Academic literature on the topic 'Incertitude de la volatilité'
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Journal articles on the topic "Incertitude de la volatilité":
Pinaud, Samuel. "Rendre la volatilité acceptable." Regards croisés sur l'économie 33, no. 2 (December 5, 2023): 76–85. http://dx.doi.org/10.3917/rce.033.0076.
H., Jacques. "Sur la macroéconomie de l'incertitude et des marchés incomplets." Revue de l'OFCE 72, no. 1 (January 1, 2000): 7–37. http://dx.doi.org/10.3917/reof.p2000.72n1.0007.
Gao, Huiyi, and Patricia David. "Management stratégique des risques VUCA sur la nouvelle Route de la Soie – Étude de cas de China Communications Construction Company." Question(s) de management 45, no. 4 (July 26, 2023): 53–65. http://dx.doi.org/10.3917/qdm.225.0053.
NABOUK, Mohamed. "Effet de la crise de Covid sur la persistance et l’asymétrie de la volatilité du marché boursier marocain." International Journal of Financial Accountability, Economics, Management, and Auditing (IJFAEMA) 3, no. 4 (July 26, 2021): 441–54. http://dx.doi.org/10.52502/ijfaema.v3i4.113.
Bensafta, Kamel Malik, and Gervasio Semedo. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance." Articles 85, no. 1 (May 18, 2010): 13–76. http://dx.doi.org/10.7202/039734ar.
Henry, Claude. "Incertitude scientifique et incertitude fabriquée." Revue économique 64, no. 4 (2013): 589. http://dx.doi.org/10.3917/reco.644.0589.
MWAMBA, MUEPU. "Incertitude." Matatu 13-14, no. 1 (April 26, 1995): 156–57. http://dx.doi.org/10.1163/18757421-90000123.
Boucher, Christophe, and Armand Derhy. "Mésalignements et volatilité." Revue d'économie politique 121, no. 6 (2011): 839. http://dx.doi.org/10.3917/redp.216.0839.
Bouthors, Jean-François. "Féconde incertitude." Revue Projet N°379, no. 6 (2020): 54. http://dx.doi.org/10.3917/pro.379.0054.
Gatty, Jean. "Incertitude financière." Commentaire Numéro161, no. 1 (2018): 85. http://dx.doi.org/10.3917/comm.161.0085.
Dissertations / Theses on the topic "Incertitude de la volatilité":
Daudé, Bénédicte. "Marchés financiers et données fondamentales : essai structurale d'une économie de l'information et de l'incertain." Lyon 3, 2001. http://www.theses.fr/2001LYO33013.
Chebil, Mhiri Myriam. "Spreads obligataires souverains et transmission de la volatilité entre les marchés financiers de la zone euro." Thesis, Paris 10, 2016. http://www.theses.fr/2016PA100113/document.
This thesis focuses on explaining the determinants of sovereign bond yield spreads in selected euro area countries during the financial crises of last decade. It examines the impact of those turmoil periods on sovereign bond market dynamics, and on its interactions with stock and CDS markets. GARCH-type models are used to identify determinants explaining spreads of each country, while panel data analyzed within fixed and random effects models, and run on crisis and non-crisis periods, identify whole sample determinants. To assess contagion effect, both MS- VAR and DCC-MVGARCH models are used. Results suggest that global risk and liquidity factors are the significant drivers of the spreads volatility. For the periphery countries in the euro zone, spreads are found to be more responsive to explanatory risk factors than those of the core countries. The role of these factors is also found stronger during the sub-prime and euro area crises. The analyses of the financial markets interactions within the euro area demonstrate the existence of a contagion effect, as well as a “flight to quality” phenomenon
Guirat, Rania. "L'hétérogénéité des comportements sur le marché boursier français : théories et vérifications empiriques." Thesis, Paris 10, 2010. http://www.theses.fr/2010PA100212.
This PhD dissertation presents a contribution to the analysis of the behaviour’s heterogeneity on the stock markets. It proposes, firstly, a review of the literature of heterogeneous agents’ models which allow reproducing stylised facts observed in the real markets such as an excessive volatility of prices, an important transaction’s volume, grouped volatilities, a fat tail distribution and a mean return, which contradicts the markets efficiency and the assumption of a representative agent. These models also, allow explaining the bubbles emergence and prices behaviours sometimes chaotic. The explicit heterogeneity hypothesis, in modelling, leads representations more adequate with reality. In addition, we propose empirical works on investor’s behaviours heterogeneity in the French stock market, for individuals stocks and following different observation frequencies. The first estimation considers a model of evolutionary strategies selection. We noted the persistence of the difference between prices and fundamental values. We also noticed the confusion of investors in crisis periods with a brutal change between strategies and this often for the majority of investors. We concluded for these periods that there are imitation phenomena related on lack of information and uncertainty climate. This result agrees with real market during bubble formation and bursting of a bubble. These results are generally confirmed by the second estimation of the LSTAR-GARCH model which explicitly considers a conditional variance and supposes different assumptions from the first
Hernández, Santibáñez Nicolás Iván. "Contributions to the principal-agent theory and applications in economics." Electronic Thesis or Diss., Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED086.
