Tesis sobre el tema "Incertitude de la volatilité"
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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
Possamaï, Dylan. "A journey through second order BSDEs and other contemporary issues in mathematical finance". Palaiseau, Ecole polytechnique, 2011. http://pastel.archives-ouvertes.fr/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
Coulon, Jérôme. "Mémoire longue, volatilité et gestion de portefeuille". Phd thesis, Université Claude Bernard - Lyon I, 2009. http://tel.archives-ouvertes.fr/tel-00657711.
Gesser, Vincent. "Évaluation d'options de change avec volatilité stochastique". Paris 1, 1999. http://www.theses.fr/1999PA010044.
Intrator, Hélène. "Recherche sur la volatilité et l'instabilité financières". Paris 1, 1992. http://www.theses.fr/1992PA010003.
Defined as unpredictable, also supposing risk, volatility suggests the incontrolability of developments, and is linked to the way the system fits, or instantly reacts to uncertainty. A permanent state seems to be its other characteristic. Since the 1980's, it has never kept being more or less present on the evolution of variables. Instability is refering to a dynamic interpretation of systems, passing from a balance to an other one. Far from being but an evidence of instability, volatility can be regarded as a stable phenomenon within the financial system. The chaos theory argues for this view. The aim of this thesis will have been to demonstrate that financial volatility calls into questions the existing theories which are denying the uncertainty of systems. The demonstration of this idea is laying on information resuming methods (such as principal component analysis), and conditional modeling techniques (as A. R. C. H. Models). Consequences of volatility upon economical agents are carefully studied. The main beneficiaries are the big firms, but the new patrimonial behaviour of households is making the decrease in the saving rate, significantly relative. At last, the coordination of policies and the integration of markets are trying to check volatility at an international level
Kermiche, Lamya. "Dynamique de la surface de volatilité implicite". Grenoble 2, 2007. http://www.theses.fr/2007GRE21036.
The Black and Scholes Formula is very popular among market practitioners, despite the differences between reality and the hypothesis. Market models have been proposed to expand this model, by modelling implied volatility. The aim of this research is the empirical study of the dynamics of the implied volatility surface. After studying each dimension of the surface separately, we incorporated the interactions between them. To perform that, we used a functional form of Principal Component Analysis, based on a Karhunen-Loève decomposition. We isolate and study the most important shocks factors driving the implied volatility surface. Our results suggest different behaving for short and long term volatilities. Studying the time series of the obtained factors, we show that these are well represented by jump processes, particularly the first factor, which represents the global variation of the implied volatility surface. We then analyse the informational content of the implied volatility surface, by estimating and studying risk neutral densities. We find that the same jumps phenomenons are present in changes of investors' anticipations. There are many applications of the proposed models, particularly for Vega hedging of options portfolios, and for the valuation and risk management of exotic options and volatility derivatives
Panigo, Demian Tupac. "Volatilité macroéconomique et inégalité en Amérique latine". Paris, EHESS, 2008. http://www.theses.fr/2008EHES0115.
The objective of this thesis is not focused on emphasizing the role of macroeconomic volatility as one of the main determinants of income inequality in Latin America. On the contrary, it basically consists in building an alternative theoretical framework -wholly based on Latin-American empirical evidence-where existing correlation between volatility and inequality is not univocally -nor predominantly-explained by the standard hypothesis that every society is likely to voluntarily reward "adventurer entrepreneurs assuming most of existing risk". To achieve this objective: i) the incidence and evolution of Latin-American income inequality is evaluated; ii) the distributive roIe of macroeconomic volatility is examined; iii) recent as well as earliest theoretical contributions are analyzed; iv) a set of alternative models (adapted to reproduce distinctive regional characteristics) is developed; and v) the main features of human-capital and financial channels by which volatility affects both personal and functional income inequality are identified
Ménoret, Marie. "Temps et cancer dans l'hopital : les trajectoires de l'expectative". Paris, EHESS, 1997. http://www.theses.fr/1997EHES0071.
This thesis deals with sociology of cancer and more precisely, about medical uncertainty in oncology. Remission's notion is seen as fundamental principle of its management. However, remission is a statistical thought production. How, historically and socially, did a probabilistic thinking emerge in oncology ? how does it function in clinical situations ? and what are the consequences - for patients and medical workers - of its use in modern oncology which, now, officially and legitimately, includes uncertainty in its care units ? these questions organize this research
Flatin, Sandrine. "Incertitude scientifique et responsabilité civile". Lyon 3, 2000. http://www.theses.fr/2000LYO33037.
