Enlever les fichiers auxiliaires inutiles
This commit is contained in:
François Pelletier
parent
4232470861
commit
4b6325cd9c
57 changed files with 0 additions and 90823 deletions
|
|
@ -1,119 +0,0 @@
|
|||
\relax
|
||||
\providecommand*{\memsetcounter}[2]{}
|
||||
\catcode`:\active
|
||||
\catcode`;\active
|
||||
\catcode`!\active
|
||||
\catcode`?\active
|
||||
\providecommand\HyperFirstAtBeginDocument{\AtBeginDocument}
|
||||
\HyperFirstAtBeginDocument{\ifx\hyper@anchor\@undefined
|
||||
\global\let\oldcontentsline\contentsline
|
||||
\gdef\contentsline#1#2#3#4{\oldcontentsline{#1}{#2}{#3}}
|
||||
\global\let\oldnewlabel\newlabel
|
||||
\gdef\newlabel#1#2{\newlabelxx{#1}#2}
|
||||
\gdef\newlabelxx#1#2#3#4#5#6{\oldnewlabel{#1}{{#2}{#3}}}
|
||||
\AtEndDocument{\ifx\hyper@anchor\@undefined
|
||||
\let\contentsline\oldcontentsline
|
||||
\let\newlabel\oldnewlabel
|
||||
\fi}
|
||||
\fi}
|
||||
\global\let\hyper@last\relax
|
||||
\gdef\HyperFirstAtBeginDocument#1{#1}
|
||||
\providecommand\HyField@AuxAddToFields[1]{}
|
||||
\bibstyle{plainnatmod}
|
||||
\select@language{french}
|
||||
\@writefile{toc}{\select@language{french}}
|
||||
\@writefile{lof}{\select@language{french}}
|
||||
\@writefile{lot}{\select@language{french}}
|
||||
\select@language{french}
|
||||
\@writefile{toc}{\select@language{french}}
|
||||
\@writefile{lof}{\select@language{french}}
|
||||
\@writefile{lot}{\select@language{french}}
|
||||
\@input{resume.aux}
|
||||
\@input{abstract.aux}
|
||||
\@writefile{toc}{\contentsline {chapter}{Table des mati{\`e}res}{vii}{section*.5}}
|
||||
\citation{madan1990variance}
|
||||
\@writefile{toc}{\contentsline {chapter}{Liste des tableaux}{xi}{section*.6}}
|
||||
\citation{mitchell1916critique}
|
||||
\@writefile{toc}{\contentsline {chapter}{Liste des figures}{xiii}{section*.7}}
|
||||
\@input{remerciements.aux}
|
||||
\@input{introduction.aux}
|
||||
\@input{chapitre1.aux}
|
||||
\@input{chapitre2.aux}
|
||||
\@input{chapitre3.aux}
|
||||
\@input{chapitre4.aux}
|
||||
\@input{chapitre5.aux}
|
||||
\@input{chapitre6.aux}
|
||||
\@input{chapitre7.aux}
|
||||
\@input{chapitre8.aux}
|
||||
\@input{chapitre9.aux}
|
||||
\@input{conclusion.aux}
|
||||
\@input{annexe1.aux}
|
||||
\@input{annexe2.aux}
|
||||
\@input{annexe3.aux}
|
||||
\bibdata{memoire}
|
||||
\bibcite{abramowitz1965handbook}{{1}{1965}{{Abramowitz et Stegun}}{{}}}
|
||||
\bibcite{applebaum2004levy}{{2}{2004}{{Applebaum}}{{}}}
|
||||
\bibcite{bachelier1900theorie}{{3}{1900}{{Bachelier}}{{}}}
|
||||
