A BSDE Approach to Counterparty Risk under Funding Constraints
This paper deals with the valuation and hedging of counterparty risk on OTC derivatives. Our...
Actualités
Risque systémique
Lorsqu’un risque systémique apparaît, il est souvent déjà trop tard, car le rôle de chaque...
Mortality Transition and Differential Incentives for Early Eetirement
Many studies specify human mortality patterns parametrically, with a parameter change affecting mortality rates at...
Almost Sure Optimal Hedging Strategy
In this work, we study the optimal discretization error of stochastic integrals, in the context of...
Non-Fundamental Information and Market-Makers’ Behavior during the NASDAQ Preopening Session
This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that...
Bond Liquidity Premia
Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage....
Unexpected Media Coverage and Stock Market Outcomes: Evidence from Chemical Disasters
This paper examines the intensity and content of media coverage and their marginal effect on stock...
Mettre la finance au service de la société
« Le développement rapide des montants investis en ISR impose une réflexion sur leur mode...
Market Microstructure knowledge needed to control an intra-day trading process
A lot of academic and theoretical works have been dedicated to optimal liquidation of large...
Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile...
L’Investissement Socialement Responsable
Le numéro 4 de la collection Les Cahiers Louis Bachelier met en exergue les bénéfices...
Risques financiers
Ce nouveau numéro des Cahiers Louis Bachelier, réalisé en étroite collaboration avec les chercheurs de...