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cond-mat2001
The leverage effect in financial markets: retarded volatility and market panic
Jean-Philippe Bouchaud, Andrew Matacz, Marc Potters
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this cor…
cond-mat2000
Option Pricing and Hedging with Temporal Correlations
Lorenzo Cornalba, Jean-Philippe Bouchaud, Marc Potters
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for…
cond-mat1999
Theory of Financial Risk: Basic notions in probability
Jean-Philippe Bouchaud, Marc Potters
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves o…