Brémond, Alice. "Incertitude et processus de négociation". Paris 1, 1998. http://www.theses.fr/1998PA010062.
This research deals with the role of uncertainty in the negotiation process. Making use of the theory of bounded rationality, a new concept is introduced to help explain why certain negotiations fail to lead to agreement. This concept is named uncertainty concerning one's own interests in the negotiation. This research aims to explore how particular strategies may help to unblock failing negotiations by removing uncertainty. Two hypotheses are offered to explore the consequences of this uncertainty in the negotiation process. Firstly, it is argued that the presence of uncertainty may conceal the existence of possible grounds for agreement between the two parties and thus hinder progress. Secondly, concrete solutions are suggested which would reduce the level of uncertainty and thus favour the completion of successful negotiations. Emphasis is placed on the need to remove ambiguity from key negotiating points by clearly signalling the area of uncertainty. This research shows that focusing attention on uncertainty concerning one's own interests in the negotiation ; serves to reduce uncertainty. Indeed, the progress of reducing uncertainty may itself form part of the negotiation process. These two hypotheses are tested in two real negotiation situations : the reduction of working time in france and the establishment by I. B. M. Of a european works council
Fulleringer, Daniel. "Incertitude du risque industriel majeur". Chambéry, 1996. http://www.theses.fr/1996CHAMS032.
Boucher, Jean-François. "La modélisation de la volatilité, une approche sectorielle". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp04/mq26168.pdf.
Challe, Édouard. "Prophéties auto-réalisatrices et volatilité des cours boursiers". Paris 10, 2002. http://www.theses.fr/2002PA100130.
This Ph. D thesis deals with the measurement and determinants of stock market volatility. Part One uses time-series econometric techniques in order to assess the size and persistence of stock markets fluctuations. Major financial anomalies, such as excess volatility and return predictability, are then presented in a unified framework. The analysis leads me to qualify the scope of the so-called Efficient Markets Hypothesis (which turns out to be unfalsifiable), and to stress the need to explain the wide swings in the discount rate that drive stock market fluctuations. Part Two offers a theoretical explanation, based on the notions of equilibrium indeterminacy and self-fulfilling prophecies, to the aforementioned anomalies. Two simple asset pricing models are used to show that the high volatility of stock markets, far from proving their irrationality, is rather a natural implication of the multiplicity of equilibria that may arise in dynamic rational expectations models
Negrea, Bogdan Cristian. "La volatilité stochastique et la valorisation des options". Paris 1, 2005. http://www.theses.fr/2005PA010017.
Aboura, Sofiane. "L' étude du comportement de la volatilité implicite". Aix-Marseille 3, 2003. http://www.theses.fr/2003AIX32037.
This thesis deals with the study of the implied volatility behavior. The first part presents and simulates the main implied volatility models and option pricing models. The goal is to highlight the role of the parameters characterizing the volatility process on the smile deformation. The second part is dedicated to the study of the predictive power and to the transmission of implied volatility, within an international framework, between the French, German and US markets (VX1, VDAX and VIX). The objective is to measure the interactions between volatilities and to quantify their process. The third part is devoted to option valuation with a discussion on the empirical dynamic of the smile. The analysis concerns models derived from Black-Scholes (1973), models including information costs, stochastic volatility models and NGARCH models. The purpose is to underline the performance and limit of these models along with their smile
Kurpiel, Adam. "Valorisation et gestion d'options : modèles à volatilité stochastique". Bordeaux 4, 2000. http://www.theses.fr/2000BOR40048.
Saïmi, Nabil. "Estimation de la volatilité et filtrage non linéaire". Thèse, Université du Québec à Trois-Rivières, 2002. http://depot-e.uqtr.ca/2614/1/000694563.pdf.
Zheng, Yu. "Productivité de l'agriculture française et volatilité des prix". Thesis, Rennes, Agrocampus Ouest, 2018. http://www.theses.fr/2018NSARE051/document.
