Tesi sul tema "Applications financières"
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Leblanc, Jean-Philippe. "Distribution hyperbolique généralisée et applications financières". Mémoire, Université de Sherbrooke, 2003. http://savoirs.usherbrooke.ca/handle/11143/2360.
Testo completoCoviello, Rosanna. "Calcul stochastique via régularisation et applications financières". Phd thesis, Université Paris-Nord - Paris XIII, 2006. http://tel.archives-ouvertes.fr/tel-00121525.
Testo completoNous fournissons des exemples de portefeuilles autofinancés et introduisons une notion de A-martingale. Un calcul relatif à celle-ci est développé. La condition de non-arbitrage parmi toutes les stratégies dans A est récupérée si le processus des prix de l'actif risqué est une A-martingale.
Nous abordons le problème de la viabilité du marché, de la couverture et de la maximisation de l'utilité de la richesse terminale.
La deuxième partie de la thèse est consacrée à l'étude d'une équation différentielle stochastique unidimensionnelle dirigée par une semimartingale mélangée à un processus à variation cubique finie.
Nous proposons une méthode qui repose sur une transformation réduisant le coefficient de diffusion à 1.
Le développement de la méthode utilisée nous conduit à des résultats significatifs dans l'analyse du calcul via régularisation.
En particulier, une formule de type Ito-Wentzell relative aux processus à variation cubique finie est
établie et la structure des processus weak-Dirichlet par rapport à la filtration brownienne est clarifiée.
Nous démontrons, par une approche similaire, l'existence et l'unicité d'une équation dirigée par un processus hölder-continu dans l'espace. En utilisant une formule d'Ito pour les semimartingales réversibles nous prouvons l'existence d'une solution lorsque le processus dirigeant l'équation est le mouvement brownien et le coefficient de diffusion est juste continu
Coviello, Rosanna. "Calcul stochastique via régularisation et applications financières". Phd thesis, Paris 13, 2006. http://www.theses.fr/2006PA132027.
Testo completoNous fournissons des exemples de portefeuilles autofinancés et introduisons une notion de A-martingale. Un calcul relatif à celle-ci est développé. La condition de non-arbitrage parmi toutes les stratégies dans A est récupérée si le processus des prix de l'actif risqué est une A-martingale.
Nous abordons le problème de la viabilité du marché, de la couverture et de la maximisation de l'utilité de la richesse terminale.
La deuxième partie de la thèse est consacrée à l'étude d'une équation différentielle stochastique unidimensionnelle dirigée par une semimartingale mélangée à un processus à variation cubique finie.
Nous proposons une méthode qui repose sur une transformation réduisant le coefficient de diffusion à 1.
Le développement de la méthode utilisée nous conduit à des résultats significatifs dans l'analyse du calcul via régularisation.
En particulier, une formule de type Ito-Wentzell relative aux processus à variation cubique finie est
établie et la structure des processus weak-Dirichlet par rapport à la filtration brownienne est clarifiée.
Nous démontrons, par une approche similaire, l'existence et l'unicité d'une équation dirigée par un processus hölder-continu dans l'espace. En utilisant une formule d'Ito pour les semimartingales réversibles nous prouvons l'existence d'une solution lorsque le processus dirigeant l'équation est le mouvement brownien et le coefficient de diffusion est juste continu
Olteanu, Madalina. "Modèles à changements de régime : applications aux données financières". Phd thesis, Université Panthéon-Sorbonne - Paris I, 2006. http://tel.archives-ouvertes.fr/tel-00133132.
Testo completoOn propose d'étudier ces questions à travers deux approches. Dans la première, il s'agit de montrer la consistance faible d'un estimateur de maximum de vraisemblance pénalisée sous des conditions de stationnarité et dépendance faible. Les hypothèses introduites sur l'entropie à crochets de la classe des fonctions scores généralisés sont ensuite vérifiées dans un cadre linéaire et gaussien. La deuxième approche, plutôt empirique, est issue des méthodes de classification non-supervisée et combine les cartes de Kohonen avec une classification hiérarchique pour laquelle une nouvelle dispersion basée sur la somme des carrés résiduelle est introduite.
Lacoste, Vincent. "Statistiques des diffusions et applications probabilistes aux mathématiques financières". Paris 9, 1994. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1994PA090006.
Testo completoRoyer, Julien. "Processus ARCH d'ordre infini, Bêtas dynamiques et applications financières". Electronic Thesis or Diss., Institut polytechnique de Paris, 2022. http://www.theses.fr/2022IPPAG012.
Testo completoThe modeling of financial time series is made difficult by the presence of stylized facts. These empirical statistical properties led to the development of heteroskedastic nonlinear models. Infinite ARCH specifications have been introduced to allow finer modeling of these stylized facts, and in particular the phenomenon of strong persistence of volatility shocks. We present new extensions to these flexible models and study their inference. First, we consider an asymmetric infinite ARCH model. We prove the existence of a stationary solution and establish the asymptotic properties of the quasi-maximum likelihood estimator in this framework. In particular, we allow the parameter to lie on the boundary of the parameter space, precluding asymptotic normality. Moreover, we introduce a portmanteau test assessing the goodness-of-fit of the model on data. We also propose a test for the presence of memory and asymmetry. In a second time, we consider the modeling of the coefficients of a conditional linear regression. Linear factor models are key to many financial models and regression coefficients are often wrongfully assumed constant. We propose a model allowing for dynamic beta coefficients within the framework of multivariate infinite ARCH models. In particular, we allow the addition of exogenous variables in the dynamics of conditional betas and discuss potential candidates. We establish the conditions of existence of a stationary solution and discuss the existence of its moments. Finally, we consider an asset pricing exercise based on dynamic betas. To this end, we extend the results of statistical tests in the case of score-driven betas and propose a bootstrap procedure. Additionally, we introduce a two-step estimation method to measure the dynamic risk premia underlying the asset pricing model
Choukroun, Sébastien. "Equations différentielles stochastiques rétrogrades et contrôle stochastique et applications aux mathématiques financières". Sorbonne Paris Cité, 2015. https://theses.hal.science/tel-01168589.
