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Efficiency and Options on the Market Index
In a static exchange economy, when all the endowments are issued as securities on a stock exchange, Pareto optimal allocations may be reached by trading options on the... -
Paris-Princeton Lectures on Mathematical Finance
This is the fourth volume of the Paris-Princeton Lectures in Mathematical Finance. The goal of this series is to publish cutting edge research in self contained... -
Weather risk management using insurance derivatives
This thesis focuses on the weather risk management by using weather derivatives. The work done in this thesis is a contribution to statistics, econometric and... -
Analytical valuation of options on joint minima and maxima
International audience -
Window double barrier options
International audience -
Discretely monitored lookback and barrier options : a semi-analytical approach
All the explicit formulae for the valuation of lookback and barrier options available in the financial literature assume continuous monitoring of the underlying asset....
