n this paper, we bring a new econometric perspective for CO2 emission prices modelling and we provide with an innovative methodological approach to compute option prices in incomplete markets. We apply our methodology to carbon derivative. We calibrate several Generalized Hyperbolic and GARCH...

In recent years two classes of switching models have been proposed, the Markov switching models, Hamilton (1989) and the Threshold Auto-Regressive Models (TAR), Lim and Tong (1980). These two models have the advantage of being able to modelel and capture asymmetry, sudden changes and...

This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Relying on both in and out of sample tests we consistently find a weak contribution of leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditional...

The aim of this research is to explore the risk associated with hedging in jet fuel markets. It focuses on finding the most effective proxy hedge instrument for the Singapore spot market. Due to its particularities, this market does not exhibit the same features as traditional financial markets...

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested...

This interdisciplinary paper by a mathematician and a legal counsel, both from the Paris 1 Panthéon-Sorbonne University, discusses the potential impacts of the so-called “initial coin offerings”, and of several developments based on distributed ledger technology (“DLT”), on corporate...

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options on equity option indexes. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by GARCH-type models with generalized hyperbolic...