Testo completoThis thesis is divided into two parts that may be read independently. In the first part, three uses of backward stochastic differential equations are presented. The first chapter is an application of these equations to the mean-variance hedging problem in an incomplete market where multiple defaults can occur. We make a conditional density hypothesis on the default times. We then decompose the value function into a sequence of value functions between consecutive default times and we prove that each of them admits a quadratic form. Finally, we illustrate our results for a specific case where 2 default times follow independent exponential laws. The two following applications are extensions of the paper [75]. The second chapter is the study of a class of backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. This method allows us to solve the case where the diffusion coefficient is degenerate. We also show, in a suitable markovian framework, the connection between our class of backward stochastic differential equations and fully nonlinear variational inequalities. In particular, our backward equation representation provides a Feynman-Kac type formula for PDEs associated to general zero-sum stochastic differential controller-and-stopper games, where control affects both drift and diffusion term, and the diffusion coefficient can be degenerate. Moreover, we state a dual game formula of this backward equation minimal solution, which gives a new representation for zero-sum stochastic differential controller-and-stopper games The third chapter is linked to model uncertainty, where the uncertainty affects both volatility and intensity. This kind of stochastic control problems is associated to a fully nonlinear integro-partial differential equation, such that the measure lambda(a,. ) characterizing the jump part depends on a parameter a. We do not assume that the family lambda(a,. ) is dominated. We obtain a nonlinear Feynman-Kac formula for the value function associated to these control problems. To this aim, we introduce a class of backward stochastic differential equations with jumps and partially constrained diffusive part. Here the case where the diffusion coefficient is degenerate is solved as well. In the second part, a conditional asset liability management problem is solved. We first derive the proper domain of definition of the value function associated to the problem by identifying the minimal wealth for which there exists an admissible investment strategy allowing to satisfy the constraint at maturity. This minimal wealth is identified as a solution of viscosity of a PDE. We also show that its Fenschel-Legendre transform is a solution of viscosity of another PDE, which allows to obtain a scheme with a faste convergence. We then identify the value function linked to the problem of interest as a solution of viscosity of a PDE on its domain of definition. Finally, we solve numerically the problem and we provide graphs of the minimal wealth, of the value function of the problem and of the optimal strategy
Porte, Vincent. "Applications de la comonotonie en finance". Paris 9, 2005. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2005PA090017.
Testo completoNguyen-Ngoc, Laurent. "Autour des processus de Lévy et quelques applications à des problèmes de mathématiques financières". Paris 6, 2003. http://www.theses.fr/2003PA066239.
Testo completoKornprobst, Antoine. "Financial crisis forecasts and applications to systematic trading strategies". Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E067/document.
Testo completoThis thesis is constituted of three research papers and is articulated around the construction of financial crisis indicators, which produce signals, which are then applied to devise successful systematic trading strategies. The first paper deals with the establishment of a framework for the construction of our financial crisis indicators. Their predictive power is then demonstrated by using one of them to build an active protective-put strategy, which is able to beat in terms of performance a passive strategy as well as, most of the time, multiple paths of a random strategy. The second paper goes further in the application of our financial crisis indicators to the elaboration of systematic treading strategies by using the aggregated signal produce by many of our indicators to govern a portfolio constituted of a mix of cash and ETF shares, replicating an equity index like the SP500. Finally, in the third paper, we build financial crisis indicators by using a completely different approach. By studying the dynamics of the evolution of the distribution of the spreads of the components of a CDS index like the ITRAXX Europe 125, a Bollinger band is built around the empirical cumulative distribution function of the distribution of the spreads, fitted on a basis constituted of two lognormal distributions, which have been chosen beforehand. The crossing by the empirical cumulative distribution function of either the upper or lower boundary of this Bollinger band is then interpreted in terms of risk and enables us to construct a trading signal
Morlais, Marie-Amélie. "Equations différentielles stochastiques rétrogrades à croissance quadratique et applications". Phd thesis, Université Rennes 1, 2007. http://tel.archives-ouvertes.fr/tel-00179388.
Testo completoBavouzet, Marie-Pierre. "Minoration de densité pour les diffusions à sauts : calcul de Malliavin pour processus de sauts purs, applications à la finance". Paris 9, 2006. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2006PA090041.
Testo completoThis thesis gives applications of Malliavin calculus for jump processes. In the first part, we compute lower bounds for densities of jump diffusions with a continuous part driven by a Brownian motion. For that, we use a Malliavin conditional integration by parts formula based on Brownian increments only. We then deal with the computation of financial options, when the asset price follows a pure jump process. In the second part, we develop an abstract calculus of the Malliavin type based on random variables which are not independent and have discontinuous conditional densities. We settle an integration by parts formula that we apply then to the jump times and amplitudes of pure jump processes. In the third part, we use this integration by parts formula for the computation of the Delta of European and Asian options, and we derive representation formulas for conditional expectations and their gradients in order to compute the price and the Delta of American options
Morlais, Marie-Amélie. "Équations différentielles stochastiques rétrogrades à croissance quadratique et applications". Rennes 1, 2007. https://tel.archives-ouvertes.fr/tel-00179388.
Testo completoIn my PhDthesis, I have been mainly interested in the theoretical study of Backward Stochastic Differential Equations (BSDEs) with quadratic growth. The other major part of my study consists in focusing on applications to finance and especially in the classical utility maximization problem under portfolio constraints. To this end, I have extended results for non linear BSDEs by using martingale methods already known in the brownian setting to solve this problem in more general filtrations
Ciuca, Marian. "Estimation non-paramétrique sous contraintes. Applications en finance stochastique". Aix-Marseille 1, 2003. http://www.theses.fr/2003AIX11018.
Testo completoIn financial mathematics, when using the celebrated Black-Scholes formula one can be asked to nonparametrically estimate the volatility function in a one-side manner: the estimator has to be always grater than, or equal to, the estimated function. In the first part, working over Besov smoothenss classes, we construct wavelet linear and non-linear estimators of the diffusion coefficient of a diffusion process, using the sup-norm as a quality criterion for an estimator, and compute their convergence rates, in a minimax, and respectively adaptive, context; then we construct an asymptotically one-sided diffusion coefficient estimator and compute its minimax convergence rate. In the second part we study the one-side estimation problem in the Gaussian white noise model, and exhibit the minimax convergence rate for this constrained nonparametric estimation problem, proving lower and upper bound results. In the third part, we prove that our volatility estimators yield Black-Scholes asymptotically replicating, super-replicating and sub-replicating strategies. The last part presents our estimators from an applied point of view, by means of numerical simulations
Attaoui, Sami. "Modèles de "marché" de taux d'intéret : extensions et applications aux caps et swaptions". Paris 1, 2006. http://www.theses.fr/2006PA010058.
