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...

Since its inception, stochastic Data Envelopment Analysis (DEA) has found many applications. The approach commonly taken in stochastic DEA is via chance cons...

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...

We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

First-generation R&D-based endogenous growth models have been criticized because they predict strong scale effects (growth rate proportional to the size of...

We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

This paper studies a districting problem which arises in the context of financial product pricing. The challenge lies in partitioning a set of small geogra...

We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...