Le présent article présente un modèle intégré de veille stratégique, méthodologie de base en gestion de projet. Les étapes importantes sont : étalonnage, gestion des connaissances, isomorphisme, aspiration. Le modèle permet de mieux identifier les risques lors des innovations menant à...

We prove a functional limit theorem for the rescaled occupation time fluctuations of a (d, , )- branching particle system (particles moving in Rd according to a symmetric -stable L´evy process, branching law in the domain of attraction of a (1 + )-stable law, 0 < < 1, uniform Poisson initial state) in the case of intermediate dimensions, / < d < (1 + )/. The limit is a process of the form K, where K is a constant, is the Lebesgue measure on Rd, and = (t)t0 is a (1+)-stable process which has long range dependence. There are two long range dependence regimes, one for all > d/(d + ), which coincides with...</<>

Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First of all, this article, whose purpose is very...

We study a long-range dependence Gaussian process which we call “sub-fractional Brownian motion” (sub-fBm), because it is intermediate between Brownian motion (Bm) and fractional Brownian motion (fBm) in the sense that it has properties analogous to those of fBm, but the increments on...

In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting...

In this paper we generalize Yu’s strong invariance principle for associated sequences to the multi-parameter case, under the assumption that the covariance coefficient u(n) decays exponentially as n - (infinity symbol). The main tools will be the Berkes-Morrow multi-parameter blocking...

This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four...

This paper proposes new Hausman-based estimators lying on cumulants optimal instruments. Using these new generated strong instruments in a GMM setting, we obtain new GMM estimators which we call GMM-C and its homologue, the GMM-hm. This procedure improves the method of moments for identifying...

We establish a mathematical framework that formally validates the two-phase “superpopulation viewpoint” proposed by Hartley and Sielken (1975), by defining a product probability space which includes both the design space and the model space. We develop a general methodology that combines...

Dans cet essai, nous présentons deux nouveaux estimateurs qui ont la propriété d’être convergents en présence d’erreurs de mesure sur les variables. Ces estimateurs sont basés sur les cumulants d’ordre deux et trois de la matrice des variables explicatives. Nous présentons...