Testo completoLim, Thomas. "Quelques applications du contrôle stochastique aux risques de défaut et de liquidité". Paris 7, 2010. http://www.theses.fr/2010PA077084.
Testo completoThis PhD dissertation consists of three independent parts and deals with applications of stochastic control to finance. In the first part, we study the utility maximization problem in a market with defaults and total/partial information. The dynamic programming principle is used to characterize the value function. Given this characterization, we find a BSDE of which the value function is a solution. We also give an approximation of this value function. In the second part, we study BSDEs with jumps. We link BSDEs with jumps and Brownian BSDEs using the decomposition of processes in the reference filtration. With this link, we get a result of existence, a comparison theorem and a decomposition of Feynman-Kac formula. We use these techniques to work out the price of a European option in a complete market and the indifference price of a contingent claim in an incomplete market. Finally, in the third part, we use the error theory to explain the liquidity risk and to model the Bid-Ask spread. Then we solve an optimal liquidation problem for a large portfolio in discrete and deterministic time
Lehmann, Michel. "Programme de médicalisation des systèmes d'information : historique, développements, applications médicales et financières à un service de pneumologie". Montpellier 1, 1991. http://www.theses.fr/1991MON11152.
Testo completoRobert, Christian Yann. "Analyse des queues de distribution et des valeurs extrêmes en finance : applications aux séries financières haute fréquence". Paris 7, 2002. http://www.theses.fr/2002PA077164.
Testo completoRomo, Romero Ricardo. "Filtration enlargement with applications to finance". Thesis, Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLE012/document.
Testo completoThis thesis consists of four independent parts. The topic in common is the filtration enlargement.In the first part, we present classical results for filtration enlargement in discrete time. We study some examples in initial enlargement of filtration. For the progressive enlargement of filtration, we give conditions for immersion martingale property. We also provide various characterizations of pseudo-stopping times and properties for honest times.In the second part, we are interested in determining the indifference price for variable annuities products. For this we consider two models, in both models we suppose that the market is incomplete and we adopt the approach of indifference price. In the first model we assume that the insured performs random withdrawals. Following indifference pricing theory, we define indifference fee rate for the insurer as a solution of an equation involving two stochastic control problems. Relating these problems to backward stochastic differential equations with a jump, we provide a verification theorem and give the optimal strategies associated to our control problems. From these, we derive a computation method to get indifference fee rates. We conclude this part with numerical illustrations of indifference fees sensibilities with respect to parameters.In the second model we propose the same approach as in the first model but we assume that the insured makes withdrawals that match the worst case for the insurer. In the third part, we study the relation of the solutions of BSDEsin two filtrations. As an application, one of our goals is to find theindifference price of information, i.e. the price at which an agentwould have the same expected utility level using extra informationas by not doing so. In the fourth part, we investigate advanced backward stochastic differential equations (ABSDE) with a jump. We study the existence and uniqueness of the solution to these ABSDEs. For this we relate the solution of the ABSDEs wth jumps to Brownian ABSDEs associated to the original ABSDE before and after the time jump
Mhamdi, Samir. "La concurrence entre les places financières, vers une nouvelle géographie des activités financières et de nouveaux centres émergents : applications des Modèles multicritères d'Aide à la décision : ACP, logique floue et MCO". Nice, 2008. http://www.theses.fr/2008NICE0032.
Testo completoWhat is meant by ‘financial centres’? What part do these play nationally and internationally? How may one analyse competition between financial centres? In this context, what strategies are followed? Our research has aimed to provide answers to these questions by undertaking an in-depth theoretical study followed by an empirical study shedding light on theoretical concepts. Several themes are discussed here: the competition between financial centres and the various strategies adopted by financial markets; the impact of technological innovations, of internationalisation and of competitive strategies on the characteristics of future financial centres; and, the geography of international financial operations
Njoh, Samuel. "Valorisation et couverture en marché incomplet : applications aux options sur prix spot électricité". Marne-la-Vallée, 2003. http://www.theses.fr/2003MARN0164.
Testo completoCharpe, Matthieu. "Institutions économiques et diversité des formes de fragilité financière : théories et applications aux cas japonais et sud-américain". Paris, EHESS, 2008. http://www.theses.fr/2008EHES0133.
Testo completoSince the 70's financial crises have become recurrent, even habituai; and few economies have been spared. The most recent financial crises, in particular in those countri. Es with complex financial systems such as Japan and the United States, remind us that the banking system is at the heart of financial fragility. The literature on financial crises makes two major points. First, there are no financial crises without credit. Financial crises are the result of a process, which is triggered by the peculiar nature of credit. Second, the depth of the crises is determined by the banking sector's resilience. The resolution of the crisis depends on whether there is a banking crisis and/or on the efficiency of the management of banking crisis by public authorities. This work aims to formalize some of the mechanisms linked to credit and to the banking sector, which plays a central role in financial crises. In addition, the theoretical models are tested to the Japanese and to the South American cases. This work raises 5 issues: 1. Debt accumulation and debt deflation spirals 2. Debt default 3. Bankruptcies 4. Banking crises 5. Public intervention
Pomponio, Fabrizio. "Etude empirique, modélisation et applications des trades à limites multiples dans les carnets d'ordre". Phd thesis, Ecole Centrale Paris, 2012. http://tel.archives-ouvertes.fr/tel-00879857.
Testo completoBompis, Romain. "Stochastic expansion for the diffusion processes and applications to option pricing". Palaiseau, Ecole polytechnique, 2013. http://pastel.archives-ouvertes.fr/docs/00/95/15/10/PDF/ThesisRomainBompis.pdf.
