La représentation des marchés dans la modélisation probabiliste en finance
Journal de la Société de statistique de Paris, Volume 133 (1992) no. 4, pp. 123-137.
@article{JSFS_1992__133_4_123_0,
     author = {Geman, H\'elyette},
     title = {La repr\'esentation des march\'es dans la mod\'elisation probabiliste en finance},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {123--137},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {133},
     number = {4},
     year = {1992},
     language = {fr},
     url = {http://archive.numdam.org/item/JSFS_1992__133_4_123_0/}
}
TY  - JOUR
AU  - Geman, Hélyette
TI  - La représentation des marchés dans la modélisation probabiliste en finance
JO  - Journal de la Société de statistique de Paris
PY  - 1992
SP  - 123
EP  - 137
VL  - 133
IS  - 4
PB  - Société de statistique de Paris
UR  - http://archive.numdam.org/item/JSFS_1992__133_4_123_0/
LA  - fr
ID  - JSFS_1992__133_4_123_0
ER  - 
%0 Journal Article
%A Geman, Hélyette
%T La représentation des marchés dans la modélisation probabiliste en finance
%J Journal de la Société de statistique de Paris
%D 1992
%P 123-137
%V 133
%N 4
%I Société de statistique de Paris
%U http://archive.numdam.org/item/JSFS_1992__133_4_123_0/
%G fr
%F JSFS_1992__133_4_123_0
Geman, Hélyette. La représentation des marchés dans la modélisation probabiliste en finance. Journal de la Société de statistique de Paris, Volume 133 (1992) no. 4, pp. 123-137. http://archive.numdam.org/item/JSFS_1992__133_4_123_0/

D'Archimbaud T., Geman H., Portait R. (1990) " Une analyse générale du risque de taux", Analyse Financière, Nos 80 et 83.

Black F., Scholes M. (1973) " The Pricing of Options and Corporate Liabilities", J. of Political Economy. | Zbl

Black F., Derman E., Toy W. (1990) " A One-Factor Model of Interest Rates and its Applications to Treasury Bond Options", Financial Analysts Journal.

Brennan M., Schwartz E. (1979) " A Continuous Time Approach to the Pricing of Bonds", J. of Banking and Finance.

Cohen H., Heath D. (1991) Testing Models for Valuation of Interest Rate Dependent Securities, Technical Report, Comell University.

Cox J., Ingersoll J., Ross S. (1985) " A Theory of the Term Structure of Interest Rates", Econometrica. | MR

Dothan L. (1978) " On the Term Structure of Interest Rates", J. of Financial Economics.

Duffie D. (1990) " The Theory of Value in Securities Markets" in Handbook of Mathematical Economics. | Zbl

Chan K., Karoly F., Longstaff F., Sanders A. (1991) The Volatility of Short-Term Interest Rates, European Finance Association Meeting, Rotterdam.

El Karoui N., Geman H. (1991) " A Stochastic Approach to the Pricing of Floating Rate Notes", RISK.

El Karoui N., Rochet J.C. (1989) A Pricing Formula for Options on Coupon Bonds, Working Paper, GREMAQ, Toulouse.

Geman H.(1989) The Importance of the Forward-Neutral Probability in a Stochastic Approach of lnterests Rates, Working Paper, ESSEC.

Geman H. (1991) " Portfolio Insurance and Synthetic Securities", Applied Stochastic Models and Data Analysis.

Geman H., Portait R. (1989) A Framework for Interest Rate Risk Analysis and Portfolio Management, American Stock Exchange Colloqium, New York.

Geman H., Yor M. (1991) " Processus de Bessel et options asiatiques", Notes aux Comptes Rendus de l'Académie des Sciences.

Geman H., Yor M. (1992) " Bessel Processes, Asian Options and Perpetuities", Annual Conference of the Financial Options Research Centre. | Zbl

Harrison J., Kreps D. (1979) " Martingale and Arbitrage in Multiperiod Securities Markets", J. of Economic Theory. | MR | Zbl

Harrison J., Pliska S. (1981) " Martingales and Stochastic Integrals in the Theory of Continuous Trading", Stochastic Processes and their Applications. | MR | Zbl

Heath D., Jarrow R., Morton A. (1988) Bond Pricing and the Term Structure of Interest Rates : A New Approach, Working Paper, Cornell University.

Ho T., Lee X. (1986) " Term Structure Movements and Pricing Interest Rate Contingent Claims", J. of Finance.

Hull J., White A. (1990) " Pricing Interest-Rate Derivative Securities", R. of Financial Studies.

Jamshidian F. (1987) Pricing Contingent Claims in the One-Factor Term Structure Model, Working Paper, Merrill Lynch.

Jamshidian F. (1989) " An Exact Bond Option Formula", J. of Finance.

Kemna A., Vorst A. (1990) " A Pricing Method for Options Based on Average Asset Values", J. of Banking and Finance.

Levy E. (1992) " Pricing Average Rate Currency Options", The International Journal of Money and Finance.

Markowitz H. (1952) " Portfolio Selection", J. of Finance.

Merton R. (1973) " The Theory of Rational Option Pricing", Bell Journal of Economics. | MR | Zbl

Perderson H., Shiu E., Thorlacious A. (1989) " Arbitrage Free Pricing of Interest Rate Contignent Claims", Transactions of the Society of Actuaries.

Roger P. (1990) " Les Outils de la Modélisation Financière", PUF, Paris.

Rubinstein M., Leland H. (1981) " Replicating Options with Positions in Stock and Cash", Financial Analysts Journal.

Vasicek O. (1977) " An Equilibrium Characterization of the Term Structure", J of Financial Economics.