\bibcite{barndorff2001levy}{{4}{2001}{{Barndorff-Nielsen et~al.}}{{Barndorff-Nielsen, Mikosch, et Resnick}}}
|
||||
\bibcite{berkson1980minimum}{{5}{1980}{{Berkson}}{{}}}
|
||||
\bibcite{bingham2004risk}{{6}{2004}{{Bingham et Kiesel}}{{}}}
|
||||
\bibcite{black1976pricing}{{7}{1976}{{Black}}{{}}}
|
||||
\bibcite{black1973pricing}{{8}{1973}{{Black et Scholes}}{{}}}
|
||||
\bibcite{buckle1995bayesian}{{9}{1995}{{Buckle}}{{}}}
|
||||
\bibcite{butler2007saddlepoint}{{10}{2007}{{Butler}}{{}}}
|
||||
\bibcite{carr1999option}{{11}{1999}{{Carr et Madan}}{{}}}
|
||||
\bibcite{crowder1986consistency}{{12}{1986}{{Crowder}}{{}}}
|
||||
\bibcite{crowder1987linear}{{13}{1987}{{Crowder}}{{}}}
|
||||
\@writefile{toc}{\contentsline {chapter}{Bibliographie}{131}{section*.62}}
|
||||
\bibcite{daniels1954saddlepoint}{{14}{1954}{{Daniels}}{{}}}
|
||||
\bibcite{derman1996modelrisk}{{15}{1996}{{Derman}}{{}}}
|
||||
\bibcite{dodge2004statistique}{{16}{2004}{{Dodge}}{{}}}
|
||||
\bibcite{epps2007pricing}{{17}{2007}{{Epps}}{{}}}
|
||||
\bibcite{epps1983test}{{18}{1983}{{Epps et Pulley}}{{}}}
|
||||
\bibcite{everitt2006cambridge}{{19}{2006}{{Everitt et Skrondal}}{{}}}
|
||||
\bibcite{fama1993common}{{20}{1993}{{Fama et French}}{{}}}
|
||||
\bibcite{feuerverger1981efficiency}{{21}{1981}{{Feuerverger et McDunnough}}{{}}}
|
||||
\bibcite{fox1986large}{{22}{1986}{{Fox et Taqqu}}{{}}}
|
||||
\bibcite{gil1951note}{{23}{1951}{{Gil-Pelaez}}{{}}}
|
||||
\bibcite{gourieroux1989statistique}{{24}{1989}{{Gourieroux et Monfort}}{{}}}
|
||||
\bibcite{hall2005generalized}{{25}{2005}{{Hall}}{{}}}
|
||||
\bibcite{hamilton1994time}{{26}{1994}{{Hamilton}}{{}}}
|
||||
\bibcite{hansen1982large}{{27}{1982}{{Hansen}}{{}}}
|
||||
\bibcite{henze1990approximation}{{28}{1990}{{Henze}}{{}}}
|
||||
\bibcite{heston1993closed}{{29}{1993}{{Heston}}{{}}}
|
||||
\bibcite{hinkley1977estimation}{{30}{1977}{{Hinkley et Revankar}}{{}}}
|
||||
\bibcite{hogg1978introduction}{{31}{1978}{{Hogg et Craig}}{{}}}
|
||||
\bibcite{itkin2005pricing}{{32}{2005}{{Itkin}}{{}}}
|
||||
\bibcite{kotz2001laplace}{{33}{2001}{{Kotz et~al.}}{{Kotz, Kozubowski, et Podg{\'o}rski}}}
|
||||
\bibcite{KOUTROUVELIS01011980}{{34}{1980}{{Koutrouvelis}}{{}}}
|
||||
\bibcite{kozubowski1999class}{{35}{1999}{{Kozubowski et Podg{\'o}rski}}{{}}}
|
||||
\bibcite{kozubowski2001asymmetric}{{36}{2001}{{Kozubowski et Podg{\'o}rski}}{{}}}
|
||||
\bibcite{kyprianou2007introductory}{{37}{2007}{{Kyprianou}}{{}}}
|
||||
\bibcite{lugannani1980saddle}{{38}{1980}{{Lugannani et Rice}}{{}}}