Testo completoThis thesis deals with the approximation of the expectation of a functional (possibly depending on the whole path) applied to a diffusion process (possibly multidimensional). The motivation for this work comes from financial mathematics where the pricing of options is reduced to the calculation of such expectations. The rapidity for price computations and calibration procedures is a very strong operational constraint and we provide real-time tools (or at least more competitive than Monte Carlo simulations in the case of multidimensional diffusions) to meet these needs. In order to derive approximation formulas, we choose a proxy model in which analytical calculus are possible and then we use stochastic expansions around the proxy model and Malliavin calculus to approach the quantities of interest. In situation where Malliavin calculus can not be applied, we develop an alternative methodology combining Itô calculus and PDE arguments. All the approaches (from PDEs to stochastic analysis) allow to obtain explicit formulas and tight error estimates in terms of the model parameters. Although the final result is generally the same, the derivation can be quite different and we compare the approaches, first regarding the way in which the corrective terms are made explicit, second regarding the error estimates and the assumptions used for that. We consider various classes of models and functionals throughout the four Parts of the thesis. In the Part I, we focus on local volatility models and provide new price, sensitivity (delta) and implied volatility approximation formulas for vanilla products showing an improving accuracy in comparison to previous known formulas. We also introduce new results concerning the pricing of forward start options. The Part II deals with the analytical approximation of vanilla prices in models combining both local and stochastic volatility (Heston type). This model is very difficult to analyze because its moments can explode and because it is not regular in the Malliavin sense. The error analysis is original and the idea is to work on an appropriate regularization of the payoff and a suitably perturbed model, regular in the Malliavin sense and from which the distance with the initial model can be controlled. The Part III covers the pricing of regular barrier options in the framework of local volatility models. This is a difficult issue due to the indicator function on the exit times which is not considered in the literature. We use an approach mixing Itô calculus, PDE arguments, martingale properties and temporal convolutions of densities to decompose the approximation error and to compute correction terms. We obtain explicit and accurate approximation formulas under a martingale hypothesis. The Part IV introduces a new methodology (denoted by SAFE) for the efficient weak analytical approximation of multidimensional diffusions in a quite general framework. We combine the use of a Gaussian proxy to approximate the law of the multidimensional diffusion and a local interpolation of the terminal function using Finite Elements. We give estimates of the complexity of our methodology. We show an improved efficiency in comparison to Monte Carlo simulations in small and medium dimensions (up to 10)
Bavouzet, Marie-Pierre. "Minoration de densité pour les diffusions à sauts.Calcul de Malliavin pour processus de sauts purs, applications à la finance". Phd thesis, Université Paris Dauphine - Paris IX, 2006. http://tel.archives-ouvertes.fr/tel-00144486.
Testo completoDans la première partie, nous traitons la minoration de la densité des diffusions à sauts dont la partie continue est dirigée par un mouvement Brownien. Pour cela, nous utilisons une formule d'intégration par parties conditionnelle basée sur le mouvement Brownien uniquement.
Nous traitons ensuite le calcul d'options financières dont le prix du sous-jacent est un processus à sauts pur.
Dans la deuxième partie, nous développons un calcul abstrait du type Malliavin basé sur des variables aléatoires non indépendantes, de densité conditionnelle discontinue. Nous établissons une formule d'intégration par parties que nous appliquons aux amplitudes et temps de sauts des processus à sauts considérés. Dans la troisième partie, nous utilisons cette intégration par parties pour calculer le Delta d'options européennes et asiatiques, et pour calculer le prix et le Delta d'options américaines via des formules de représentation pour les espérances conditionnelles et leur gradient.
Matulewicz, Gustaw. "Statistical inference of Ornstein-Uhlenbeck processes : generation of stochastic graphs, sparsity, applications in finance". Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLX066/document.
Testo completoThe subject if this thesis is the statistical inference of multi-dimensional Ornstein-Uhlenbeck processes. In a first part, we introduce a model of stochastic graphs, defined as binary observations of a trajectory. We show then that it is possible to retrieve the dynamic of the underlying trajectory from the binary observations. For this, we build statistics of the stochastic graph and prove new results on their convergence in the long-time, high-frequency setting. We also analyse the properties of the stochastic graph from the point of view of evolving networks. In a second part, we work in the setting of complete information and continuous time. We add then a sparsity assumption applied to the drift matrix coefficient of the Ornstein-Uhlenbeck process. We prove sharp oracle inequalities for the Lasso estimator, construct a lower bound on the estimation error for sparse estimators and show optimality properties of the Adaptive Lasso estimator. Then, we apply the methods to estimate mean-return properties of real-world financial datasets: daily returns of SP500 components and EURO STOXX 50 Dividend Future prices
Armenti, Yannick. "XVA analysis, risk measures and applications to centrally cleared trading". Thesis, Université Paris-Saclay (ComUE), 2017. http://www.theses.fr/2017SACLE021/document.
Testo completoThis thesis deals with various issues related to collateral management in the context of centralized trading through central clearing houses. In the first place, we present the notions of cost of capital and funding cost for a bank, placing them in an elementary Black–Scholes framework where the payoff of a standard call is used as the exposure at default of a counterparty. It is assumed that the bank can’t perfectly hedge this call and must face with a funding cost higher than the risk free rate, hence pricing corrections of the FVA and KVA type appear in top of the Black–Scholes price. Then, we look at the different costs that a bank has to face when trading in the CCP context. To this end, we transpose the well-known XVA analysis framework from the bilateral trading world to the central clearing one. The total cost for a member trading through a CCP is thus decomposed into a CVA corresponding to the cost for the member to reimburse its contribution to the guarantee fund in the event of losses due to the defaults of other members, a MVA which is the cost of financing its initial margin and a KVA corresponding to the cost of capital put at risk by the member in the form of its contribution to the guarantee fund. Afterwards, we question the previously used regulatory assumptions, focusing on alternatives in which members would borrow their initial margin to a third party who would post the margin instead of the member himself, and this, in exchange for remuneration. We also consider a method of computing the guarantee fund and its allocation taking into account the risk of the CCP in the sense of fluctuations of its P&L over the following year, as it results from the market risk and the counterparty risk of the members. Finally, we propose the application of multivariate risk measure methodologies for the computation of margins and/or the CCP guarantee fund. We introduce a notion of systemic risk measures in the sense that they are sensitive not only to the marginal risks of the components of a financial system (for example, but not necessarily the positions of the members of a CCP) but also to the dependence of their components
Goulet, Clément. "Signal extractions with applications in finance". Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E066.
