Présentation unifiée de certaines inégalités de la théorie des martingales
Pricing forward-start options in the HJM framework; evidence from the Polish market
We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Pricing of zero-coupon and coupon cat bonds
We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.
Pricing Polish three-year bonds in the HJM framework
We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.
Pricing variance swaps for stochastic volatilities with delay and jumps.
Principe de grandes déviations en théorie du filtrage non linéaire et algèbres de Lie Nilpotentes
Principe d'invariance sur le processus de vraisemblance
Probabilistic and analytic formulas for the periodic splines interpolating with multiple nodes
Probabilistic cellular automata and random fields with i.i.d. directions
Let us consider the simplest model of one-dimensional probabilistic cellular automata (PCA). The cells are indexed by the integers, the alphabet is , and all the cells evolve synchronously. The new content of a cell is randomly chosen, independently of the others, according to a distribution depending only on the content of the cell itself and of its right neighbor. There are necessary and sufficient conditions on the four parameters of such a PCA to have a Bernoulli product invariant measure....
Probabilistic metric spaces constructed from stationary Markov chains.
Probabilistic properties of a Markov-switching periodic process
In this paper, we propose an extension of a periodic () model to a Markov-switching periodic (-), and provide some probabilistic properties of this class of models. In particular, we address the question of strictly periodically...
Probabilités de présence dans un processus de branchement spatial markovien
Probability density for a hyperbolic SPDE with time dependent coefficients
We prove the existence and smoothness of density for the solution of a hyperbolic SPDE with free term coefficients depending on time, under hypoelliptic non degeneracy conditions. The result extends those proved in Cattiaux and Mesnager, PTRF123 (2002) 453-483 to an infinite dimensional setting.
Probability estimates for symmetric simple exclusion random walks
Probability in the alternative set theory
Problèmes à frontière libre et arbres de mesures
Problèmes de recouvrement et points exceptionnels pour la marche aléatoire et le mouvement brownien
La marche aléatoire (ou marche au hasard) est un objet fondamental de la théorie des probabilités. Un des problèmes les plus intéressants pour la marche aléatoire (ainsi que pour le mouvement brownien, son analogue dans un contexte continu) est de savoir comment elle recouvre des ensembles où se trouvent les points qui sont souvent (ou au contraire, rarement) visités, et combien il y a de tels points. Les travaux de Dembo, Peres, Rosen et Zeitouni permettent de résoudre plusieurs conjectures importantes...
Problèmes de récurrence concernant des mouvements aléatoires de particules sur Z avec destruction
Problèmes de temps d'arrêt optimal pour les systèmes distribués stochastiques
Problems from probability theory