|
||||
\bibcite{lukacs1960characteristic}{{39}{1960}{{Lukacs}}{{}}}
|
||||
\bibcite{luong1987minimum}{{40}{1987}{{Luong et Thompson}}{{}}}
|
||||
\bibcite{madan1990variance}{{41}{1990}{{Madan et Seneta}}{{}}}
|
||||
\bibcite{madan1998variance}{{42}{1998}{{Madan et~al.}}{{Madan, Carr, et Chang}}}
|
||||
\bibcite{mandelbrot1963variation}{{43}{1963}{{Mandelbrot}}{{}}}
|
||||
\bibcite{merton1976option}{{44}{1976}{{Merton}}{{}}}
|
||||
\bibcite{mitchell1916critique}{{45}{1916}{{Mitchell}}{{}}}
|
||||
\bibcite{newey1994large}{{46}{1994}{{Newey et McFadden}}{{}}}
|
||||
\bibcite{newey1987hypothesis}{{47}{1987}{{Newey et West}}{{}}}
|
||||
\bibcite{praetz1972distribution}{{48}{1972}{{Praetz}}{{}}}
|
||||
\bibcite{press1967compound}{{49}{1967}{{Press}}{{}}}
|
||||
\bibcite{sato1999levy}{{50}{1999}{{Sato}}{{}}}
|
||||
\bibcite{schoutens2003levy}{{51}{2003}{{Schoutens}}{{}}}
|
||||
\bibcite{RpackageVarianceGamma}{{52}{2012}{{Scott et Dong}}{{}}}
|
||||
\bibcite{seneta2004fitting}{{53}{2004}{{Seneta}}{{}}}
|
||||
\bibcite{shapiro1965analysis}{{54}{1965}{{Shapiro et Wilk}}{{}}}
|
||||
\bibcite{shephard1991characteristic}{{55}{1991}{{Shephard}}{{}}}
|
||||
\bibcite{spiegel1999schaum}{{56}{1999}{{Spiegel et Liu}}{{}}}
|
||||
\bibcite{stuart1987kendall}{{57}{1987}{{Stuart et Ord}}{{}}}
|
||||
\bibcite{teschl2004topics}{{58}{2004}{{Teschl}}{{}}}
|
||||
\bibcite{wang2003evaluating}{{59}{2003}{{Wang et~al.}}{{Wang, Tsang, et Marsaglia}}}
|
||||
\bibcite{wendel1961non}{{60}{1961}{{Wendel}}{{}}}
|
||||
\bibcite{wolfowitz1957minimum}{{61}{1957}{{Wolfowitz}}{{}}}
|
||||
\bibcite{wooldridge2001econometric}{{62}{2001}{{Wooldridge}}{{}}}
|
||||
\@input{deed.aux}
|
||||
\memsetcounter{lastsheet}{155}
|
||||
\memsetcounter{lastpage}{137}
|
||||
|
|
@ -1,361 +0,0 @@
|
|||
\begin{thebibliography}{62}
|
||||
\providecommand{\natexlab}[1]{#1}
|
||||
\providecommand{\url}[1]{\texttt{#1}}
|
||||
\expandafter\ifx\csname urlstyle\endcsname\relax
|
||||
\providecommand{\doi}[1]{doi: #1}\else
|
||||
\providecommand{\doi}{doi: \begingroup \urlstyle{rm}\Url}\fi
|
||||
|
||||
\bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook}
|
||||
Milton Abramowitz et Irene~A Stegun.
|
||||
\newblock \emph{Handbook of mathematical functions: with formulas, graphs, and
|
||||
mathematical tables}, volume~55.
|
||||
\newblock Dover publications, 1965.
|
||||
|
||||
\bibitem[Applebaum(2004)]{applebaum2004levy}
|
||||
David Applebaum.
|
||||
\newblock L{\'e}vy processes: From probability to finance and quantum groups.