The EU has adopted many reforms of the Common Agricultural Policy (CAP) in the past decades. Price support has decreased, and decoupled payments have been introduced. As a result, European agricultural prices have become more volatile, in line with world prices.This dissertation measures the evolution of the productivity of French agriculture in a dynamic stochastic farm decision model in the new economic context with increased price volatility. On this basis, it studies the dynamic link between price risk, farmer decisions, and productivity in the structural estimation framework. The literature review in Chapter 2 describes productivity as a residual and emphasizes the measurement issues from the unobserved capital data series and the endogeneity problem in primal estimation.Chapter 3 compares the numerical methods to solve and estimate nonlinear dynamic stochastic general equilibrium (DSGE) or DSGE-like models, in which capital and productivity are latent state variables. Chapter 4 estimates productivity in a dynamic stochastic decision model based on the generalized maximum entropy (GME) approach. We show that the productivity growth in French agriculture has slowed down and become more volatile following the rise in price volatility. Overall, price risk has an impact on productivity in the way that when exposed to high risks, farmers change their production, consumption, investment and financial borrowing decisions, which in turn affects the realized productivity negatively. Chapter 5 simulates the market impacts of the CAP instruments in a dynamic GTAP-AGR CGE mode
Nicolay, David. "Volatility dynamics". Palaiseau, Ecole polytechnique, 2011. http://pastel.archives-ouvertes.fr/docs/00/60/01/06/PDF/VolatilityDynamics_DNicolay_PrePrint.pdf.
Nous établissons les liens asymptotique entre deux catégories de modèles à volatilité stochastique décrivant le même marché dérivé: - un modèle générique à volatilité stochastique instantanée (SInsV) , dont le système d'EDS est un chaos de Wiener formel, spécifié sans aucune variable d'état. - une classe à volatilité implicite stochastique glissante (SImpV), qui est un autre modèle de marché, décrivant explicitement la dynamique conjointe du sous-jacent et de la surface d'options Européennes associées. Chacune de ces connexions est atteinte couche par couche, entre un groupe de coefficients SInsV et un ensemble de differentielles SImpV (statiques et dynamiques). L'approche asymptotique conduit à ce que ces différentielles croisees soient prises à l'expiration zéro, au point ATM. Nous progressons d'une configuration simple, bi-dimensionnelle à sous-jacent unique, d'abord vers une configuration multi-dimensionnelle, puis vers un cadre à structure par terme. Nous exposons les contraintes structurelles de modélisation et l'asymétrie entre le problème direct (de SInsV vers SImpV) et inverse. Nous montrons que cette expansion asymptotique en chaos (ACE) est un outil puissant pour la conception et l'analyse de modèles. En se concentrant sur des modèles à volatilité locale et leurs extensions, nous comparons ACE avec la littérature et exhibons un biais systématique dans l'heuristique de Gatheral. Dans le contexte multi-dimensionnel, nous nous concentrons sur des paniers à poids stochastiques, pour lesquels ACE fournit des résultats intuitifs soulignant la recurrence naturelle. Dans l'environnement des taux d'intérêt, nous etablissons la première couche de descripteurs du smile pour les caplets, les swaptions et les options sur obligations, à la fois dans un cadre SV-HJM et un cadre SV-LMM. En outre, nous montrons que ACE peut être automatisé pour des modèles génériques, à n'importe quel ordre, sans calcul formel. L'intérêt de cet algorithme est démontré par le calcul manuel des 2eme et 3eme couches, dans un modèle générique SInsV bi-dimensionnel. Nous présentons le potentiel applicatif d'ACE pour la calibration, l'evaluation, la couverture ou à des fins d'arbitrage, illustré par des tests numériques sur le modèle CEV-SABR
Cheng, Hua. "Prix, volume et volatilité d’actifs avec coûts de transaction". Paris 9, 2007. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2007PA090003.
In this thesis, we show that (1) trading volume provides important information on the payoff of the risky asset to uninformed traders or/and to informed traders in a world with transaction costs; (2) transaction costs reduce trading volume and its influence decreases at the margin; (3) price autocorrelation can be generated only by transaction costs and this autocorrelaiton is negative; (4) asset price and return volatility may increase with transaction costs; and (5) whether trading volume increases with the precision of public information depends on which effect dominates among three (positive effect of differential interpretation, negative effect of transaction costs, and positive or negative effect of different precision of private information)
Touzi, Nizar. "Modèles à volatilité stochastique : arbitrage, équilibre et inférence statistique". Paris 9, 1993. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1993PA090053.
Boucher, Christophe. "Mésalignements, rentabilités et volatilité sur le marché des actions". Paris 13, 2006. http://www.theses.fr/2006PA131027.
