This paper investigates the behavior of long zero-coupon rates and its consequences for usual arbitrage models of the term structure.

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...

This short note shows that there exists a simple relation between the private ECU, its theoretical value and the associated interest rates. From this relation, one can estimate the time to EMU as expected by financial markets and see whether this time is consistent with a monetary union taking...

A recent report from the Center for Economic Policy Research (CEPR) has advocated that fixed conversion rates for the start of EMU should be preannounced as soon as possible. The aim of this short paper is to focus on the potential dangers of such a decision. Indeed, the CEPR report propositions...

This paper demonstrates that aggregate losses are necessarily low as long as we remain under the standard assumptions of LDA models. Moreover empirical findings show that the correlation between two aggregate losses is typically below 5%, which opens a wide scope for large diversification...

[fre] Cet article examine les différentes règles proposées pour fixer les taux de conversion au 1er janvier 1999. Ces règles ne sont pas toutes équivalentes au regard de l'influence qu'elles peuvent avoir sur les marchés financiers. Idéalement, une règle de conversion doit être telle...

Most models of the term structure show a factor structure, where interest rates depend linearly on some factors. We derive in a Heath, Jarrow and Morton [1992] type framework what the main consequences of this assumption are, especially when volatilities are stochastic. We show that such a...