|
||||
\newblock \emph{Notices of the AMS}, 51\penalty0 (11):\penalty0 1336--1347,
|
||||
2004.
|
||||
|
||||
\bibitem[Bachelier(1900)]{bachelier1900theorie}
|
||||
Louis Bachelier.
|
||||
\newblock \emph{Th{\'e}orie de la sp{\'e}culation}.
|
||||
\newblock Gauthier-Villars, 1900.
|
||||
|
||||
\bibitem[Barndorff-Nielsen et~al.(2001)Barndorff-Nielsen, Mikosch, et
|
||||
Resnick]{barndorff2001levy}
|
||||
O.E.E. Barndorff-Nielsen, T.E. Mikosch, et S.I.E. Resnick.
|
||||
\newblock \emph{L{\'e}vy Processes: Theory and Applications}.
|
||||
\newblock Birkhäuser, 2001.
|
||||
\newblock ISBN 9780817641672.
|
||||
\newblock URL \url{http://books.google.ca/books?id=ExpTdTauXMwC}.
|
||||
|
||||
\bibitem[Berkson(1980)]{berkson1980minimum}
|
||||
Joseph Berkson.
|
||||
\newblock Minimum chi-square, not maximum likelihood!
|
||||
\newblock \emph{The Annals of Statistics}, pages 457--487, 1980.
|
||||
|
||||
\bibitem[Bingham et Kiesel(2004)]{bingham2004risk}
|
||||
Nicholas~H Bingham et R{\"u}diger Kiesel.
|
||||
\newblock \emph{Risk-neutral valuation: Pricing and hedging of financial
|
||||
derivatives}.
|
||||
\newblock Springer, 2004.
|
||||
|
||||
\bibitem[Black(1976)]{black1976pricing}
|
||||
Fischer Black.
|
||||
\newblock The pricing of commodity contracts.
|
||||
\newblock \emph{Journal of financial economics}, 3\penalty0 (1):\penalty0
|
||||
167--179, 1976.
|
||||
|
||||
\bibitem[Black et Scholes(1973)]{black1973pricing}
|
||||
Fischer Black et Myron Scholes.
|
||||
\newblock The pricing of options and corporate liabilities.
|
||||
\newblock \emph{The journal of political economy}, pages 637--654, 1973.
|
||||
|
||||
\bibitem[Buckle(1995)]{buckle1995bayesian}
|
||||
DJ~Buckle.
|
||||
\newblock Bayesian inference for stable distributions.
|
||||
\newblock \emph{Journal of the American Statistical Association}, 90\penalty0
|
||||
(430):\penalty0 605--613, 1995.
|
||||
|
||||
\bibitem[Butler(2007)]{butler2007saddlepoint}
|
||||
Ronald~W Butler.
|
||||
\newblock \emph{Saddlepoint approximations with applications}, volume~22.
|
||||
\newblock Cambridge University Press, 2007.
|
||||
|
||||
\bibitem[Carr et Madan(1999)]{carr1999option}
|
||||
Peter Carr et Dilip Madan.
|
||||
\newblock Option valuation using the fast fourier transform.
|
||||
\newblock \emph{Journal of Computational Finance}, 2\penalty0 (4):\penalty0
|
||||
61--73, 1999.
|
||||
|
||||
\bibitem[Crowder(1986)]{crowder1986consistency}
|
||||
Martin Crowder.
|
||||
\newblock On consistency and inconsistency of estimating equations.
|
||||
\newblock \emph{Econometric Theory}, pages 305--330, 1986.
|
||||
|
||||
\bibitem[Crowder(1987)]{crowder1987linear}
|
||||
Martin Crowder.
|
||||
\newblock On linear and quadratic estimating functions.
|
||||
\newblock \emph{Biometrika}, 74\penalty0 (3):\penalty0 591--597, 1987.
|
||||
|
||||
\bibitem[Daniels(1954)]{daniels1954saddlepoint}
|
||||
Henry~E Daniels.
|
||||
\newblock Saddlepoint approximations in statistics.
