Discrete-time factor models for financial asset pricing.

Summary The general objective of this thesis is to propose a discrete-time approach to dynamic price modeling of various financial or physical assets: options on stocks, zero-coupons, bonds, interest rate derivatives (swaps, caps, floors, options on zero-coupons), forwards or futures contracts on financial or physical assets, options on forwards or futures. These models can be used for derivatives valuation, price and return forecasting or hedging. All the proposed models have important points in common: the definition of factors, the specification of the historical dynamics of these factors, the introduction of a stochastic discount factor, the consideration of no-arbitrage constraints, the derivation of risk-neutral dynamics, the computation of financial asset prices, and the statistical inference on the model parameters.