In this thesis, theoretical aspects and applications in economics of the Principal-Agent model are studied.The first part of the thesis presents two applications of the model. In the first one, an electricity provider determines the optimal tariff of consumption for its clients. Population is heterogeneous and the provider observes perfectly the consumption of the clients. This leads to a setting of adverse selection without moral hazard. The problem of the Principal writes as a non-standard variational problem, which can be solved under certain particular forms of the reservation utility of the population. The optimal contracts obtained are either linear or polynomial with respect to the consumption and the electricity provider contractsonly consumers with either low or high appetite for electricity.In the second application, a bank monitors a pool of identical loans subject to Markovian contagion. The bank raises funds from an investor, who cannot observe the actions of the bank and neither knows his ability to do the job. This is an extension of the model of Pagès and Possamaï [84] to the case of both moral hazard and adverse selection. Following the approach of Cvitanić, Wan and Yang [31] to these problems, the dynamic credible set is computed explicitly and the value function of the investor is obtained through a recursive system of variational inequalities. The properties of the optimal contracts are discussed in detail.In the second part of the thesis, the problem of an Agent controlling the drift of a diffusion process under volatility uncertainty is studied. It is assumed that the Principal and the Agent have a worst–case approach to the problem and they act as if a third player, the Nature, was choosing the worst possible volatility. This work is an extension to Mastrolia and Possamaï [64] and Sung [125] to a more general framework. It is proved that the value function of the agent can be represented as the solution to a second–order BSDE, and also that the value function of the Principal corresponds to the unique viscosity solution of the associated Hamilton-Jacobi-Bellman-Isaacs equation, given that the latter satisfies a comparison result
Ma, Lin. "Structures et aléa en finance, une approche par la complexité algorithmique de l’information." Thesis, Lille 1, 2010. http://www.theses.fr/2010LIL12018/document.
This doctoral dissertation examines different notions of financial randomness and regularity. We show that main financial theories (i.e. market efficiency, behavioral finance and the so-called ``conventionalist approach'') support the impossibility of outperforming the ``buy and hold'' strategy. This point is confirmed by statistical works since regularities identified in financial time series do not help to predict the direction of future returns. To the best of our knowledge, available econometric models often provide too low ``hit scores'' (< 60%) to become successful trading rules. A conceptuel contribution of this work lies in the introduction of algorithmic complexity to finance. A general approach is proposed to estimate the ``Kolmogorov complexity'' of financial returns: lossless compression tools are used to detect regular patterns which could be overlooked by statistical tests. By studying tick-by-tick data from major stock markets, we find a higher complexity for the Euronext-Paris data than for the NYSE and the NASDAQ ones. This result can be explained by their intraday volatility autocorrelations. Supported both by financial theories and by empirical observations, impossibility to outperform the ``buy and hold'' strategy is linked to the common expression ``to outperform the market'' by a new definition for ``unbeatable strings''. With computable functions modeling effective trading rules, a price sequence is said to be ``unbeatable'' if no effective trading rule can generate indefinitely more profits than the ``buy and hold'' alternative
Moccero, Diego Nicolas. "Volatilité et performance macroéconomique." Paris, EHESS, 2009. http://www.theses.fr/2009EHES0096.
Ln this Thesis we study volatility issues across three broad economic fields, namely international trade, the banking sector, and monetary policy. They share the common feature of having the volatility of one variable to be a key ingredient of the econometric model. Indeed, in the second Chapter of this thesis, we study the impact of real exchange rate volatility on exports in Argentina since the 1980s. The empirics of this topic are discussed in view of the twofold dimension of trade relations: the impact of intra-regional (with Brazil) and extra regional (with the rest of the world) real exchange rate volatility, on both intra and extra-regional exports. In Chapter 3, we move to the issue of the impact of foreign bank presence on credit volatility, focusing in a panel of eight Latin American countries over the period 1995-2001. In the forth Chapter, instead of focusing on how volatility affects one variable, or how one variable may affect volatility, we look at the presence of volatility spillovers between interest rates and expected ination in Brazil, Chile, Colombia and Mexico, four countries that have implemented ination targeting regimes at the end of the 1990s. In Chapter 5, we study the long term dynamics of the Argentinean current count. Finally, we conclude with a summary of the main findings of this thesis we offer some venues for further research
Al, Wakil Anmar. "Modélisation de la Volatilité Implicite, Primes de Risque d’Assurance, et Stratégies d’Arbitrage de Volatilité." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED047/document.
