Affine and generalized affine models : Theory and applications
dc.contributor.advisor | Meddahi, Nour | fr |
dc.contributor.advisor | Garcia, René | fr |
dc.contributor.author | Feunou Kamkui, Bruno | fr |
dc.date.accessioned | 2012-03-07T15:04:59Z | |
dc.date.available | 2012-03-07T15:04:59Z | |
dc.date.issued | 2009-09-03 | fr |
dc.date.submitted | 2009 | fr |
dc.identifier.uri | http://hdl.handle.net/1866/3023 | |
dc.subject | Modèles affines | fr |
dc.subject | Affine models | fr |
dc.subject | Fonction cumulant | fr |
dc.subject | Cumulant function | fr |
dc.subject | Structure à terme des taux d'intérêt | fr |
dc.subject | Term structure of interest rates | fr |
dc.subject | VARMA | fr |
dc.subject | Varma | fr |
dc.subject | Prix du risque | fr |
dc.subject | Price of risk | fr |
dc.subject | GARCH | fr |
dc.subject | GARCH | fr |
dc.subject | Principe d'évaluation risque-neutre | fr |
dc.subject | Risk-neutral valuation | fr |
dc.subject | Absence d'arbitrage | fr |
dc.subject | No-arbitrage | fr |
dc.subject | Innovations non-normales | fr |
dc.subject | Non-normal innovations | fr |
dc.subject | Volatilité stochastique | fr |
dc.subject | Stochastic volatility | fr |
dc.subject | Asymétrie stochastique | fr |
dc.subject | Stochastic skewness | fr |
dc.subject | Effet de levier | fr |
dc.subject | Lever-age effect | fr |
dc.subject | Méthode des moments généralisée | fr |
dc.subject | GMM | fr |
dc.title | Affine and generalized affine models : Theory and applications | fr |
dc.type | Thèse ou mémoire / Thesis or Dissertation | fr |
etd.degree.discipline | Sciences économiques | fr |
etd.degree.grantor | Université de Montréal | fr |
etd.degree.level | Doctorat / Doctoral | fr |
etd.degree.name | Ph. D. | fr |
dcterms.description | Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal. | fr |
dcterms.language | eng | fr |
Files in this item
This item appears in the following Collection(s)
This document disseminated on Papyrus is the exclusive property of the copyright holders and is protected by the Copyright Act (R.S.C. 1985, c. C-42). It may be used for fair dealing and non-commercial purposes, for private study or research, criticism and review as provided by law. For any other use, written authorization from the copyright holders is required.