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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

an algori thm, which is based on the celebrated Föllmer-Schweizer decomposition for solving the mean-variance hedging … is devoted in the choice of rebalancing dates and its impact on the hedging error, regarding the payoff regularity and …

Persistent link: https://www.econbiz.de/10011082464

Financial Markets in Continuous Time

Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10010799306

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

Persistent link: https://www.econbiz.de/10010799319

Systematic credit risk: CDX index correlation and extreme dependence

Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2008

Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence...

Persistent link: https://www.econbiz.de/10010905302

Are property derivatives a leading indicator of the real estate market?

Drouhin, Pierre-Arnaud; Simon, Arnaud - Université Paris-Dauphine (Paris IX) - 2014

essential. Do the short- and long-term forward prices behave similarly? Do property derivatives behave like other derivative … derivative contracts. Moreover, changes in forward prices are leading indicators of the IPD index. Their risks tend to converge …, maybe primarily, from the derivative market. Originality/value – In this paper, we use a never-exploited database that is …

Persistent link: https://www.econbiz.de/10010960585

L’exposition au risque de change et les déterminants de la couverture : le cas

Bellalah, Mondher; Mefteh, Salma - Université Paris-Dauphine (Paris IX) - 2002

Cet article examine si la valeur d’une entreprise exportatrice française est affectée par les fluctuations contemporaines et retardées du taux de change. En se basant sur un ´échantillon de 100 entreprises exportatrices françaises, l’´étude trouve que 22% des entreprises connaissent...

Persistent link: https://www.econbiz.de/10011071921

Viability and equilibrium in securities markets with frictions

Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine (Paris IX) - 1999

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...

Persistent link: https://www.econbiz.de/10011073668

A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration

Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2010

In this paper, we examine the process of risk commodification involved in the creation of a market for weather derivatives in Europe. We approach this issue through an in-depth qualitative study in which we focus on the commensuration process by which promoters try to draw weather risk into the...

Persistent link: https://www.econbiz.de/10010706457

A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration

Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2011

Persistent link: https://www.econbiz.de/10010706604

Martingales and arbitrage in securities markets with transaction costs

Kallal, Hedi; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 1995

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...

Persistent link: https://www.econbiz.de/10010706980