Volatility strategies have flourished since the Great Financial Crisis in 2008. Nevertheless, the recent catastrophic performance of such exchange-traded products has put into question their contributions for portfolio hedging and diversification. My thesis work aims to rethink and reinvent the philosophy of volatility strategies.From a preliminary empirical study based on the expected utility theory, Chapter 1 makes a diagnostic of traditional volatility strategies, based on buy-and-hold investments and passive replication of implied volatility. It exhibits that, although such portfolio hedging significantly outperforms traditional hedging, it appears strongly inappropriate for risk-loving investors.Chapter 2 paves the way for a new generation of volatility strategies, active, option-based and factor-based investing. Indeed, our both analytical and empirical decomposition of implied volatility smiles into a combination of implied risk premia, distinct and tradeable, enables to harvest actively the compensation for bearing higher-order risks. These insurance risk premia measure the pricing discrepanciesbetween the risk-neutral and the physical probability distributions.Finally, Chapter 3 compares our factor-based investing approach to the strategies usually employed in the hedge fund universe. Our essay clearly evidences that our tail risk premia strategies are incremental determinants in the hedge fund performance, in both the time-series and the cross-section of returns. Hence, we exhibit to what extent hedge fund alpha actually arises from selling crash insurance strategies against tail risks
Javaheri, Alireza. "Le processus de la volatilité." Phd thesis, Paris, ENMP, 2004. http://www.theses.fr/2004ENMP1250.
It is widely accepted today that an assumption of a constant standard-deviation for the stock-return is not realistic. Indeed the traditional Samuelson-Black-Scholes framework of a lognormal distribution fails to explain the existence of leptokurticity (fat tails) as well as the asymmetry (negative skew) observed in the stock-return distribution. Many different theories have been recently suggested to deal with this phenomenon, but they could all be classified under the title of Stochastic Volatility (SV). Popular SV models include GARCH, Jump-Diffusion, Heston and the Variance-Gamma models. Most of them use either Gaussian innovations with Poisson jumps or other Levy distributions such as Gamma or Ornstein-Uhlenbeck. One of the main difficulties while working with an SV model is that the actual instantaneous volatility is not observable in the market and therefore needs to be modeled as a hidden state. This means that in order to calibrate a model to the stock market, one needs to use a usually nonlinear and/ or non-Gaussian Filter. An alternative would be to use a Bayesian Markov-Chain Monte-Carlo approach. This calibration will then provide us with an estimation of the statistical (or real-world) distribution of the stock-return. This thesis focuses on Nonlinear and Non-Gaussian Filtering as well as the comparison between the Statistical and Risk-Neutral distributions
Ravary, Jérôme. "Ordonnancement sous incertitude." Thèse, [Rimouski, Québec] : Université du Québec à Rimouski, 2008.
Titre de l'écran-titre (visionné le 2 septembre 2008). Mémoire présenté à l'Université du Québec à Rimouski comme exigence partielle du programme de Maîtrise en gestion de projet. Comprend un résumé. CaQRU CaQRU CaQRU Comprend des réf. bibliogr.: (f. 50-53). Publié aussi en version papier. CaQRU
Possamaï, Dylan. "A journey through second order BSDEs and other contemporary issues in mathematical finance." Palaiseau, Ecole polytechnique, 2011. https://pastel.hal.science/docs/00/65/15/89/PDF/Thesis.pdf.
