Bruno Rémillard
BackCahiers du GERAD
39 results — page 1 of 2
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...
BibTeX reference
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...
BibTeX reference
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...
BibTeX reference
In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent...
BibTeX referenceCombining losing games into a winning game
Parrondo's paradox is extended to regime switching random walks in random environments. The paradoxical behavior of the resulting random walk is explained...
BibTeX reference
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dep...
BibTeX reference
In this paper, we first present a review of statistical tools that can be used in asset management either to track financial indexes or to create synthetic o...
BibTeX reference
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...
BibTeX reference
Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...
BibTeX reference
Recently, two different copula-based approaches have been proposed to estimate the conditional quantile function of a variable \(Y\)
with respect to a vect...
We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...
BibTeX reference
Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...
BibTeX referenceDynamic programming and parallel computing for valuing two-dimensional american-style options
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...
BibTeX reference
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 ...
BibTeX reference
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...
BibTeX reference
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...
BibTeX reference
In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARM...
BibTeX referenceDynamic Copulas
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...
BibTeX reference
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 ...
BibTeX referenceMalliavin Calculus and Clark-Ocone Formula for Functionals of a Square-Integrable Lévy Process
In this article, we construct a Malliavin derivative for functionals of a square-integrable Lévy process. The Malliavin derivative is defined via chaos expan...
BibTeX reference