Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

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...

L'une des décisions d'exercice les plus complexes dans le marché des produits dérivés concerne celle des contrats à terme portant sur des bons du Trésor, d...

La disparition récente d'un écart de cinq ans dans les échéances du panier d'obligations du Trésor faisant l'objet du contrat à terme du Chicago Board of Tra...

For a Neoclassical growth model, exponential discounting is observationally equivalent to quasi-hyperbolic discounting, if the instantaneous discount rate ...

Traditionally, claim counts and amounts are assumed to be independent in non-life insurance. This paper explores how this oft unwarranted assumption can be r...

In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss tri...

En 2001, le Trésor Américain interrompait l'émission de bons du trésor de longue maturité (trente ans), pour la reprendre en 2006. Par conséquent, il existe...

The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....

Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper propose...

Nous proposons une nouvelle approche efficace pour l'évaluation du risque de contrepartie et le calcul de l'ajustement correspondant pour des produits financ...

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 ...

Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. P...

Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to c...

This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to Se...

Les algorithmes de simulation et régression sont désormais un outil de base dans plusieurs domaines d'application de la programmation dynamique, notamment en...

Nous présentons une approche efficace pour l'évaluation du risque de contrepartie et le calcul de l'ajustement CVA pour le risque de crédit dans le cas de dé...

Commercial piracy and counterfeiting are widespread phenomena in different businesses, ranging from software and video games to luxury fashion products. Th...

A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. S...