Testo completoThe main objective of this PhD dissertation is to set up new signal extraction techniques with applications in Finance. In our setting, a signal is defined in two ways. In the framework of investement strategies, a signal is a function which generates buy/sell orders. In denoising theory, a signal, is a function disrupted by some noise, that we want to recover. A first part of this PhD studies historical volatility spillovers around corporate earning announcements. Notably, we study whether a move by one point in the announcer historical volatility in time t will generate a move by beta percents in time t+1. We find evidences of volatility spillovers and we study their intensity across variables such as : the announcement outcome, the surprise effect, the announcer capitalization, the market sentiment regarding the announcer, and other variables. We illustrate our finding by a volatility arbitrage strategy. The second part of the dissertation adapts denoising techniques coming from imagery : wavelets and total variation methods, to forms of noise observed in finance. A first paper proposes an denoising algorithm for a signal disrupted by a noise with a spatially varying standard-deviation. A financial application to volatility modelling is proposed. A second paper adapts the Bayesian representation of the Rudin, Osher and Fatemi approach to asymmetric and leptokurtic noises. A financial application is proposed to the denoising of intra-day stock prices in order to implement a pattern recognition trading strategy
Bertrand, Astrid. "Misplaced trust in AI : the explanation paradox and the human-centric path. A characterisation of the cognitive challenges to appropriately trust algorithmic decisions and applications in the financial sector". Electronic Thesis or Diss., Institut polytechnique de Paris, 2024. http://www.theses.fr/2024IPPAT012.
Testo completoAs AI is becoming more widespread in our everyday lives, concerns have been raised about comprehending how these opaque structures operate. In response, the research field of explainability (XAI) has developed considerably in recent years. However, little work has studied regulators' need for explainability or considered effects of explanations on users in light of legal requirements for explanations. This thesis focuses on understanding the role of AI explanations to enable regulatory compliance of AI-enhanced systems in financial applications. The first part reviews the challenge of taking into account human cognitive biases in the explanations of AI systems. The analysis provides several directions to better align explainability solutions with people's cognitive processes, including designing more interactive explanations. It then presents a taxonomy of the different ways to interact with explainability solutions. The second part focuses on specific financial contexts. One study takes place in the domain of online recommender systems for life insurance contracts. The study highlights that feature based explanations do not significantly improve non expert users' understanding of the recommendation, nor lead to more appropriate reliance compared to having no explanation at all. Another study analyzes the needs of regulators for explainability in anti-money laundering and financing of terrorism. It finds that supervisors need explanations to establish the reprehensibility of sampled failure cases, or to verify and challenge banks' correct understanding of the AI
Hajji, Kaouther. "Accélération de la méthode de Monte Carlo pour des processus de diffusions et applications en Finance". Thesis, Paris 13, 2014. http://www.theses.fr/2014PA132054/document.
Testo completoIn this thesis, we are interested in studying the combination of variance reduction methods and complexity improvement of the Monte Carlo method. In the first part of this thesis,we consider a continuous diffusion model for which we construct an adaptive algorithm by applying importance sampling to Statistical Romberg method. Then, we prove a central limit theorem of Lindeberg-Feller type for this algorithm. In the same setting and in the same spirit, we apply the importance sampling to the Multilevel Monte Carlo method. We also prove a central limit theorem for the obtained adaptive algorithm. In the second part of this thesis, we develop the same type of adaptive algorithm for a discontinuous model namely the Lévy processes and we prove the associated central limit theorem. Numerical simulations are processed for the different obtained algorithms in both settings with and without jumps
Rahouli, Sami El. "Modélisation financière avec des processus de Volterra et applications aux options, aux taux d'intérêt et aux risques de crédit". Electronic Thesis or Diss., Université de Lorraine, 2014. http://www.theses.fr/2014LORR0042.
Testo completoThis work investigates financial models for option pricing, interest rates and credit risk with stochastic processes that have memory and discontinuities. These models are formulated in terms of the fractional Brownian motion, the fractional or filtered Lévy process (also doubly stochastic) and their approximations by semimartingales. Their stochastic calculus is treated in the sense of Malliavin and Itô formulas are derived. We characterize the risk-neutral probability measures in terms of these processes for options pricing models of Black-Scholes type with jumps. We also study models of interest rates, in particular the models of Vasicek, Cox-Ingersoll-Ross and Heath-Jarrow-Morton. Finally we study credit risk models
Moussa, Yaya. "L'audit de gestion : Application aux sociétés financières". Paris 9, 1990. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1990PA090029.
Testo completoRahouli, Sami El. "Modélisation financière avec des processus de Volterra et applications aux options, aux taux d'intérêt et aux risques de crédit". Thesis, Université de Lorraine, 2014. http://www.theses.fr/2014LORR0042/document.
Testo completoThis work investigates financial models for option pricing, interest rates and credit risk with stochastic processes that have memory and discontinuities. These models are formulated in terms of the fractional Brownian motion, the fractional or filtered Lévy process (also doubly stochastic) and their approximations by semimartingales. Their stochastic calculus is treated in the sense of Malliavin and Itô formulas are derived. We characterize the risk-neutral probability measures in terms of these processes for options pricing models of Black-Scholes type with jumps. We also study models of interest rates, in particular the models of Vasicek, Cox-Ingersoll-Ross and Heath-Jarrow-Morton. Finally we study credit risk models
Wei, Xiaoli. "Control of McKean-Vlasov systems and applications". Thesis, Sorbonne Paris Cité, 2018. https://theses.md.univ-paris-diderot.fr/WEI_Xiaoli_2_complete_20181127.pdf.
