicit variance depending on t. Our method is based on analyzing the eigenvector flow under the Dyson Brownian motion. |
2014
|
Livres
|
Marcos Lima; Bastien Nivet L'Entreprise et son environnement: entreprendre, apprendre, s'adapter Livre EMLV, 2014, ISBN: 9781506147888. Résumé | Liens | BibTeX @book{LimaNivet2017,
title = {L'Entreprise et son environnement: entreprendre, apprendre, s'adapter },
author = {Marcos Lima and Bastien Nivet},
url = {https://www.amazon.fr/LEntreprise-son-Environnement-Entreprendre-apprendre/dp/1506147887},
isbn = {9781506147888},
year = {2014},
date = {2014-12-01},
volume = {1},
pages = {52-85},
publisher = {EMLV},
abstract = {Un ouvrage collectif des enseignants chercheurs de l'école de Management Léonard De Vinci},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
Un ouvrage collectif des enseignants chercheurs de l'école de Management Léonard De Vinci |
Articles de journaux
|
Joel Bun; Jean-Philippe Bouchaud; Satya Majumdar; Marc Potters An Instanton approach to large N Harish-Chandra—Itzykson-Zuber integrals Article de journal Dans: Physical Review Letters, 113 (7), 2014. Résumé | Liens | BibTeX @article{Bun,
title = {An Instanton approach to large N Harish-Chandra—Itzykson-Zuber integrals},
author = { Joel Bun and Jean-Philippe Bouchaud and Satya Majumdar and Marc Potters},
url = {http://arxiv.org/pdf/1403.7763.pdf},
doi = {10.1103/PhysRevLett.113.070201},
year = {2014},
date = {2014-09-05},
journal = {Physical Review Letters},
volume = {113},
number = {7},
abstract = {We reconsider the large N asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an alternative, transparent derivation of the Matytsin formalism for the unitary case. Our method is easily generalized to the orthogonal and symplectic ensembles. We obtain an explicit solution of Matytsin's equations in the case of Wigner matrices, as well as a general expansion method in the dilute limit, when the spectrum of eigenvalues spreads over very wide regions.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We reconsider the large N asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an alternative, transparent derivation of the Matytsin formalism for the unitary case. Our method is easily generalized to the orthogonal and symplectic ensembles. We obtain an explicit solution of Matytsin's equations in the case of Wigner matrices, as well as a general expansion method in the dilute limit, when the spectrum of eigenvalues spreads over very wide regions. |
Alessandro Gnoatto; Martino Grasselli The Explicit Laplace Transform for the Wishart Process Article de journal Dans: Journal of Applied Probability, 51 (3), p. 640-656, 2014. Résumé | Liens | BibTeX @article{Grassellibb,
title = {The Explicit Laplace Transform for the Wishart Process},
author = { Alessandro Gnoatto and Martino Grasselli},
url = {http://arxiv.org/pdf/1107.2748.pdf},
doi = {doi:10.1239/jap/1409932664},
year = {2014},
date = {2014-09-05},
journal = {Journal of Applied Probability},
volume = {51},
number = {3},
pages = {640-656},
abstract = {We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate. |
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