|
||||
\newblock \emph{The Annals of Mathematical Statistics}, pages 631--650, 1954.
|
||||
|
||||
\bibitem[Derman(1996)]{derman1996modelrisk}
|
||||
Emanuel Derman.
|
||||
\newblock Model risk.
|
||||
\newblock Technical report, Goldman Sachs, 1996.
|
||||
|
||||
\bibitem[Dodge(2004)]{dodge2004statistique}
|
||||
Yadolah Dodge.
|
||||
\newblock \emph{Statistique: dictionnaire encyclop{\'e}dique}.
|
||||
\newblock Springer Verlag France, 2004.
|
||||
|
||||
\bibitem[Epps(2007)]{epps2007pricing}
|
||||
Thomas~W Epps.
|
||||
\newblock \emph{Pricing derivative securities}.
|
||||
\newblock World Scientific Publishing Company Incorporated, 2007.
|
||||
|
||||
\bibitem[Epps et Pulley(1983)]{epps1983test}
|
||||
Thomas~W Epps et Lawrence~B Pulley.
|
||||
\newblock A test for normality based on the empirical characteristic function.
|
||||
\newblock \emph{Biometrika}, 70\penalty0 (3):\penalty0 723--726, 1983.
|
||||
|
||||
\bibitem[Everitt et Skrondal(2006)]{everitt2006cambridge}
|
||||
Brian Everitt et Anders Skrondal.
|
||||
\newblock \emph{The Cambridge dictionary of statistics}, volume~4.
|
||||
\newblock Cambridge University Press Cambridge, 2006.
|
||||
|
||||
\bibitem[Fama et French(1993)]{fama1993common}
|
||||
Eugene~F Fama et Kenneth~R French.
|
||||
\newblock Common risk factors in the returns on stocks and bonds.
|
||||
\newblock \emph{Journal of financial economics}, 33\penalty0 (1):\penalty0
|
||||
3--56, 1993.
|
||||
|
||||
\bibitem[Feuerverger et McDunnough(1981)]{feuerverger1981efficiency}
|
||||
Andrey Feuerverger et Philip McDunnough.
|
||||
\newblock On the efficiency of empirical characteristic function procedures.
|
||||
\newblock \emph{Journal of the Royal Statistical Society. Series B
|
||||
(Methodological)}, pages 20--27, 1981.
|
||||
|
||||
\bibitem[Fox et Taqqu(1986)]{fox1986large}
|
||||
Robert Fox et Murad~S Taqqu.
|
||||
\newblock Large-sample properties of parameter estimates for strongly dependent
|
||||
stationary gaussian time series.
|
||||
\newblock \emph{The Annals of Statistics}, 14\penalty0 (2):\penalty0 517--532,
|
||||
1986.
|
||||
|
||||
\bibitem[Gil-Pelaez(1951)]{gil1951note}
|
||||
J~Gil-Pelaez.
|
||||
\newblock Note on the inversion theorem.
|
||||
\newblock \emph{Biometrika}, 38\penalty0 (3-4):\penalty0 481--482, 1951.
|
||||
|
||||
\bibitem[Gourieroux et Monfort(1989)]{gourieroux1989statistique}
|
||||
Christian Gourieroux et Alain Monfort.
|
||||
\newblock \emph{Statistique et mod{\`e}les {\'e}conom{\'e}triques: Notions
|
||||
g{\'e}n{\'e}rales, estimation, pr{\'e}vision, algorithmes}, volume~1.
|
||||
\newblock Economica, 1989.
|
||||
|
||||
\bibitem[Hall(2005)]{hall2005generalized}
|
||||
Alastair~R Hall.
|
||||
\newblock \emph{Generalized method of moments}.
|
||||
\newblock Oxford University Press Oxford, 2005.
|
||||
|
||||
\bibitem[Hamilton(1994)]{hamilton1994time}
|
||||
James~Douglas Hamilton.
