2,008 research outputs found
Regression methods in pricing American and Bermudan options using consumption processes
Full text linkHere we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying the sample space with payoffs at the optimal stopping times, we propose sequential estimates for continuation values, values of the consumption process, and stopping times on the sample paths. The approach admits constructing both low and upper bounds for the price by Monte Carlo simulations. The methods are illustrated by pricing Bermudan swaptions and snowballs in the Libor market model.American and Bermudan options, Low and Upper bounds, Monte Carlo simulations, Consumption process, Regression methods, Optimal stopping times
Justice, répression et persécutions en France de la fin des années 1930 au début des années 50 (19) - face B
No full textSéminaire dirigé par Denis Peschanski et Henry Rousso. Enregistré à l'IHTP (Paris), entre 1991 et 1993
Justice, répression et persécutions en France de la fin des années 1930 au début des années 50 (19) - face A
No full textSéminaire dirigé par Denis Peschanski et Henry Rousso. Enregistré à l'IHTP (Paris), entre 1991 et 1993
Le Conseil de déontologie journalistique « condamne » la publication par des journaux d’extraits de la rencontre entre Jean-Denis Lejeune et Michèle Martin : à quoi sert ce Conseil ?
No full textLe Conseil de déontologie journalistique vient de se prononcer dans l’affaire Lejeune-Martin-Sudpresse, qui concernait la divulgation dans certains journaux du contenu des propos tenus par Jean-Denis Lejeune et Michelle Martin lors de leur rencontre, destinée à rester confidentielle. La décision rendue le 19 juin 2013 désavoue le groupe Sudpresse estimant que la diffusion des informations litigieuses viole la confidentialité, porte atteinte à la vie privée et porte intrusion dans les souffrances morales des plaignants. Sans analyser la décision qui a été rendue, il est permis de s’interroger plus largement sur le rôle du Conseil de déontologie journalistique dans les affaires mettant en cause le respect par les journalistes de leurs normes déontologique
On Maximal Inequalities for some Jump Processes
Full text linkWe present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth fit may break down and the latter then be replaced by the continuous fit. The derived result is applied for determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps.Jump process, stochastic differential equation, maximum process, optimal stopping problem, compound Poisson process, Ito’s formula, integro-differential free-boundary problem, normal reflection, continuous and smooth fit, maximality principle, maximal inequalities
A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties
Full text linkWe propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process. In particular, the market model is incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions. The fact that we obtain classical solutions rather than viscosity solutions is important for the use of numerical algorithms, whose applicability is demonstrated in examples.Optimal investment, model uncertainty, incomplete markets, stochastic volatility, coherent risk measure, convex risk measure, optimal control, convex duality
Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
Full text linkWe present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary surface to a parabolic free-boundary problem. Using the change-of-variable formula with local time on surfaces we show that the optimal boundary can be characterized as a unique solution of a nonlinear integral equation. The result can be interpreted as pricing American fixed-strike lookback option in a diffusion model with finite time horizon.Discounted optimal stopping problem, finite horizon, geometric Brownian motion, maximum process, parabolic free-boundary problem, smooth fit, normal reflection, a nonlinear Volterra integral equation of the second kind, boundary surface, a change-of-variable formula with local time on surfaces, American lookback option problem
Governance: Who Controls Matters
Full text linkIn this paper, we provide an outlook for further research on the topic of governance. We review four different approaches on the theory of the firm and discuss implications for governance, namely; nexus of contracts / agency theory, property rights / incomplete contracts, adaptation, and nexus of specific investments.governance, property rights, adaptation, nexus of contracts
Formative Measurement Models in Covariance Structure Analysis: Specification and Identification
Full text linkMany researchers seem to be unsure about how to specify formative measurement models in software programs like LISREL or AMOS and to establish identification of the corresponding structural equation model. In order to make identification easier, a new, mainly graphically oriented approach is presented for a specific class of recursive models with formative indicators. Using this procedure it is shown that some models have erroneously been considered underidentified. Furthermore, it is shown that specifying formative indicators as exogenous variables rises serious conceptual and substantial issues in the case that the formative construct is truly endogenous (i. e. influenced by more remote causes). An empirical study on the effects and causes of brand competence illustrates this point.Formative Indicators; Latent Variables; Covariance Structure Analysis; Identification
Philosophie d’amour. Premier et second dialogue
No full textTraduction de Denis sauvage, transcription et correction par Pierre Martin. Publié le 19 février 200
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