A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Relèvement horizontal d'une semimartingale càdlàg
Convergence des approximations de McShane d'une diffusion sur une variété compacte
Backward stochastic differential equations in a Lie group
Pricing rules under asymmetric information
We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function to...
Approximation of the fractional Brownian sheet Ornstein-Uhlenbeck sheet
A stochastic “Fubini” lemma and an approximation theorem for integrals on the plane are used to produce a simulation algorithm for an anisotropic fractional Brownian sheet. The convergence rate is given. These results are valuable for any value of the Hurst parameters Finally, the approximation process is iterative on the quarter plane A sample of such simulations can be used to test estimators of the parameters = 1,2.
Sur le théorème de représentation par rapport à l'innovation
Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration
Singularity functions for fractional processes : application to the fractional brownian sheet
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