This paper posits itself in the stream of literature related to event studies and in particular the September 11th event. It is the first study to our knowledge that investigates the impact on the French financial market of September 11th, 2001 and September 21st, 2001. Was there any information...

The number of articles on real options arises some questions. Is it possible to employ them in every field? What can we expect of them a valuation method, or a new way of thinking? This text aim to answer to these questions. It gives some precision on the analogy between real and financial...

C’est en appliquant aux instruments financiers (taux de change, taux d’intérêt, indices boursiers, actions) les techniques de transaction et de gestion des risques utilisées dans le domaine des matières premières depuis le milieu du XIXe siècle en Grande-Bretagne, en France et aux...

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

This article provides economic and statistical tools to analyze oil derivatives markets, and more especially the “peak” in prices recorded in July-August 2008. The main explanations of the literature are summarized, by emphasizing current trends. Overall, this article highlights a new...

This review article describes the main contributions in the literature on term structure models of commodity prices. The first section is devoted to the theoretical analysis of the term structure. It confines itself primarily to the traditional theories of commodity prices and to their...

This article analyzes long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...

We consider a multivariate financial market with transaction costs as in Kabanov. We study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. We prove that the value of this stochastic control problem is given by the cost of the...

An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...

The reversibility phenomenon in the repeat-sales index is a serious obstacle for derivatives products. This article provides a solution for this problem, using an informational reformulation of the RSI framework. We present first a theoretical formula (simple, easy to interpret, and easy to...