The aim of this thesis is to analyze empirically misalignments on the US stock market and to examine their impact on the future path of stock prices, the volatility and the monetary policy conduct. Chapter 1 shows that the unconditional expected equity premium is affected by the structural economic changes and not only by the business cycle. Chapter 2 considers a new perspective on the relationship between stock prices and inflation, by estimating the common long-term trend in the earning-price ratio and inflation. Chapter 3 explores the adjustment mechanism between US stock prices and fundamentals using momentum threshold autoregressive (MTAR) models. Chapter 4 considers the impact of misalignments on realized volatility. Chapter 5 investigates the relationship between consumption, disaggregated wealth and the monetary policy for the US
Marteau, Didier. "Modélisation du niveau et des structures de volatilité implicite". Paris 9, 1990. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1990PA090041.
Implied volatility is both a fundamental variable in leading theoretical option pricing models, and a commodity traded on options markets. Market analysis reveals a contradiction between theoretical assumptions concerning implied volatility estimation and the behavior of options traders. On the one hand, implied volatility, theoretically related to future actual volatility only, has been found to depend on the strike prices. On the other hand, implied volatilities traded on the market vary according to maturities. The term structure of implied volatility can be outlined in the same way as yield curves. The aim of the thesis is to put forward the theoretical foundations of the twin structure of implied volatility (strike price and maturity). This research will demonstrate how a better modeling of implied volatility can contribute to an improved options book management
Chuffart, Thomas. "Problèmes de choix de modèles dans la volatilité conditionnelle". Thesis, Aix-Marseille, 2016. http://www.theses.fr/2016AIXM2022.
This Ph.D. thesis composed by three chapters contributes to the development of model selection in GARCH-type models.The first chapter investigates whether the most common selection criteria lead to choose the right specification in a regime switching framework. We propose simulation experiments which reveal the inefficiency of some selection criteria in particular cases which lead to misspecification. Depending on the Data Generating Process used in the experiments, great care is needed when choosing a criterion.In the second chapter, a misspecication test for GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown nonlinear GARCH-type models. This test can be seen as a general misspecication test. We investigate the size and the power of this test through Monte Carlo experiments. We show the usefulness of our test with an illustrative empirical example based on daily exchange rate returns.In the third chapter, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015, we find that crude oil price returns are a critical determinant of Venezuela CDS spreads changes, but does not explain significantly Russian CDS spreads. Indeed, oil prices seem to impact Russian CDS spreads through the exchange rates canal. Finally, we propose as an appendix the manual of the MSGtool, a MATLAB toolbox, which provides a collection of functions for the simulation and estimation of a large variety of Markov Switching GARCH (MSG) models
Behboodi, Arash. "Réseaux coopératifs avec incertitude du canal". Phd thesis, Supélec, 2012. http://tel.archives-ouvertes.fr/tel-00765429.
Calvez, Marcel. "Incertitude, risque et handicapJalons d'analyse culturelle". Phd thesis, Université Rennes 2, 2004. http://tel.archives-ouvertes.fr/halshs-00005903.
Fourneaux, Germain. "Politique et incertitude chez Claude Lefort". Thesis, Université Laval, 2007. http://www.theses.ulaval.ca/2007/24291/24291.pdf.
Villion, Jérôme. "Théorie du regret, incertitude et pessimisme". Caen, 2004. http://www.theses.fr/2004CAEN0614.
Qaeze, Fenemedre. "Planification sous incertitude d'un complexe minier". Thesis, Toulouse 2, 2020. http://www.theses.fr/2020TOU20010.
Most manufacturing products are composed of metals, themselves produced from mining or recycling of metal alloys.Our study is part of the context of mining. This activity generates huge profits through two processes: the upstream process and the downstream process. The upstream process is the headquarters of the extraction activities while the downstream process is the seat of the transformation activities. Because of the huge profits generated by the mining activity, one of the primary concerns of the decision-makers is to ensure a stable income for the activity. Therefore, we must ensure the robustness of the mining production chain. The robustness of the mining production chain means a stability of the chain in the face of hazards outside from the mining system.It should be noted that the processes of the mining chain are realized in an unique reality. Hence, we are interested in the New Caledonian mining process (French archipelago of the South Pacific) in which maritime transport is essential. This specificity places the mining system in an environment subject to climatic hazards. In this context, we are interested in the hazards caused by the hurricane event; a frequent phenomenon in this part of the globe.In order to ensure the robustness of the mining production chain, we propose to coordinate upstream and downstream processes via the exchange of key information between upstream and downstream processes and also at the very heart of the upstream process ie between mines. Moreover, the consideration of cyclonic hazards is done by a scenario approach.In order to solve the question of mining planning under uncertainty in order to ensure the robustness of the entire mining system: a bibliographic study has made it possible to highlight the component processes of the global chain. This study also identified two types of uncertainty: ore supply uncertainty and uncertainty in the distribution of the mineral product. Climate hazards are poorly studied, as is the exchange of key information between upstream and downstream processes.As a perspective, we propose: knowledge propagation in the mining context then we propose the consideration of other sources of ore likely to modify the current definition of the mining chain and finally the taking into account of the appropriate weightings between the scenarios describing expert knowledge of a hazard affecting the mining chain
Wargnies-Chevallier, Marielle. "Investissement et incertitude : prévision, analyse, faits". Grenoble 2, 1995. http://www.theses.fr/1995GRE21025.
