The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and...

Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

Présente, sous forme d'exercices corrigés et suivant une approche progressive, les raisonnements fondamentaux de la théorie du portefeuille et des marchés financiers, à partir desquels s'est développée la finance moderne.

L'ouvrage présente des méthodes qualitatives et quantitatives de recherche marketing, de la conception du processus aux études exploratoires et à la collecte d'information par enquête, en passant par la mesure par questionnaire et la description des données. Restitue les méthodes...

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset class for investors that includes hedge funds as well as University endowments, and has resulted in...

This paper analyses the dynamics and welfare properties of a simple AK endogenous growth model with intersectoral capital externalities. When externalities are sufficiently large, the model generates multiple growth trajectories all convergingtowards the (unique) balanced growth path. Solving...