We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...

For nearest neighbor univariate random walks in a periodic environment, where the probability of moving depends on a periodic function, we show how to estim...

In this paper, we propose an intuitive way to couple several dynamic time series models even when there are no innovations. This extends previous work for m...

In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent...

Le paradoxe de Parrondo est étendu à des marches aléatoires en environnements aléatoires avec changement de régimes. Le comportement paradoxal de la march...

Dans cet article, nous résolvons le problème de réplication optimale en temps discret lorsque les rendements d'actifs suivent un modèle auto-régressif multiv...

Dans cet article, nous présentons d'abord une analyse des outils statistiques qui peuvent être utilisés dans la gestion des actifs soit pour reproduire des i...

An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...

Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

Récemment, deux approches différentes basées sur la fonction copule ont été proposées pour estimer la fonction des quantiles conditionnels d'une variable `...

Nous développons un modèle structurel élargi pour évaluer les dettes corporatives risquées qui prend en compte le risque de défaut et le risque du taux d'int...

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...

We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the p...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These mo...

In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARM...

In this paper, we introduce the notion of dynamic copulas to model serial dependence as well as interdependence between several time series. The proposed m...

In this article we find the optimal solution of the hedging problem in discrete time by minimizing the mean square hedging error, when the underlying assets ...

In this article, we construct a Malliavin derivative for functionals of a square-integrable Lévy process. The Malliavin derivative is defined via chaos expan...