This PhD dissertation presents two independent research topics dealing with contemporary issues in mathematical finance, the second one being divided into into two distinct problems. Throughout the first part of the dissertation, we study the notion of second order backward stochastic differential equations (2BSDE in the following), first introduced by Cheredito, Soner, Touzi and Victoir, then reformulated by Soner, Touzi and Zhang. We start by proving an extension of their existence and uniqueness results to the case of a continuous generator with linear growth. Then, we pursue our study with another extension to the case of a quadratic generator. The theoretical results obtained in that chapter allow us to solve a problem of utility maximization for an investor in an incomplete market, the source of incompleteness being on one hand the restrictions on the class of admissible trading strategies, and on the other hand the fact that the volatility of the market is uncertain. We prove the existence of optimal strategies, we characterize the value function of the problem thanks to a 2BSDE and solve explicetely several examples which give further insight into the main modifications introduced by the uncertain volatility framework. We conclude the first part of the dissertation by introducing the notion of 2BSDEs reflected on an obstacle. We prove existence and uniqueness of the solutions of those equations and propose an application to the pricing problem of American options under volatility uncertainty. The first chapter of the second part of the dissertation deals with a problem of option pricing in an illiquidity model. We provide asymptotic expansions of those prices in the infinite liquidity limit and highlight a transition phase effect depending on the regularity of the payoff considered. We also give numerical results. Finally, the last chapter of this thesis is devoted to a Principal/Agent problem with moral hazard. A bank (the agent) has a certain number of defaultable loans and is ready to exchange their interests with the promess of payments. The bank can influence the default probabilities by choosing whether it monitors the loans or not, this monitoring being costly for the bank. Those choices are only known by the bank itself. Investors (the principal) want to design contracts which maximize their utility while implicitely giving incentives to the bank to monitor all the loans at all times. We solve explicitely this optimal control problem, we describe the associated optimal contract and its economic implications and provide some numerical simulations
Books on the topic "Incertitude de la volatilité":
Cahen, Philippe. Analyse technique et volatilité. Paris: Economica, 2004.
Bronner, Gérald. L' Incertitude. Paris: Presses universitaires de France, 1997.
Arts, Bruno. L'instemps: Inexacte incertitude. Alby-sur-Chéran (les Balmettes-Mûres, 74540): Arthur'r éd., 2000.
Fox, Renée C. L' incertitude médicale. Louvain-la-Neuve: CIACO, 1988.
Cadet, B., Gérard Chasseigne, and G. Foliot. Cognition, incertitude et prévisibilité. Paris: Publibook, 2008.
Cousin, Olivier. Les cadres: Grandeur et incertitude. Paris: Harmattan, 2004.
Piget, Patrick. Décision d'investissement: Incertitude et information. Paris: Economica, 2011.
Piget, Patrick. Décision d'investissement: Incertitude et information. Paris: Economica, 2011.
Moureau, Nathalie. L' incertitude dans les théories économiques. Paris: La Découverte, 2004.
Jones-Davies, Margaret, and Florence Malhomme, eds. Certitude et incertitude à la Renaissance. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.5.106359.
Book chapters on the topic "Incertitude de la volatilité":
Herman, Peter C. "Incertitude, Authority, and Milton’s God." In Destabilizing Milton, 107–25. New York: Palgrave Macmillan US, 2005. http://dx.doi.org/10.1007/978-1-137-05304-6_6.
Angelini, Annarita. "Un savoir-opérer sujet à la règle. Certitude et incertitude dans la théorie de l’architecture de Brunelleschi-Alberti." In Certitude et incertitude à la Renaissance, 17–34. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00017.
Lupacchini, Rossella. "Les relations d’incertitude de Heisenberg à travers les yeux de Léonard." In Certitude et incertitude à la Renaissance, 35–54. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00018.
Marrache-Gouraud, Myriam. "Construire la certitude dans le discours scientifique." In Certitude et incertitude à la Renaissance, 55–73. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00019.
Méniel, Bruno. "La preuve artificielle, entre rhétorique et droit, de Ramus à Althusius." In Certitude et incertitude à la Renaissance, 75–86. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00020.
Lacroix, Jean. "L’histoire, calcul des probabilités: de la rationalité du «Prince»." In Certitude et incertitude à la Renaissance, 87–114. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00021.
Tournon, André. "Se prononcer dans l’incertitude. «Je ne serais pas si hardi à parler, s’il m’appartenait d’en être cru»." In Certitude et incertitude à la Renaissance, 115–32. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00022.
Roger-Vasselin, Bruno. "Certain, à certes, de certains…: les emplois de certain, incertain et leurs dérivés dans les Essais, ou incertitude du discours et discours de l’incertitude chez Montaigne." In Certitude et incertitude à la Renaissance, 133–52. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00023.
Geonget, Stéphan. "Du couple magister-discipulus au couple Salomon-Marcoul: de la certitude pour l’autre à la certitude pour soi." In Certitude et incertitude à la Renaissance, 153–66. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00024.
Hoenselaars, Ton. "Of Power and Subjectivity: Sites of Uncertainty in English Renaissance Drama and the Case of Sir Thomas More." In Certitude et incertitude à la Renaissance, 167–79. Turnhout: Brepols Publishers, 2013. http://dx.doi.org/10.1484/m.sirir-eb.4.00025.
