Download or read book La structure par terme des taux z ro written by Thierry Roncalli and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book LA STRUCTURE PAR TERME DES TAUX ZERO written by Thierry Roncalli and published by . This book was released on 1998 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: LE PRESENT TRAVAIL ABORDE DEUX PROBLEMES DE LA STRUCTURE PAR TERME DES TAUX ZERO : CELUI DE LA MODELISATION ET CELUI DE L'IMPLEMENTATION NUMERIQUE. IL SE COMPOSE DE DEUX PARTIES. LA PREMIERE PARTIE, QUI EST UNE APPROCHE DE LA STRUCTURE PAR TERME OBSERVEE, CONCERNE LES ASPECTS ECONOMIQUES DE LA STRUCTURE PAR TERME. DANS LE PREMIER CHAPITRE, ON S'INTERESSE AUX OUTILS DE CONSTRUCTION DE LA COURBE DES TAUX ET A LA VERIFICATION EM- PIRIQUE DE LA THEORIE DES ANTICIPATIONS RATIONNELLES. LE SECOND CHAPITRE EST UNE ANALYSE DU CONTENU INFORMATIONNEL DE LA STRUCTURE PAR TERME BASEE SUR LA DETERMINATION DES TAUX A TERME IMPLICITES. LE TROISIEME CHAPITRE CONSISTE EN UNE ANALYSE FACTORIELLE DE LA DEFOR- MATION DE LA COURBE DES TAUX. LA SECONDE PARTIE, QUI EST UNE APPROCHE DE LA STRUCTURE PAR TERME THEORIQUE, EST CONSACREE AUX ASPECTS FINANCIERS DE LA STRUCTURE PAR TERME. LES MODELES FACTORIELS A UNE ET PLUSIEURS VARIABLES D'ETAT SONT DECRITS DANS LES CHAPITRES QUA- TRE ET CINQ. CEUX-CI SONT COMPARES AUX MODELES ISSUS DU CADRE D'ANALYSE DE L'EQUILIBRE INTERTEMPOREL DE COX, INGERSOLL ET ROSS. LE SIXIEME CHAPITRE CONCERNE L'ESTIMATION DES MODELES DE STRUCTURE PAR TERME ET PLUS PARTICULIEREMENT CELLE DE LA DYNAMIQUE DU TAUX ZERO INSTANTANE. DANS LE SEPTIEME CHAPITRE, UNE NOUVELLE FAMILLE DE MODELES EST INTRODUITE POUR LA VALORISATION DES ACTIFS CONTINGENTS : CE SONT LES MODELES DE DEFORMATION DE LA COURBE DES TAUX (BLACK-DERMAN-TOY, BLACK-KARASINSKI, HEATH-JARROW-MORTON, HO-LEE ET HULL-WHITE). EN CONCLUSION, NOUS PRESENTONS QUELQUES UTILISATIONS POSSIBLES DES MODELES FINANCIERS DE STRUCTURE PAR TERME DANS LE CADRE D'UNE ANALYSE ECONOMIQUE. UNE BIBLIO- THEQUE DE PROCEDURES EN LANGAGE GAUSS (BASEES SUR LES ALGORITHMES PRESENTES) ET UN MANUEL D'UTILISATION COMPLETENT CE PRESENT TRAVAIL.
Download or read book Structure par terme des taux d int r t written by Philippe Priaulet and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Notre travail se compose de quatre chapitres qui s'articulent autour des enjeux principaux auxquels les marchés financiers sont confrontés en matière de taux d'intérêt. Le chapitre 1 est consacré à la comparaison de cinq méthodes paramétriques de révélation de la courbe des taux zéro-coupons, fondées sur l'ajustement d'une fonction d'actualisation sous forme de fonction spline ou sur l'ajustement des taux zéro-coupons sous forme d'une fonction de plusieurs paramètres. Dès l'instant où cette gamme est reconstituée, l'étape suivante consiste à imaginer comment elle va évoluer au cours du temps, sujet qui est au cœur du chapitre 2. Nous envisageons alors, les quatre grands courants de modélisation, l'univers de Black et Scholes [1973] adapté, les modèles à variables d'état explicatives, les modèles "martingale", et les modèles d'équilibre général. Il s'agit de synthétiser l'ensemble des connaissances sur le domaine pour tenter de répondre à la question que tout acteur du marché se pose : "quel modèle retenir ?" dans le chapitre 3, nous explorons un modèle tri-factoriel à volatilités déterministes, en vue de l'évaluation et la couverture de produits dérivés de taux. Notre optique est de caler en permanence le modèle sur les trois facteurs de déformation obtenus généralement par l'A. C. P. Enfin, le chapitre 4 jette un nouveau regard sur le contrôle du risque de taux. Le test de six techniques différentes sur un portefeuille à couvrir de type obligataire, permet d'apporter des alternatives aux marchés financiers, qui traditionnellement utilisent les procédés en duration et duration-convexité.
Download or read book L investissement en obligations written by GRUSON Pierre and published by Lavoisier. This book was released on 2013-06-01 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: La crise financière de 2007 a mis en lumière l’importance vitale des produits obligataires pour nos économies, mais elle a aussi révélé la nécessité de gérer les risques qui les accompagnent. Véritable panorama de l’investissement en obligations, cet ouvrage présente une étude des taux d’intérêt et de leur structure, ainsi qu’une analyse complète des titres obligataires (obligations convertibles, indexées, à taux fixe, etc.). Il traite également de la gestion des risques sur les marchés dérivés, par des opérations de gré à gré, ou sur les marchés organisés (futures, options, swaps, dérivés de crédit). Illustré d’exemples s’appuyant sur des cotations et des performances réelles tirées de l’actualité des marchés, ce livre propose aussi des applications numériques détaillées.
