We propose new closed-form pricing formulas for interest rate options which guarantee perfect compatibility with volatility smiles. These cap pricing formulas are computed under variance optimal measures in the framework of the market model or the Gaussian model and achieve an exact calibration...

This paper introduces two new nonparametric estimators for probability density functions which have support on the non-negative half-line. These kernel estimators are based on some inverse Gaussian and reciprocal inverse Gaussian probability density functions used as kernels. We show that they...

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a loval...

Nous examinons l'information contenue dans un ensemble de prix d'options europeennes de change USD/DEM de dates et de prix d'exercice differents. Nous rappelons le lien entre fonctions de prix d'etat et prix d'options europeennes ainsi que les principes d'estimation de fonctions de prix d'etat a...

In several OECD countries age-targeted wage subsidies have been introduced to increase the employment of older workers, but evidence on their effectiveness is scarce. This paper examines the effects of a permanent wage cost subsidy in Belgium on the employment rate, working time and hourly wage....

We study the impact of graduating in a recession in Flanders (Belgium), i.e. in a rigid labor market. In the presence of a high minimum wage, a typical recession hardly influences the hourly wage of low educated men, but reduces working time and earnings by about 4.5% up to twelve years after...