Économie et finance

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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...

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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...

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

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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...

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

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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...

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

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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...

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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...

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

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

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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...

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

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We consider a differential game with a corrupt government and civil society as its players. We characterize open-loop and feedback Nash equilibria and find...

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The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

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This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

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We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a gener...

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In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

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This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

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We consider a duopoly competing in quantity, where firms can invest in both innovative and absorptive R&D to reduce their unit production cost, and where t...

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