|
||||
\newblock \emph{Time series analysis}, volume~2.
|
||||
\newblock Cambridge Univ Press, 1994.
|
||||
|
||||
\bibitem[Hansen(1982)]{hansen1982large}
|
||||
Lars~Peter Hansen.
|
||||
\newblock Large sample properties of generalized method of moments estimators.
|
||||
\newblock \emph{Econometrica: Journal of the Econometric Society}, pages
|
||||
1029--1054, 1982.
|
||||
|
||||
\bibitem[Henze(1990)]{henze1990approximation}
|
||||
N~Henze.
|
||||
\newblock An approximation to the limit distribution of the epps-pulley test
|
||||
statistic for normality.
|
||||
\newblock \emph{Metrika}, 37\penalty0 (1):\penalty0 7--18, 1990.
|
||||
|
||||
\bibitem[Heston(1993)]{heston1993closed}
|
||||
Steven~L Heston.
|
||||
\newblock A closed-form solution for options with stochastic volatility with
|
||||
applications to bond and currency options.
|
||||
\newblock \emph{Review of financial studies}, 6\penalty0 (2):\penalty0
|
||||
327--343, 1993.
|
||||
|
||||
\bibitem[Hinkley et Revankar(1977)]{hinkley1977estimation}
|
||||
David~V Hinkley et Nagesh~S Revankar.
|
||||
\newblock Estimation of the pareto law from underreported data: A further
|
||||
analysis.
|
||||
\newblock \emph{Journal of Econometrics}, 5\penalty0 (1):\penalty0 1--11, 1977.
|
||||
|
||||
\bibitem[Hogg et Craig(1978)]{hogg1978introduction}
|
||||
R.V. Hogg et A.T. Craig.
|
||||
\newblock \emph{Introduction to mathematical statistics}.
|
||||
\newblock Macmillan, 1978.
|
||||
\newblock ISBN 9780029789902.
|
||||
\newblock URL \url{http://books.google.ca/books?id=OZYQAQAAIAAJ}.
|
||||
|
||||
\bibitem[Itkin(2005)]{itkin2005pricing}
|
||||
Andrey Itkin.
|
||||
\newblock Pricing options with vg model using fft.
|
||||
\newblock \emph{arXiv preprint physics/0503137}, 2005.
|
||||
|
||||
\bibitem[Kotz et~al.(2001)Kotz, Kozubowski, et Podg{\'o}rski]{kotz2001laplace}
|
||||
S.~Kotz, T.J. Kozubowski, et K.~Podg{\'o}rski.
|
||||
\newblock \emph{The Laplace Distribution and Generalizations: A Revisit With
|
||||
Applications to Communications, Exonomics, Engineering, and Finance}.
|
||||
\newblock Progress in Mathematics Series. Birkh{\"a}user, 2001.
|
||||
\newblock ISBN 9780817641665.
|
||||
\newblock URL \url{http://books.google.ca/books?id=cb8B07hwULUC}.
|
||||
|
||||
\bibitem[Koutrouvelis(1980)]{KOUTROUVELIS01011980}
|
||||
I.~A. Koutrouvelis.
|
||||
\newblock A goodness-of-fit test of simple hypotheses based on the empirical
|
||||
characteristic function.
|
||||
\newblock \emph{Biometrika}, 67\penalty0 (1):\penalty0 238--240, 1980.
|
||||
\newblock \doi{10.1093/biomet/67.1.238}.
|
||||
\newblock URL \url{http://biomet.oxfordjournals.org/content/67/1/238.abstract}.
|
||||
|
||||
\bibitem[Kozubowski et Podg{\'o}rski(1999)]{kozubowski1999class}
|
||||
Tomasz~J Kozubowski et Krzysztof Podg{\'o}rski.
|
||||
\newblock A class of asymmetric distributions.
|
||||
\newblock \emph{Actuarial Research Clearing House}, 1:\penalty0 113--134, 1999.
