The integration of information in the price of financial assets.

Summary The main topic of this thesis is the integration of macroeconomic and financial infonnation by financial markets. The contributions presented here are five in number. The first three use recent advances in asset pricing econometrics. The objective is to measure expectations, risk aversion or simply to forecast the price of derivatives. (1) First, we introduce a new econometric method to estimate the evolution of the subjective distribution from interest rate futures. (2) Then, using option quotes and futures on the European carbon market, we highlight the impact of the publication of emission allowances allocated by the European Commission on risk aversion in this new market. (3) Then, we present a new model of derivatives valuation based on returns following a generalized hyperbolic law under the historical measure. The model leads to low pricing errors when compared to the existing literature. Finally, two topics related to the impact of macroeconomic news on the yield curve are presented here: (4) First, we show that the perception of the impact of a surprise on the European yield market is greatly modified when the US influence is taken into account. (5) Second, we quantify the widely held intuition that the term structure of the impact of news on the yield curve depends on economic and monetary conditions, and this in the US case.