Drawing on statistical learning theory, we derive out-of-sample and optimality guarantees about the investment strategy obtained from a regularized portfoli...

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...

Given \(n\) points, a symmetric dissimilarity matrix \(D\) of dimensions \(n\times n\) and an integer \(p\geq 2\), the \(p\)-dispersion problem (pD...

Operations Research (OR) has a very important role to play in credit scoring for building models that can help the lending organization to make a good decisi...

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...

Dans le cadre de sa réforme du processus d’insolvabilité aux États-Unis, l’American Bankruptcy Institute (ABI) propose l’octroi d’une option de remboursement...

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

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump int...

Dans le cadre du calcul du risque de contrepartie, le risque de corrélation réfère à une situation où la valeur d'une transaction financière est corrélée av...

À la suite de la crise financière de 2007, la réforme de Bâle III recommande, entre autres, la mise en place de frais de capital couvrant la variabilité de ...

We analyze a transboundary pollution differential game where, in addition to the standard temporal dimension, a spatial dimension is introduced to capture th...

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

We use NORTA (NORmal To Anything) to enhance normal credit-risk factor settings in modeling common risk factors and capturing contagion effects...

The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statist...

We analyze the effect of non-constant discounting on economic growth and social welfare in an endogenous growth model with pollution externalities. For ti...

This note revisits the problem of how to select an equilibrium in a differential game in the case of multiplicity of Nash equilibria. Most of the previous ap...

Partially observed major minor LQG mean field game theory is applied to an optimal execution problem in finance; following standard financial models, control...

We examine the stability of international environmental agreements when they include both adaptation and mitigation policies. We assume that adaptation req...

Nous proposons une formule analytique pour l'évaluation d'options composes lorsque la dynamique de l'actif sous-jacent est décrite par un modèle lognormal av...