|
||||
|
||||
\bibitem[Kozubowski et Podg{\'o}rski(2001)]{kozubowski2001asymmetric}
|
||||
Tomasz~J Kozubowski et Krzysztof Podg{\'o}rski.
|
||||
\newblock Asymmetric laplace laws and modeling financial data.
|
||||
\newblock \emph{Mathematical and computer modelling}, 34\penalty0 (9):\penalty0
|
||||
1003--1021, 2001.
|
||||
|
||||
\bibitem[Kyprianou(2007)]{kyprianou2007introductory}
|
||||
Andreas~E Kyprianou.
|
||||
\newblock \emph{Introductory lectures on fluctuations of L{\'e}vy processes
|
||||
with applications}.
|
||||
\newblock Springer, 2007.
|
||||
|
||||
\bibitem[Lugannani et Rice(1980)]{lugannani1980saddle}
|
||||
Robert Lugannani et Stephen Rice.
|
||||
\newblock Saddle point approximation for the distribution of the sum of
|
||||
independent random variables.
|
||||
\newblock \emph{Advances in applied probability}, pages 475--490, 1980.
|
||||
|
||||
\bibitem[Lukacs(1960)]{lukacs1960characteristic}
|
||||
Eugene Lukacs.
|
||||
\newblock \emph{Characteristic functions}, volume~4.
|
||||
\newblock Griffin London, 1960.
|
||||
|
||||
\bibitem[Luong et Thompson(1987)]{luong1987minimum}
|
||||
A~Luong et ME~Thompson.
|
||||
\newblock Minimum-distance methods based on quadratic distances for transforms.
|
||||
\newblock \emph{Canadian Journal of Statistics}, 15\penalty0 (3):\penalty0
|
||||
239--251, 1987.
|
||||
|
||||
\bibitem[Madan et Seneta(1990)]{madan1990variance}
|
||||
Dilip~B Madan et Eugene Seneta.
|
||||
\newblock The variance gamma (vg) model for share market returns.
|
||||
\newblock \emph{Journal of business}, pages 511--524, 1990.
|
||||
|
||||
\bibitem[Madan et~al.(1998)Madan, Carr, et Chang]{madan1998variance}
|
||||
Dilip~B Madan, Peter~P Carr, et Eric~C Chang.
|
||||
\newblock The variance gamma process and option pricing.
|
||||
\newblock \emph{European Finance Review}, 2\penalty0 (1):\penalty0 79--105,
|
||||
1998.
|
||||
|
||||
\bibitem[Mandelbrot(1963)]{mandelbrot1963variation}
|
||||
B.~Mandelbrot.
|
||||
\newblock The variation of certain speculative prices.
|
||||
\newblock \emph{Journal of business}, pages 394--419, 1963.
|
||||
|
||||
\bibitem[Merton(1976)]{merton1976option}
|
||||
Robert~C Merton.
|
||||
\newblock Option pricing when underlying stock returns are discontinuous.
|
||||
\newblock \emph{Journal of financial economics}, 3\penalty0 (1):\penalty0
|
||||
125--144, 1976.
|
||||
|
||||
\bibitem[Mitchell(1916)]{mitchell1916critique}
|
||||
Wesley~C Mitchell.
|
||||
\newblock A critique of index numbers of the prices of stocks.
|
||||
\newblock \emph{The Journal of Political Economy}, pages 625--693, 1916.
|
||||
|
||||
\bibitem[Newey et McFadden(1994)]{newey1994large}
|
||||
Whitney~K Newey et Daniel McFadden.
|
||||
\newblock Large sample estimation and hypothesis testing.
|
||||
\newblock \emph{Handbook of econometrics}, 4:\penalty0 2111--2245, 1994.
|
||||
|
||||
\bibitem[Newey et West(1987)]{newey1987hypothesis}
|
||||
Whitney~K Newey et Kenneth~D West.
|
||||
\newblock Hypothesis testing with efficient method of moments estimation.
