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Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Roméro, Ricardo Romo - HAL - 2014

In this paper, we work on indifference valuation of variable annuities and give a computation method for indifference fees. We focus on the guaranteed minimum death benefits and the guaranteed minimum living benefits and allow the policyholder to make withdrawals. We assume that the fees are...

Persistent link: https://www.econbiz.de/10010899322

Reducing the debt : is it optimal to outsource an investment?

Espinosa, Gilles Edouard; Hillairet, Caroline; … - HAL - 2013

We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the...

Persistent link: https://www.econbiz.de/10010723292

High-frequency market-making with inventory constraints and directional bets

Fodra, Pietro; Labadie, Mauricio - HAL - 2012

We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No.3 2008) and Gueant, Lehalle and Fernandez-Tapia ("Dealing with inventory risk", Preprint 2011) to the case of a rather general...

Persistent link: https://www.econbiz.de/10009652118

Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Guilbaud, Fabien; Pham, Huyên - HAL - 2012

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse...

Persistent link: https://www.econbiz.de/10010548432

Optimal High Frequency Trading with limit and market orders

Guilbaud, Fabien; Pham, Huyen - HAL - 2011

We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who...

Persistent link: https://www.econbiz.de/10009147925

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - HAL - 2013

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these...

Persistent link: https://www.econbiz.de/10010631315

The impact of the catering theory and financial firms' characteristics on dividend decisions: the case of the French market

Anouar, Kamal - HAL - 2012

This article investigates the impact that prevailing investor demand for dividend payers and financial firm … profitability and low debt levels, investors' demand for dividend payers has a positive and significant impact on the probability …

Persistent link: https://www.econbiz.de/10010821276

L'EXCES DE CONFIANCE DES DIRIGEANTS ET LA DECISION DE DISTRIBUTION DE DIVIDENDES : UNE ANALYSE LEXICALE

Anouar, Kamal - HAL - 2013

Cet article propose d'étudier la décision de distribution du dividende sous l'approche des dirigeants surconfiants en … supposer une plus grande propension des dirigeants surconfiants à la distribution du dividende. Les principaux résultats … obtenus montrent que les dirigeants des grandes sociétés cotées en France sont assez confiants lorsqu'il s'agit du dividende …

Persistent link: https://www.econbiz.de/10010821499

LA PRÉVISION DU BÉNÉFICE COMPTABLE PAR LE DIVIDENDE

Adjaoud, Fodil; Chkir, Imed; Rahman, Abdul - HAL - 2006

que le dividende véhicule de l'information quant aux performances futures des entreprises canadiennes, et ce …

Persistent link: https://www.econbiz.de/10008789060

GOUVERNANCE FAMILIALE ET REPARTITION DE LA VALEUR : ETUDE DES POLITIQUES DE DISTRIBUTION AUX ACTIONNAIRES DES ENTREPRISES FAMILIALES COTEES

Charlier, Patrice; Boys, Céline Du - HAL - 2009

Cet article analyse le montant et la forme des politiques de distribution des entreprises familiales cotées. Les évolutions récentes de la notion d'entreprise familiale amènent à s'interroger sur les effets de deux types de conflits d'agence, entre actionnaires et dirigeant (type I), et...

Persistent link: https://www.econbiz.de/10008790296