This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

The need to strengthen the macroprudential orientation of financial regulatory and supervisory frameworks stays a priority for financial and real healthy. Stability financial threatened with endogenous and exogenous risks translating crises, hence it has to a healthy regulation for the reduction...

Black et Scholes ont proposé en 1973 un modèle de marché financier qui conduit à une formule simple pour calculer le prix d'une option européenne sur un actif boursier. Bien que les formules de Black-Scholes soient explicites, le modèle repose sur certaines hypothèses qui ne correspondent...

The need to strengthen the macroprudential orientation of financial regulatory and supervisory frameworks stays a priority for financial and real good health. Stability financial is threatened with endogenous and exogenous risks translating crises, hence it has to a healthy regulation for the...

The need to strengthen the macroprudential orientation of financial regulatory and supervisory frameworks stays a priority for financial and real good health. Stability financial is threatened with endogenous and exogenous risks translating crises, hence it has to a healthy regulation for the...

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of bounded variation and that a superhedge is possible if upper bounds on the volatility of the relevant processes are available, cf. El Karoui, Jeanblanc-Picque and Shreve (1998)...

In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of...

Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First of all, this article, whose purpose is very...

En recourant de plus en plus aux modèles à forme réduite, la théorie de l'évaluation du risque de crédit se distance de plus en plus de l'ingénierie financière traditionnelle qui donne la part belle aux modèles structurels. Bien qu'ils postulent l'absence d'arbitrage, les modèles à...

Plusieurs gestionnaires de portefeuille pensent encore à tort qu’une couverture delta suffit pour protéger leur portefeuille contre les fluctuations des marchés financiers. Mais une augmentation marquée de la volatilité des cours boursiers les décevra dans leurs attentes. Après avoir...