Esposizione topografica di Roma antica distinta nelle tre prime epoche anteromana reale e consolare

UANL

Comparaison des performances relatives de différents modèles d'estimation de la valeur à risque.

Rapport de recherche

Mesures de risque d'inflation: estimations et étude de Monte Carlo.

Rapport de recherche

Approche par la distribution des pertes pour le risque opérationnel: un modèle bayésien de mélange de distribution avec fusion des données internes et externes pour la sévérité des pertes.

Rapport de recherche

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

L'influence du risque spécifique des travailleurs sur les firmes: une explication de la discrimination salariale.

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Impartition et réduction du risque.

Rapport de recherche

Le risque economique, risque politique et rendements des obligations des gouvernements provinciaux au Canada.

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Les coûts indirects des accidents du travail au Québec dans les secteurs primaires et secondaires à risque élevé.

Rapport de recherche

Maîtrise du risque et évolution de l'outil informatique à la Banque Royale du Canada.

Rapport de recherche

La valeur exposée au risque à long terme, appliquée au risque de marché.

Rapport de stage (maîtrise en finance mathématique et computationnelle)