This research work deals with the decisions and expectations of firms placed in an environment of uncertainty. It also aims at analysing its effects on a sectorial and aggregate level. Our work focusses on the various types of investment behaviour. It only takes into account the french case. A detailed survey of the resumption in investment in the late nineteen eighties allows us to formulate the question concerning the decision of investment in uncertainty. This study is divided into three parts, which represent as many levels of grading concerning uncertainty. The first part deals with short-term analysis. It establishes the link existing between uncertainty and errors in forecast. The second part explains the preference for short-term expectations ; it expresses the choice for rationalization investment rather than investment concerning the growth of capacities. The third part resting on a concrete basis, analyses the agents' capacity to adapt to uncertainty. The study of investment behaviour in three industries (aluminium, textile and clothing, paper and cardboard) stresses the pernicious effects of uncertainty on the rhythm of activity
El, Kolei Salima. "Estimation des modèles à volatilité stochastique par filtrage et déconvolution". Nice, 2012. http://www.theses.fr/2012NICE4095.
This thesis deals with the estimation of the state and/or the parameters of state-space models. The motivations come from financial applications, namely, from the estimation of the stochastic volatility and the parameters of its dynamics. Here, we consider two models : the Taylor SV model and the Heston model. After presenting the filtering methods, we propose a new approach of M-estimation based on a déconvolution strategy for linear state space models. We show that this method leads to a consistent and asymptotically normal estimator with an explicit variance, allowing constructing asymptotic confidence interval in practice. For the SV model, a thorough comparison with filtering methods and other classical methods is given on simulated and real data. This study shows the performance of our new approach. The Heston model is an example of complex state space models and, due to the nonlinearity, we cannot apply our approach. Nevertheless, filtering methods can be used for this model and we show how the filters update the estimation of the volatility and the parameters thanks to the observation of option prices. This illustrates the flexibility of these methods. Finally, we analyze the model risk induces by an error in the estimation of the parameters. Our objective consists in understanding the behavior of the filtering methods when the model is not well parameterized. A theoretical analysis consists in isolating the model risk due to the uncertainty of the parameters from the error of estimation for linear (and weakly nonlinear) models. An application of this result is given for the Heston model
Amraoui, Mohamed. "Le marché financier sous la dynamique de la volatilité stochastique". Paris 2, 2008. http://www.theses.fr/2008PA020031.
Leblanc, Matthieu. "Sur-réplication et volatilité incertaine : options européennes, américaines et passeports". Paris 7, 2002. http://www.theses.fr/2002PA077105.
Essama, Zoh Gervais. "Les anticipations de volatilité sur le marché des options Matif". Paris 9, 1990. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1990PA090030.
The notion of risk is familiar to everyone, however, it takes on a special significance in the field of economics and especially in the area of finance. In the options markets, volatility is one the major variables used, both for fund managers as well as for theoricians doing research in the field of derivative assets. In both cases, the question of volatility measure to integrate into a fund management strategy or an evaluation model, is brought up. In fact, one is less concerned with the variation of asset value over a past period than its variation over future one. Several solutions are considered amongst the following: - an approach based on the dispersion of historical data. This approach suffers from structural instability an estimation inaccuracy to the extend that the deducted standard deviation is often based on a normal distribution hypothesis. - an approach based on implicit volatility. This approach suffers from instability according to the evaluation model used, as well as from its inherently "case by case" nature. These two approaches take account only partially of innovations related to announcements. We put forward in this thesis, an approach which combines market information transmitted by the implied volatilities and the impact of innovation that we have identified in foreign economic publications (american), french economic publications. .
Beaudry, Éric. "Planification d'actions concurrentes sous contraintes et incertitude". Thèse, Université de Sherbrooke, 2011. http://savoirs.usherbrooke.ca/handle/11143/5145.
Essafi, Mohamed Ali. "Liberté de choix : Incertitude, Diversité et Interdépendance". Caen, 2013. http://www.theses.fr/2013CAEN0709.
