We consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. Although this problem is very hard to solve exactly in the general case, we show that in some instances the upper and lower bounds can be computed via...

Given multivariate time series, we study the problem of forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios. We show that it can be formulated as a sparse canonical correlation analysis and study various algorithms to solve the corresponding...

Using a very detailed set of French firms' data on trade flows and balance sheets, this paper analyses to what extent firms' financial frictions, considered as the interaction of financial dependence and financial constraints, and trading time affect their trade flows. In this empirical study...

Global trade contracted quickly and severely during the global crisis. This paper uses a unique dataset of French firms to match export data to firm-level credit constraints and shows that most of the 2008–2009 trade collapse was due to the unprecedented demand shock and to product...

La mesure d’un taux d’intermédiation est un bon moyen de caractériser de manière synthétique l’importance du rôle des intermédiaires financiers dans l’économie et leur positionnement face à l’essor de la finance de marché. Ce travail a pour objet d’en présenter et d’en...

Using a very detailed set of French firms' data on trade flows and balance sheets, this paper analyses to what extent firms' financial frictions, considered as the interaction of financial dependence and financial constraints, and trading time affect their trade flows. In this empirical study...

Measuring an intermediation rate is a good means to characterize, in a synthetic way, the importance of financial intermediaries in a given economy and their positions towards the finance market expansion. This article aims at presenting and discussing the results for France, by replacing them...

Global trade contracted quickly and severely during the global crisis. This paper, using a unique dataset of French firms, matching together export data with firm-level credit constraints, shows that most of the 2008-2009 trade collapse is accounted by the unprecedented demand shock and by...