In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...

The two-factor Hull-White (2-HW) model is a famous stochastic model that describes the instantaneous short rate. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of interest rate derivatives. The 2-HW is actually a special case of...

Negative interest rates are present in various marketplaces since mid-2014, following the negative interest rate policy (NIRP) adopted by the European Central Bank in order to lift the economic growth (and, therefore, the inflation). However, this policy involves difficulties for market...

Since the 2007 financial crisis, many central banks adopted policies to lower their interest rates, whose dynamics can not be captured using classical models. Recently, Meucci and Loregian (2016) proposed an approach to estimate nonnegative interest rates using the inverse-call transformation....

The generation of yield curves is performed in many contexts, e.g. for the valuation capital requirement (under banking and insurance regulation frameworks ) as well as the pricing of the financial contracts. The famous Vasicek one-factor model can be applied for such a purpose. It plays the...

The two-additive-factor Gaussian model G2 (which encompasses the famous twofactor Hull-White model) is a stochastic model which describes the instantaneous short rate dynamic. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of...