Testo completoThis thesis deals with the study of optimal control of McKean-Vlasov dynamics and its applications in mathematical finance. This thesis contains two parts. In the first part, we develop the dynamic programming (DP) method for solving McKean-Vlasov control problem. Using suitable admissible controls, we propose to reformulate the value function of the problem with the law (resp. conditional law) of the controlled state process as sole state variable and get the flow property of the law (resp. conditional law) of the process, which allow us to derive in its general form the Bellman programming principle. Then by relying on the notion of differentiability with respect to probability measures introduced by P.L. Lions [Lio12], and Itô’s formula along measure-valued processes, we obtain the corresponding Bellman equation. At last we show the viscosity property and uniqueness of the value function to the Bellman equation. In the first chapter, we summarize some useful results of differential calculus and stochastic analysis on the Wasserstein space. In the second chapter, we consider the optimal control of nonlinear stochastic dynamical systems in discrete time of McKean-Vlasov type. The third chapter focuses on the stochastic optimal control problem of McKean-Vlasov SDEs without common noise in continuous time where the coefficients may depend upon the joint law of the state and control. In the last chapter, we are interested in the optimal control of stochastic McKean-Vlasov dynamics in the presence of common noise in continuous time.In the second part, we propose a robust portfolio selection model, which takes into account ambiguity about both expected rate of return and correlation matrix of multiply assets, in a continuous-time mean-variance setting. This problem is formulated as a mean-field type differential game. Then we derive a separation principle for the associated problem. Our explicit results provide an explanation to under-diversification, as documented in empirical studies
Lalaharison, Hanjarivo. "Processus de Lévy et leurs applications en finance : analyse, méthodologie et estimation". Thesis, Paris 1, 2013. http://www.theses.fr/2013PA010020.
Testo completoHu, Peng. "Méthodes particulaires et applications en finance". Thesis, Bordeaux 1, 2012. http://www.theses.fr/2012BOR14530/document.
Testo completoThis thesis is concerned with the analysis of these particle models for computational finance.The manuscript is organized in four chapters. Each of them could be read separately.The first chapter provides an overview of the thesis, outlines the motivation and summarizes the major contributions. The second chapter gives a general in- troduction to the theory of interacting particle methods, with an overview of their applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical solution of a variety of financial applications; to name a few: pricing complex path dependent European options, computing sensitivities, pricing American options, as well as numerically solving partially observed control and estimation problems.The pricing of American options relies on solving a backward evolution equation, termed Snell envelope in stochastic control and optimal stopping theory. The third and fourth chapters focus on the analysis of the Snell envelope and its variation to several particular cases. Different type of particle models are proposed and studied
Dang, Tran Dong. "Intelligence financière et statistique zipfienne : deux outils au service de la prise de position des marchés financiers. Application au cas des entreprises vietnamiennes non financières". Thesis, Toulon, 2015. http://www.theses.fr/2015TOUL0003/document.
Testo completoIn the context of economic globalization, the stand point of purchase and/or sale on the financial market obeys logics which escape sometimes rationality (speculative bubbles…).The forecasters and the financial analysts mobilize one statistical toolbox in order to know the future trends based on the study of the last trends.This toolbox builds on the assumption of normality of the statistical laws underlying which authorizes logics of statistical inference, test, correlation… We could observe in the past which the results of these projections were often failed:the financial crisis which we pass correspondent to a not easily foreseeable shock even if it is the object of a rationalization a posteriori. Our objective,on the basis of thisreport,is to renew the traditional approaches of the forecasters and financial analysts by mobilizing two complementary approaches: business intelligence applied to the financial field and the utilization of modern technologies of management of the unforeseeable risks.In this interdisciplinary work,our approaches are inspired,first of all concept oftheimage or of the reputation of a target company and approach of the intelligence cycle resulting from the approach of the business intelligence.Moreover,we can complete our approach through the principle of bounded rationality,that of the speculative bubble and that of the logic uncertain suggested by Nassim Nicolas Taleb. Finally, we mobilize the concept of force of situation(François Julien) in order to reinforce the decision of the institutional investors in uncertain situation.To validate our theoretical contribution,we chose Viet Nam as our ground of research.From a qualitative approach and based on experimentation ahead 5 Vietnamese portfolio managers, we could better know their practice of making decision, their different investment evaluation criteria, their perception of reputation and the role of the financial intelligence in their process of investment. Thus, we propose a qualitative method based on the reputation in order to characterize the degree of robustness of an organization faced to shocks and elaborate moreover a system of financial information by taking into account the hierarchy of the investment evaluation criteria of the Vietnamese portfolio managers. Our approach is illustrated through a case study of a Vietnamese aquaculture company
Dang, Tran Dong. "Intelligence financière et statistique zipfienne : deux outils au service de la prise de position des marchés financiers. Application au cas des entreprises vietnamiennes non financières". Electronic Thesis or Diss., Toulon, 2015. http://bu.univ-tln.fr/userfiles/file/intranet/travuniv/theses/information_communication/2015/2015_Dang_Tran_Dong.pdf.
Testo completoIn the context of economic globalization, the stand point of purchase and/or sale on the financial market obeys logics which escape sometimes rationality (speculative bubbles…).The forecasters and the financial analysts mobilize one statistical toolbox in order to know the future trends based on the study of the last trends.This toolbox builds on the assumption of normality of the statistical laws underlying which authorizes logics of statistical inference, test, correlation… We could observe in the past which the results of these projections were often failed:the financial crisis which we pass correspondent to a not easily foreseeable shock even if it is the object of a rationalization a posteriori. Our objective,on the basis of thisreport,is to renew the traditional approaches of the forecasters and financial analysts by mobilizing two complementary approaches: business intelligence applied to the financial field and the utilization of modern technologies of management of the unforeseeable risks.In this interdisciplinary work,our approaches are inspired,first of all concept oftheimage or of the reputation of a target company and approach of the intelligence cycle resulting from the approach of the business intelligence.Moreover,we can complete our approach through the principle of bounded rationality,that of the speculative bubble and that of the logic uncertain suggested by Nassim Nicolas Taleb. Finally, we mobilize the concept of force of situation(François Julien) in order to reinforce the decision of the institutional investors in uncertain situation.To validate our theoretical contribution,we chose Viet Nam as our ground of research.From a qualitative approach and based on experimentation ahead 5 Vietnamese portfolio managers, we could better know their practice of making decision, their different investment evaluation criteria, their perception of reputation and the role of the financial intelligence in their process of investment. Thus, we propose a qualitative method based on the reputation in order to characterize the degree of robustness of an organization faced to shocks and elaborate moreover a system of financial information by taking into account the hierarchy of the investment evaluation criteria of the Vietnamese portfolio managers. Our approach is illustrated through a case study of a Vietnamese aquaculture company
Scotti, Simone. "Applications of the error theory using Dirichlet forms". Phd thesis, Université Paris-Est, 2008. http://tel.archives-ouvertes.fr/tel-00349241.
