162 citations · 499 across the 22 of their papers we have counts for
4 papers · 1 filter
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…
Explaining the Forward Interest Rate Term Structure
Andrew Matacz, Jean-Philippe Bouchaud
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a pre…
An Empirical Investigation of the Forward Interest Rate Term Structure
Andrew Matacz, Jean-Philippe Bouchaud
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate…
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…