Paris Dauphine University

About: Paris Dauphine University is a education organization based out in Paris, France. It is known for research contribution in the topics: Context (language use) & Population. The organization has 1766 authors who have published 6909 publications receiving 162747 citations. The organization is also known as: Paris Dauphine & Dauphine.

Pricing options on realized variance

Abstract: Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic variation. Alternative work on pricing derivatives on quadratic variation has alternatively assumed that the underlying returns process is continuous over time. We compare the model values of derivatives on quadratic variation for the two types of models and find substantial differences.

Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. Part I: the case of bounded stochastic evolutions

Abstract: On etudie des equations elliptiques degenerees d'ordre 2 non lineaires de la forme F(D 2 u, Du, u, x)=0 dans H ou H est un espace de Hilbert separable, x un point generique dans H, u une fonction de H→R

Dark-energy constraints and correlations with systematics from CFHTLS weak lensing, SNLS supernovae Ia and WMAP5 ⋆

Abstract: We combine measurements of weak gravitational lensing from the CFHTLS-Wide survey, supernovae Ia from CFHT SNLS and CMB anisotropies from WMAP5 to obtain joint constraints on cosmological parameters, in particular, the dark energy equation of state parameter w. We assess the influence of systematics in the data on the results and look for possible correlations with cosmological parameters. We implement an MCMC algorithm to sample the parameter space of a flat CDM model with a dark-energy component of constant w. Systematics in the data are parametrised and included in the analysis. We determine the influence of photometric calibration of SNIa data on cosmological results by calculating the response of the distance modulus to photometric zero-point variations. The weak lensing data set is tested for anomalous field-to-field variations and a systematic shape measurement bias for high-z galaxies. Ignoring photometric uncertainties for SNLS biases cosmological parameters by at most 20% of the statistical errors, using supernovae only; the parameter uncertainties are underestimated by 10%. The weak lensing field-to-field variance pointings is 5%-15% higher than that predicted from N-body simulations. We do not find evidence for a multiplicative bias of the lensing signal at high redshift, within the framework of a simple model. When restricting the bias to values smaller than unity, the normalisation sigma_8 increases by up to 8%. Combining all three probes we obtain -0.10<1+w<0.06 at 68% confidence (-0.18<1+w<0.12 at 95%), including systematic errors. Systematics in the data increase the error bars by up to 35%; the best-fit values change by less than 0.15sigma. [Abridged]

Impact of irritable bowel syndrome (IBS) on health-related quality of life (HRQOL)

Abstract: Resume Objectif Evaluer l’impact du syndrome de l’intestin irritable (SII) sur la qualite de vie (QdV) des malades. Methode Deux echelles de QdV ont ete administrees par voie telephonique a un echantillon de 253 malades francais atteints de SII recrutes en population generale. Le SII a ete diagnostique a partir des criteres de Manning, Rome I et Rome II. Les malades qui presentaient une maladie organique etaient exclus de l’etude. Une echelle generique, la SF-36 et une echelle specifique, l’IBSQOL, ont ete utilises. Resultats Chez les malades avec SII, les scores de QdV etaient significativement inferieurs (p Conclusion Le SII a un fort impact sur la QdV des malades. Des caracteristiques specifiques tels que le sexe feminin, la severite des symptomes ainsi que l’anciennete des troubles peuvent predire une qualite de vie encore plus deterioree.