In this study, we present a strategic change theoretical model and empirically validate it in the context of inter-governmental organizations. We followed a survey methodology approach and tested our model hypotheses using exploratory and confirmatory factor analysis. Traditional strategic...

We focus our work here on some very recent results obtained by Cherny and Madan on risk measures. They developed a rigorous mathematical framework for the study of coherent risk measures. The first sections mainly review the existing literature. We present it here for sake of completeness as...

We explore the robust replication of forward-start straddles given quoted (Call and Put options) market data. One approach to this problem classically follows semi-infinite linear programming arguments, and we propose a discretisation scheme to reduce its dimensionality and hence its complexity....

We present here two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by an example from mathematical finance, and adds a new item to the zoology of non strictly convex large deviations. For one of these examples, we also show that the...

We provide a full characterisation of the large-maturity forward implied volatility smile in the Heston model. Although the leading decay is provided by a fairly classical large deviations behaviour, the algebraic expansion providing the higher-order terms highly depends on the parameters, and...

Classical (Ito diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential Levy and affine models, which exhibit small-maturity exploding smiles, have historically been proposed to remedy this (see...

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the...

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models.This expansion applies to both small and large maturities and...