Conference papers on the topic "Incertitude de la volatilité":
Kienzle, Florian, Evelina Trutnevyte, and Goran Andersson. "Comprehensive performance and incertitude analysis of multi-energy portfolios." In 2009 IEEE Bucharest PowerTech (POWERTECH). IEEE, 2009. http://dx.doi.org/10.1109/ptc.2009.5281853.
BELDEAN, LAURENȚIU, and CIPRIAN ȚUȚU. "Music Therapy: a Psychiatric Method between Confidence and Incertitude." In Psychology and the realities of the contemporary world. Romanian Society of Experimental Applied Psychology, 2016. http://dx.doi.org/10.15303/rjeap.2016.si1.a64.
Durand, M. "Risque, incertitude et gouvernance : renforcer la perception du décideur." In Congrès Lambda Mu 19 de Maîtrise des Risques et Sûreté de Fonctionnement, Dijon, 21-23 Octobre 2014. IMdR, 2015. http://dx.doi.org/10.4267/2042/56129.
Wang, Jing, R. Venkatesha Prasad, and I. G. M. M. Niemegeers. "Solving Incertitude of Vertical Handovers in Heterogeneous Mobile Wireless Network." In 3rd International ICSTConference on Wireless Internet. ICST, 2007. http://dx.doi.org/10.4108/wicon.2007.2099.
Bhardwaj, Ajay, and Devendra Singh Gurjar. "Solving the Incertitude of Network Selection in Het-Nets Using Graph Theory." In 2020 Advanced Communication Technologies and Signal Processing (ACTS). IEEE, 2020. http://dx.doi.org/10.1109/acts49415.2020.9350420.
Lin, Y., Y. Li, and E. Zio. "Modélisation des multiples dégradations dépendantes en concurrence sous incertitude épistémique par PDMP." In Congrès Lambda Mu 19 de Maîtrise des Risques et Sûreté de Fonctionnement, Dijon, 21-23 Octobre 2014. IMdR, 2015. http://dx.doi.org/10.4267/2042/56153.
Wang, J., R. V. Prasad, and I. G. M. M. Niemegeers. "Solving the Incertitude of Vertical Handovers in Heterogeneous Mobile Wireless Network Using MDP." In 2008 IEEE International Conference on Communications. IEEE, 2008. http://dx.doi.org/10.1109/icc.2008.418.
Rougié, Bernard, Jeanne Marie Coutin, and Dominique Renoux. "Un nouvel étalon de référence pour la sensibilité spectrale de détecteur, “peu couteux” et de très faible incertitude." In 17th International Congress of Metrology, edited by Bernard Larquier. Les Ulis, France: EDP Sciences, 2015. http://dx.doi.org/10.1051/metrology/20150011002.
Wang, Yan. "Solving Interval Master Equation in Simulation of Jump Processes Under Uncertainties." In ASME 2013 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/detc2013-12740.
Lloyd, George M., and K. J. Kim. "Power/Efficiency Optimization of a Sorption Cooler Under Quantified Design Uncertainty." In ASME 2007 International Mechanical Engineering Congress and Exposition. ASMEDC, 2007. http://dx.doi.org/10.1115/imece2007-43742.
Reports on the topic "Incertitude de la volatilité":
Reverdy, Thomas, and Alicia Roehrich. Incertitude et résilience dans les projets technologiques. Fondation pour une culture de sécurité industrielle, January 2016. http://dx.doi.org/10.57071/582prj.
Perron, Benoit, Michel Poitevin, Arthur Adam, and Xenia Sozonoff. Autonomie alimentaire et volatilité des prix : une comparaison internationale. CIRANO, September 2023. http://dx.doi.org/10.54932/eygc7391.
Huchet-Bourdon, Marilyne. Est-ce que la volatilité des prix des matières premières agricoles augmente ? Organisation for Economic Co-Operation and Development (OECD), January 2012. http://dx.doi.org/10.1787/5k9gvsc6g7r7-fr.
Bieder, Corinne, René Amalberti, Jean Pariès, Hervé Laroche, Eric Marsden, and Caroline Kamaté. La sécurité à l’ère du «vivre avec»: Incertitude, complexité et nouvelles attentes. Fondation pour une Culture de Sécurité Industrielle, May 2024. http://dx.doi.org/10.57071/420yzp.
Herbert, Sian. Covid-19, Conflict, and Governance Evidence Summary No.30. Institute of Development Studies (IDS), February 2021. http://dx.doi.org/10.19088/k4d.2021.028.
Dufour, Quentin, David Pontille, and Didier Torny. Contracter à l’heure de la publication en accès ouvert. Une analyse systématique des accords transformants. Ministère de l'enseignement supérieur et de la recherche, April 2021. http://dx.doi.org/10.52949/2.