Economy and finance

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We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal lik...

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We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal retur...

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Monte Carlo (MC) is widely used for the simulation of discrete time Markov chains. We consider the case of a \(d\)-dimensional continuous state space and w...

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Randomized Quasi-Monte Carlo (RQMC) methods provide unbiased estimators whose variance often converges at a faster rate than standard Monte Carlo as a functi...

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We consider the set of graphs that can be constructed from a one-vertex graph by repeatedly adding a clique or a stable set linked to all or none of the vert...

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We consider a structural model to design and evaluate the American call, conversion, and put options embedded in corporate bonds. We use dynamic programmin...

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A growing body of recent literature analyzes the reaction of Robinhood (RH) investors to price movements at the daily frequency. As these investors tend to b...

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We investigate counterparty credit risk and credit valuation adjustments in portfolios including derivatives with early-exercise opportunities, under a net...

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This paper develops an efficient hybrid algorithm to solve the credit scoring problem. We use statistical mathematical programming to develop new classificat...

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The Quadratic Knapsack Problem (QKP) is a combinatorial optimization problem that has attracted much attention over the past four decades. In this problem, o...

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This paper studies linear-quadratic Stackelberg games with a major player (leader) and \(N\) minor players (followers). To design decentralized strategies ...

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Robotic Process Automation has emerged in recent years as an important field by allowing faster and more secure processes through a reduction in the risks or...

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We explore the factor exposure heterogeneity in green and brown stocks using the peer-exposure ratio. By creating peer groups of S&P 500 index firms over 201...

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The estimation of the structural model poses a major challenge as its underlying asset (the firm's asset value) is not directly observable. We extend the m...

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The Twelfth Montreal IPSW took place on August 22-26, 2022, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for D...

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We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation i...

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In this paper, we study a novel approach for data-driven decision-making under uncertainty in the presence of contextual information. Specifically, we addres...

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We study how the financial literature has evolved in scale, research team composition, and article topicality across 32 finance-focused academic journals fro...

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Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations ei...

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We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt(2018). Focu...

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