Download or read book Bilingual Dictionary of Terms written by François Elandi and published by Xlibris Corporation. This book was released on 2019-02-14 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bilingual Dictionary of Terms Banks. Finances. Money. Financial Markets / Banques. Finances. Monnaie. Marchés Financiers METODES Editions Collection Culture & Savoir (C&S) François Elandi This bilingual work, fruit of a team of specialists and professionals, deals with banking, finance, and stock market practices with —— more than 25,000 words and terms used in French and in British and North American English of today; —— convenient examples to better assimilate the terms used, contributing to make the work the most precise reference in its specialty; and —— a cross-reference system to more precise definitions and complementary expressions to other words and terms inside the development of a word or an expression. It is intended for ——high school pupils and students of higher education, ——professional users, and ——the general public. In order for them to ——acquire and develop their professional lexicological heritage; ——master the exact terminology in the practice linked to their activity or profession; ——perfect their knowledge in banking, finance, and stock exchange practice; and ——better communicate efficiently. Cet ouvrage bilingue, fruit d’une équipe de spécialistes et de professionnels, traite des pratiques bancaires, financières et boursières, avec : ——Plus de 25000 mots et termes utilisés en français et en anglais britannique et nordaméricain ; ——Des exemples pratiques pour mieux assimiler l’emploi de ces termes, contribuant à faire de l’ouvrage la référence la plus précise dans sa spécialité ; ——Un système de renvois à des définitions et explications complémentaires et plus précises à d’autres mots et termes au sein du développement d’un mot ou d’une expression. Il est destiné : ——A l’élève des lycées et collèges ou à l’étudiant de l’enseignement supérieur ; ——A l’utilisateur professionnel ; ——Au grand public. Pour : ——Acquérir et développer son patrimoine lexicologique professionnel ; ——Maîtriser la terminologie exacte dans la pratique liée à son activité ou à sa profession ; ——Perfectionner ses connaissances dans la pratique bancaire, financière et boursière ; ——Mieux communiquer efficacement.
Download or read book Asset and Risk Management written by Louis Esch and published by John Wiley & Sons. This book was released on 2005-09-27 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together. It is divided into five parts: Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions. Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options. Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology. Part IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe’s simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis. Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet. The book is aimed both at financial professionals and at students whose studies contain a financial aspect. "Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management." —Harry M Markowitz, San Diego, USA
Download or read book Document de Travail written by and published by . This book was released on 2002 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fixed Income Securities written by Lionel Martellini and published by John Wiley & Sons. This book was released on 2005-09-27 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Download or read book Fiscal Policy Taxation and the Financial System in an Increasingly Integrated Europe written by D.E. Fair and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers collected in this volume are those presented at the sixteenth Colloquium arranged by the Societe Universitaire Europeenne de Re cherches Financieres (SUERF), which took place in Lisbon in May 1991. The Society is supported by a large number of central banks and commer cial banks, by other financial and business institutions, and by personal subscriptions from academics and others interested in monetary and financial problems. Since its establishment in 1963, it has developed as a forum for the exchange of information, research results and ideas among academics and practitioners in these fields, including central bank officials and civil servants responsible for formulating and applying monetary and financial policies, national and international. A major activity of SUERF is to organise and conduct Colloquia on subjects of topical interest to its members. The titles, places and dates of previous Colloquia for which volumes of the collected papers were published are noted on the last page of this volume. Volumes were not produced for Colloquia held at Tarragona, Spain in October 1970 under the title 'Monetary Policy and New Developments in Banking' and at Strasbourg, France in January 1972 under the title 'Aspects of European Monetary Union'.
Download or read book Annales d conomie et de statistique written by and published by . This book was released on 2001 with total page 858 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economie Internationale written by and published by . This book was released on 2007 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Yield Curve Modelling at the Bank of Canada written by David Bolder and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book tudes conomiques de l OCDE Hongrie 2004 written by OECD and published by OECD Publishing. This book was released on 2005-01-26 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dans l’examen 2004 de l’économie hongroise, l’OCDE constate que ce pays a réalisé une croissance rapide et s’apprête à rattraper les autres économies européennes, mais que cette performance elle-même pose de nouveaux problèmes. L’étude est assortie ...
Download or read book IMF Glossary written by International Monetary Fund and published by International Monetary Fund. This book was released on 2007-05-24 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This seventh, revised edition of the IMF Glossary: English-French-Spanish contains approximately 4,000 records that are believed to be the most useful to translators dealing with IMF material. The main body of the Glossary consists of terms, phraseological units, and institutional titles covering areas such as macroeconomics, money and banking, public finance, taxation, balance of payments, statistics, accounting, and economic development. It contains terminology relating to the IMF's organization and operations, as well as from the Articles of Agreement, By-Laws, Rules and Regulations, and other major IMF publications. Since the Glossary is concept-based, synonyms are consolidated into one single entry. Cross- references refer to the main entry under which the various synonyms are listed ("see") and also draw the user's attention to terms that are related but not synonyms ("see also"). Currency units of countries and monetary unions, an IMF organizational chart in the three languages, and color-coded French and Spanish indexes are provided in appendixes.
Download or read book Yield Curve Modelling at the Bank of Canada written by David Bolder and published by . This book was released on 1999 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cahiers BEI written by and published by . This book was released on 1986 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