Testo completoBompis, Romain. "Développement stochastique pour les processus de diffusion et applications à la valorisation d'options". Phd thesis, Ecole Polytechnique X, 2013. http://pastel.archives-ouvertes.fr/pastel-00921808.
Testo completoJottreau, Benoît. "Financial models and price formation : applications to sport betting". Thesis, Paris Est, 2009. http://www.theses.fr/2009PEST1031.
Testo completoThis thesis is composed of four chapters. The first one deals with the pricing of financial products in a single jump model for the risky asset. This jump represents the bankrupcy of the quoted firm. We study the pricing of derivatives in the context of indifference of utility with an exponential utility. By means of dynamic programming we show that the bond price is solution of an ordinary differential equation and that stock price dependent options are solutions of an equation with partial derivatives of Hamilton-Jacobi-Bellman type generalizing the Black-Scholes one. We then try to quantify differences in the price obtained here and the one from Merton model without jump. The second chapter deals with a specific jump market : the soccer betting market. We recall the different model families for a soccer match and introduce some full model which allows to price the products recently born in this market in last ten years. Nevertheless the model complexity leads us to study a simplified model introduced by Dixon and Robinson from which we are able to derive closed formulas and simulate prices that we compare to market prices. We remark that implicit calibration gives pretty goof fit of market data. Third chapter developps the approach of Levitt [Lev04] on price formation in binary betting market held by a monopolistic market-maker operating in a one time step trading. We generalize Levitt results with european format of betting. We show that prices are distorded on the pressure of demand and offer, that phenomena introducing a market probability that allows to price products under this new measure. We identify some best model for demand and offer and market maker strategy and show that probability change is obvious in case of imperfect information about the value of the product. Fourth chapter generalizes this approach to the case of general payoffs and continuous time. The task is more complex and we just derive partial derivative equations from dynamic programming that enable us to give the bid-ask prices of the product traded by the market-maker. One result is that, in most models, bid-ask spread does not depend on the inventory held by the dealer whereas mid-quote price strongly reflects the unbalance of the dealer
Naamane, Adil. "Indicateurs d'alerte des crises financières : construction et application aux économies émergentes". Pau, 2007. http://www.theses.fr/2007PAUU2013.
Testo completoIn this doctoral study, our purpose was to construct a battery of indicators which is efficient to anticipate the arrival of a financial crisis. We were based on the choice of variables to test on several theoretical and practical studies which seemed to us important and which marked the economic literature concerning financial crises on the one hand, and on an analysis of main crises which touched the emergent economies on the other hand. We accomplished several tests on variables considered as important by using different methods. Our interest also carried on the study of a country which was not touched by financial crisis, in this case the China, to evaluate the risk of being touched by a crisis in future. This study allowed us to test the capacity of the warning indicators to anticipate financial crises and to better evaluate future risks
Cai, Jiatu. "Méthodes asymptotiques en contrôle stochastique et applications à la finance". Sorbonne Paris Cité, 2016. http://www.theses.fr/2016USPCC338.
Testo completoIn this thesis, we study several mathematical finance problems related to the presence of market imperfections. Our main approach for solving them is to establish a relevant asymptotic framework in which explicit approximate solutions can be obtained for the associated control problems. In the first part of this thesis, we are interested in the pricing and hedging of European options. We first consider the question of determining the optimal rebalancing dates for a replicating portfolio in the presence of a drift in the underlying dynamics. We show that in this situation, it is possible to generate positive returns while hedging the option and describe a rebalancing strategy which is asymptotically optimal for a mean-variance type criterion. Then we propose an asymptotic framework for options risk management under proportional transaction costs. Inspired by Leland’s approach, we develop an alternative way to build hedging portfolios enabling us to minimize hedging errors. The second part of this manuscript is devoted to the issue of tracking a stochastic target. The agent aims at staying close to the target while minimizing tracking efforts. In a small costs asymptotics, we establish a lower bound for the value function associated to this optimization problem. This bound is interpreted in term of ergodic control of Brownian motion. We also provide numerous examples for which the lower bound is explicit and attained by a strategy that we describe. In the last part of this thesis, we focus on the problem of consumption-investment with capital gains taxes. We first obtain an asymptotic expansion for the associated value function that we interpret in a probabilistic way. Then, in the case of a market with regime-switching and for an investor with recursive utility of Epstein-Zin type, we solve the problem explicitly by providing a closed-form consumption-investment strategy. Finally, we study the joint impact of transaction costs and capital gains taxes. We provide a system of corrector equations which enables us to unify the results in [ST13] and [CD13]
Bou, Kheir Roy. "Application des arbres décisionnels en grappes pour prédire la performance des institutions microfinancières". Thesis, Reims, 2013. http://www.theses.fr/2013REIME001/document.
