This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

In the framework of regression, consider the set of regression submodels. By submodel, we mean on e or more response variables and a subset of the potential regressors. Imagine the submodels as a ponts in some space. How can we "project" these ponts onto a map so as to visualize and compare...

This article gives results specifically related to the last principal component. This linear combination of variables plays an important role when one tries to fit a hyperplane to a cloud of points. In data analysis, variables are often subject to a linear transformation. The results that we...

An extremely simple proof of the K-K-M-S Theorem is given involving only Brouwer's fixed point theorem and some elementary calculus.

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for...

We consider a nonparametric random design regression model in which the response variable is possibly right censored. The aim of this paper is to estimate the conditional destribution function and the conditional x-quantile of the response variable. We restrict attention to the case where the...

This paper studies the optimal contract offered by an uninformed principal to an informed agent when standard assumptions on the shape of the reservation utility profile don't hold. I first exhibit conditions for the continuity and the uniqueness of the solution. I then characterize the solution...

This paper takes a fresk look at testing hypotheses on dimensionality in the MANOVA model.