Add to ORKGInternational audienceAn elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying, like the existence of jumps, become then quite straightforward by incorporating them into the trends. Several convincing computer experiments are reported
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We present a perturbation theory of the market impact based on an extension of the framework propose...
International audienceAn elementary arbitrage principle and the existence of trends in financial tim...
In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study t...
A traditional model for financial asset prices is that of a solution of a stochastic differential eq...
Abstract After an overview of important developments of option pricing theory, this article describe...
Jump-diffusions are a class of models that is used to model the price dynamics of assets whose value...
We consider the hedging of derivative securities when the price movement of the underlying asset can...
This dissertation contains four autonomous academic papers on asset pricing models with jump process...
In the financial industry, a derivative is a contract whose value is derived from the value of the u...
In this paper we are concerned with the existence of a dynamic arbitrage gap that evolves out of an ...
We consider the option pricing model proposed by Mancino and Ogawa, where the implementation of dyna...
The topic of this paper is the pricing and hedging of options on small capitalization stocks. Such s...
Substantial progress has been made in developing more realistic option pricing models. Empirically, ...
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We present a perturbation theory of the market impact based on an extension of the framework propose...
International audienceAn elementary arbitrage principle and the existence of trends in financial tim...
In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study t...
A traditional model for financial asset prices is that of a solution of a stochastic differential eq...
Abstract After an overview of important developments of option pricing theory, this article describe...
Jump-diffusions are a class of models that is used to model the price dynamics of assets whose value...
We consider the hedging of derivative securities when the price movement of the underlying asset can...
This dissertation contains four autonomous academic papers on asset pricing models with jump process...
In the financial industry, a derivative is a contract whose value is derived from the value of the u...
In this paper we are concerned with the existence of a dynamic arbitrage gap that evolves out of an ...
We consider the option pricing model proposed by Mancino and Ogawa, where the implementation of dyna...
The topic of this paper is the pricing and hedging of options on small capitalization stocks. Such s...
Substantial progress has been made in developing more realistic option pricing models. Empirically, ...
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We present a perturbation theory of the market impact based on an extension of the framework propose...