Testo completoFinancial and social performances are important institutional characteristics that allow ‘the poor and the near-poor' to have access to credit in favorable conditions, and drives sustainable efficiency and effective governance mechanisms in MFIs (microfinance institutions). In this context, this study was conducted to determine the most influencing financial/social/governance variables (with their relative importance in %) that may affect the financial and social MFI performance indicators on worldwide basis; and to develop simple and practical microfinance tree-models (for the first time) that can be considered valuable tools helping with the implementation of efficient strategies among nonprofit and profit MFIs at a national scale.The first part of this thesis exposes the global financial and social data that has been extracted over the five recent years (2007-2011) from several well-known databases (e.g., Microfinance Information Exchange, Mix Market, Rating fund, etc.) for the chosen MFIs ranked four or five diamonds (i.e., 263 nonprofit MFIs and 135 profit ones) distributed widely over the continents. Among the 263 nonprofit MFIs, the data sample was composed of 192 Non-Governmental Organizations (NGOs), 42 non-bank institutions and 29 cooperatives. A large number of predictor variables (54) have been collected capturing aspects of the financial environment of these MFIs (e.g., administrative expense ratio, ratio of solvency, cost per loan, number of depositors, write-off-ratio, etc.), the social characteristics (e.g., depth, percent of women active borrowers, rural/urban market, poverty level, etc.) and the governance mechanisms (e.g., firm size, board size, regulation, audit, network affiliation, insurance, etc.). This first part compares also the efficiencies of the most used statistical methods/models (including linear regression, logistic regression, Bayesian methods, artificial neural networks, cluster analysis, principal component analysis, decision-trees, etc.) for estimating diverse financial and social performance MFIs' indicators. It includes also a detailed description of the tree building process that has been used for such estimation and all related steps (involving evaluating splits, assigning categories to nodes, missing values with surrogate splitters, stopping criteria, etc.).The second part explores quantitative relationships between the four commonly worldwide used financial performance indicators (operational self-sufficiency OSS, profit margin PM, return on assets ROA, and return on equity ROE) and key financial/social/governance predictor variables for the chosen non-profit MFIs (included from 53 countries) through the application of regression-tree modeling. For each financial performance indicator, several un-pruned regression trees (684) were developed: (i) using all predictor variables, (ii) all financial predictor variables only, (iii) all social predictor variables only, (iv) all governance predictor variables only, (v) applying only a single variable at a time, (vi) excluding each variable one at a time from the potential pool of predictor variables, and (vii) forcing the initial split of the tree using the preferred predictor variable for exploring the predictive power of independent predictors. The obtained results demonstrate that the strongest relationships were associated with ROE and ROA, the proportion of variance explained being equal to 99.8% and 99.5% respectively, followed by PM (97%) and OSS (95%). The second part also showed that the financial predictor variables did interfere differently in building the financial performance regression trees and associated relationships where ; administrative expense ratio influenced ROE (100%) ; average loan balance per borrower affected OSS (100%); cost per borrower, number of depositors, operating expense:loan portfolio, and risk coverage had significant impacts on ROA/ROE (98.5-100%)
Prosper-Stroppa, Annabel. "Analyse financière des actifs non reproductibles : application aux marchés immobiliers". Orléans, 2001. http://www.theses.fr/2001ORLE0504.
Testo completoGolou, Emmanuel. "Les conditions de la mobilisation de l'épargne dans les pays en voie de développement : application au Bénin". Paris 9, 1988. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1988PA090053.
Testo completoIf using savings as a sound way to finance economic development is commonly accepted, the way to mobilize it is not evident. This thesis focuses on certains factors which can promote it gene raly in underdeveloped countries and particulary in Benin the first thing was to identify the characteristies of beninese monetary and financial system. Secondly, main factors which can promote savings in benin are studied as interest rate, fiscality, liberalism, financial institutions and instruments
Manghini, Laurence. "Spécification des structures financières et croissance : application aux pays du Club de Visegrad". Nice, 2002. http://www.theses.fr/2002NICE0050.
Testo completoThe transition process consists of ideological aspects (the promote of democraty), economical aspects (enterprises and bank privatization and restructurations) and political aspects (the transition from socialism to capitalism). The change is "systemic" : it concerns productive system (Enterprises, FDI flows) as well as financial system (Commercial Banks, Financial markets, Central Banks) or the social protection system (Pension system, Organization of the labour market). Hungary, Poland and Czech Republic had industrial specificities, banking tradition more or less important, which have conduced to different macroeconomic transformations during the 1989-1990 period. Among these evolutions, financial system plays a key role. The objective is to analyse financial evolution in a theorical point of view and in a medium and long-term perspective. We want to identify the essence, as well as the logic of Finance-Growth links that are currently experiencing these countries
Thomas, Alban. "L'économétrie des variances conditionnelles : application des processus Arch à la modélisation financière". Toulouse 1, 1989. http://www.theses.fr/1989TOU10032.
Testo completoConditional variance processes arch are presented in detail in order to apply engle’s methodology 1982 to financial valuation. The tests and issues due to heteroskedasticity are introduced to allow the help of arch models as a simple parametric specification for heteroskedasticity. A first application to financial modeling consists in estimating and testing a capm model in which stock returns variances and covariances of 140 french assets are made variable. It is shown that estimation results are interesting and can be used for the computation of variable prediction confidence intervals. The second application is concerned with estimation of implied standard deviations from the option pricing model blacck scholes 1973 according to a generalized arch process. The analysis shows that historical volatilities computed from the series of risk measures enter the expectations of black scholes implicit volatilities. One asseses the possibility of predicting option prices and hedging portfolios shares
Ziadi, Azza. "L'économie politique de la globalisation financière : application au cas de la Tunisie". Versailles-St Quentin en Yvelines, 2012. http://www.theses.fr/2012VERS024S.
Testo completoThis research has thus worked to confront the lessons of international political economy to the test of reality Tunisia. It has set itself the objective to outline, from the Tunisian experience, financial and real effects of financial globalization on the Tunisian economy. The political economy of financial globalization based on an analysis of the interrelationships between market dynamics and those of public and private economic agents that have developed from the late 1970s. Such analysis would allow to trace the main features of financial globalization on contemporary and reflects a political reflection on the new referents of the state and the trajectory of its transformations. Thus, we witnessed the withdrawal of the state facing the global economy and finance ? What are the profound asymmetries in power relations and the domination of finance ? We will focus in particular on the transformations of public and private financial institutions in Tunisia during the last three decades, and their new joint fiancial system of Tunisia ? We analyze the different regulatory policies that had orchestrated interactions between public and private sectors on the one hand and domestic capital and foreign capital on the other. It is in this perspective that is our problem : it is a study of transformations of the state in the era of globalization, and, by reference to the experience of post-colonial Tunisia
Lerdon-Ferrada, Juan-Ricardo. "Une Application des systèmes-experts au diagnostic financier des élevages bovins laitiers". Toulouse 1, 1987. http://www.theses.fr/1987TOU10037.
Testo completoThe principal objective of the Arfin expert system (the art of financial analysis), which complements the permanent budgetary control, is to place a financial diagnosis of the entreprise at the disposal of the manager at all times. This financial diagnosis reveals on the one hand the dangerous points which must be carefully looked after and corrected in the shortest possible time and on the other the strong points the manager can rely on to work out efficient strategies. Arfin is much more than a mere technique as it teaches a new method of analysis which enables the manager to make his entreprise more profitable