Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the...

We analyse a multiplex of networks between OECD countries during the decade 2002-2010, which consists of five financial layers, given by foreign direct investment, equity securities, short-term, long-term and total debt securities, and five environmental layers, given by emissions of N O x, P M...

In this paper I study the nonparametric identification of screening (price discrimination) models when consumers have multidimensional private information about their taste for product characteristics. In particular, I consider the model developed by Rochet and Chone (1998) and determine...

We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for the prices of bonds and bond options. Though the model is...

An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at least one of the components is large. Such problems...

We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture...

In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the sparsity of the second-order KKT points of the...

In this paper we build a method to optimize Multi-Year Prospective Budgets. First we present a systemic model of Local Community Finances. Then, from two acceptable Multi-Year Prospective Budgets the method implements a Genetic Algorithm to generate a collection of admissible Multi-Year...

Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this cost traders split up large orders over time. Varying...

PD curve calibration refers to the transformation of a set of rating grade level probabilities of default (PDs) to another average PD level that is determined by a change of the underlying portfolio-wide PD. This paper presents a framework that allows to explore a variety of calibration...