The integration of freedom in normative economics is a milestone in the search for an objective measure of individual well-being. This normative concern apprehends individual freedom through the formalism of opportunity sets. Its main concern is how to classify these sets in a way that reflects the significance of the statement "offers at least as much freedom of choice”. Pattanaik and Xu proposed to express this normative intuition by Cardinal criterion. But the cardinal ranking has been criticized extensively, particularly from Sen. First, the independence axiom is sensitive to the diversity of options in the opportunity sets. This has motivated us to propose the expected entropy as a measure of diversity in the classical framework and the star entropy in the fuzzy frame. The other criticism is that addressed to the indifference between no-choice situations and the monotony axiom. These axioms seem to overlook the value of a significant choice. In this perspective, we propose to develop and implement a concept of freedom regarding the explicit consideration, both in measurements of individual liberty and their aggregation into a collective ranking of interactions that link individuals with each other. It seems the concept of moral and social freedom that has brought our choice. Then, we had to deepen the specific content of this concept by inquiring it into the conditions of possibility of aggregation through a meta-rankings game
Lanzi, Thomas. "Manipulation d'information et incertitude scientifique : trois essais". Paris 10, 2004. http://www.theses.fr/2004PA100141.
In many economic problems, decision-makers have not necessary knowledge and have recourse to expert to make decision. However, expert can manipulate their private information in order to satisfy their own interest. A first part of this thesis is interested to this problem by considering face to face communication between an expert and a decision maker. We analyse the strategic information revelation through different communication mechanism. In particular, we consider an incentive mechanism for truthful information disclosure, a Cheap-Talk mechanism and a Persuasion mechanism. Moreover, in a situation of hard uncertainty, we compare decisions resulting from two criteria of decisions which try to convey two different interpretations of the precautionary principle, the Maxmin EU criterion and the minimization of the maximum of the regret expectation criterion
Delande, Michel. "Incertitude, information, équilibres et marchés à terme". Montpellier 1, 1988. http://www.theses.fr/1988MON10011.
Lecostey, Sophie. "Incertitude, concentration industrielle et relation structure-performance". Caen, 1990. http://www.theses.fr/1990CAEN0533.
The main target of this thesis is to propose, in term of demand uncertainty, an explanation of the increasing role played by the small firms in the industry since the seventries and of the structure-performance relation deterioration abserved in the empirical studies during the same period. The first part introduces the competitive models used to show random demand effect on the industrial concentration. The eventual diversity ( the coexistence of firms different efficiency) arises from the technological choice of the firms, and the uncertainty promotes the smaller firms which are supposed to be more flexible than the larger ones. The second part introduces some models with dominant firms and competitive fringe. The eventual industrial diversity results then from the strategy selected by the larger firms (the dominant firms). Moreover, we show how the uncertainty is able to spoil the structure-performance relation. Finally, the empirical part first, tests the influence of uncertainty on industrial concentration and on the subcontracting degree, and second, shows that the structureperformance relation deterioration results from the industries characterized by a high degree of uncertainty
Delande, Michel. "Incertitude, information, équilibres et marchés à terme". Grenoble 2 : ANRT, 1988. http://catalogue.bnf.fr/ark:/12148/cb37613095t.
Ha-Duong, Minh. "Comment tenir compte de l'irreversabilite dans l'evaluation integree du changement climatique ?" Paris, EHESS, 1998. http://www.theses.fr/1998EHES0060.
This ph. D. Thesis in economics balances discounting, technical progress and the inertia of existing capital stock against uncertainty and the inertia of socio-economic systems to examine the issue of near term limitations of greenhouse gases emissions. After a general overview in chapter 2, and an more historical presentation of the debates in chapter 3, chapter 4 proceeds to reviewing a large number of integrated assessment models. Chapter 5 introduces a model on the dynamics of inertia and adaptability of energy systems : diam, used to discuss how much previous studies overestimated the long term costs of co@ limitations and underestimated adjustment costs. It shows the optimality of atmospheric co@ concentration stabilisation, even under relatively mild assumptions for climate damages. In a sequential decision framework, chapter 6 shows that current uncertainties about which co@ concentration ceiling would not present dangerous interference with the climate system justifies precautionary action. Finally, chapter 7 uses the irreversibility effect theory to define, formally situations of 'decision under controversy' and compare the irreversibility of co@ accumulation with the irreversibility of investments needed to moderate it. An option value for greenhouse gases emissions limitations is computed