Individual and collective security are among the gauges of civilization, and at the same time they constitute necessary conditions for its progress. Their systematic pursuit is relatively recent among nations: prompted by the dreadful lessons of the 20th century, they took their present shape...

Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the...

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

This paper provides an empirical overview of the largely unexplored public blockchain ecosystem. Our overview highlights that only a few blockchains dominate the ecosystem although no single blockchain, not even Bitcoin, dominates uniformly. We explain our empirical findings with a simple...

French Abstract: Ce document de travail présente les méthodes d'estimation des paramètres d'un modèle de régression lorsque les variables sont observées sous un format intervalle. Il illustre cette procédure d'estimation sur les données de consommation d'électricité en France, afin...

Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the...

An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge...

A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...