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On the risk management of demand deposits: quadratic hedging of interest rate margins
This paper examines the problem of hedging banks interest rate margins. We assume that the demand’s deposits follow an exponential Lévy process with potential jumps. The forward market rates are assumed to fol...
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Chapter
The Knowns and the Known Unknowns of Capital Requirements for Market Risks
This chapter contextualizes the Fundamental Review of the Trading Book (FRTB) in the vast movement that has reinforced regulatory and prudential requirements. The author emphasizes the uncertainties linked to ...
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Article
Open Access19th biennial IPEG Meeting
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Book
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Meta-Models and Consistency Issues
Rather than considering a “model” as a one-piece object, we can translate and adapt the concept of meta-models, commonly used in computer science, to the field of insurance management. We actually deal with a ...
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Article
An overview of the valuation of collateralized derivative contracts
We consider the valuation of collateralized derivative contracts such as interest rate swaps or forward FX contracts. We allow for posting securities or cash in different currencies. In the latter case, we foc...
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Article
Change in water loss regulation after canopy clearcut of a dominant shrub in Sahelian agrosystems, Guiera senegalensis J. F. Gmel
This paper analyzes the effect of the canopy age of Guiera senegalensis J.F. Gmel on water regulation processes and adaptative strategy to drought over a period of 2 years. The species is widespread in the agricu...
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Book
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Chapter
Hedging CDO Tranches in a Markovian Environment
In this first chapter, we show that a CDO tranche payoff can be perfectly replicated with a self-financed strategy based on the underlying credit default swaps. This extends to any payoff which depends only up...
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Article
Homogenization Modeling and Parametric Study of Moisture Transfer in an Unsaturated Heterogeneous Porous Medium
The classical mass balance equation is usually used to model the transfer of humidity in unsaturated macroscopically homogeneous porous media. This equation is highly non-linear due to the pressure-dependence ...
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Article
Decreased GABAA-receptor clustering results in enhanced anxiety and a bias for threat cues
Patients with panic disorders show a deficit of GABAA receptors in the hippocampus, parahippocampus and orbitofrontal cortex. Synaptic clustering of GABAA receptors in mice heterozygous for the γ2 subunit was red...
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Article
Dynamic programming and mean-variance hedging
We consider the mean-variance hedging problem when asset prices follow Itô processes in an incomplete market framework. The hedging numéraire and the variance-optimal martingale measure appear to be a key too...
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Article
Cognitive disturbances in 5 year old premature children : an Event- Related Potential study (ERP) 1335
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Article
Hippocampal long-term potentiation and neural cell adhesion molecules L1 and NCAM
SYNAPTIC membranes express cell adhesion molecules1. Here we investigate the role of the neural cell adhesion molecules L1 and NCAM in hippocampal long-term potentiation (LTP), a sustained-use-dependent increase ...