|
||||
\newblock \emph{International Economic Review}, 28\penalty0 (3):\penalty0
|
||||
777--787, 1987.
|
||||
|
||||
\bibitem[Praetz(1972)]{praetz1972distribution}
|
||||
Peter~D Praetz.
|
||||
\newblock The distribution of share price changes.
|
||||
\newblock \emph{Journal of business}, pages 49--55, 1972.
|
||||
|
||||
\bibitem[Press(1967)]{press1967compound}
|
||||
S~James Press.
|
||||
\newblock A compound events model for security prices.
|
||||
\newblock \emph{Journal of Business}, pages 317--335, 1967.
|
||||
|
||||
\bibitem[Sato(1999)]{sato1999levy}
|
||||
K.~Sato.
|
||||
\newblock \emph{L{\'e}vy Processes and Infinitely Divisible Distributions}.
|
||||
\newblock Cambridge Studies in Advanced Mathematics. Cambridge University
|
||||
Press, 1999.
|
||||
\newblock ISBN 9780521553025.
|
||||
\newblock URL \url{http://books.google.ca/books?id=CwT5BNG0-owC}.
|
||||
|
||||
\bibitem[Schoutens(2003)]{schoutens2003levy}
|
||||
Wim Schoutens.
|
||||
\newblock \emph{L{\'e}vy processes in Finance}.
|
||||
\newblock Wiley, 2003.
|
||||
|
||||
\bibitem[Scott et Dong(2012)]{RpackageVarianceGamma}
|
||||
David Scott et Christine~Yang Dong.
|
||||
\newblock \emph{VarianceGamma: The Variance Gamma Distribution}, 2012.
|
||||
\newblock URL \url{http://CRAN.R-project.org/package=VarianceGamma}.
|
||||
\newblock R package version 0.3-1.
|
||||
|
||||
\bibitem[Seneta(2004)]{seneta2004fitting}
|
||||
Eugene Seneta.
|
||||
\newblock Fitting the variance-gamma model to financial data.
|
||||
\newblock \emph{Journal of Applied Probability}, pages 177--187, 2004.
|
||||
|
||||
\bibitem[Shapiro et Wilk(1965)]{shapiro1965analysis}
|
||||
Samuel~Sanford Shapiro et Martin~B Wilk.
|
||||
\newblock An analysis of variance test for normality (complete samples).
|
||||
\newblock \emph{Biometrika}, 52\penalty0 (3/4):\penalty0 591--611, 1965.
|
||||
|
||||
\bibitem[Shephard(1991)]{shephard1991characteristic}
|
||||
Neil~G Shephard.
|
||||
\newblock From characteristic function to distribution function: a simple
|
||||
framework for the theory.
|
||||
\newblock \emph{Econometric Theory}, 7\penalty0 (04):\penalty0 519--529, 1991.
|
||||
|
||||
\bibitem[Spiegel et Liu(1999)]{spiegel1999schaum}
|
||||
Murray~R Spiegel et John Liu.
|
||||
\newblock \emph{Schaum's mathematical handbook of formulas and tables}, volume
|
||||
1000.
|
||||
\newblock McGraw-Hill, 1999.
|
||||
|
||||
\bibitem[Stuart et Ord(1987)]{stuart1987kendall}
|
||||
Alan Stuart et J~Keith Ord.
|
||||
\newblock \emph{Kendall’s advanced theory of statistics, Vol. 1}.
|
||||
\newblock Oxford University Press, New York, 1987.
|
||||
|
||||
\bibitem[Teschl(2004)]{teschl2004topics}
|
||||
Gerald Teschl.
|
||||
\newblock Topics in real and functional analysis.
|
||||
\newblock \emph{unpublished, available online at
|
||||
\url{http://www.mat.univie.ac.at/\~gerald}}, 2004.
|
||||
|
||||
\bibitem[Wang et~al.(2003)Wang, Tsang, et Marsaglia]{wang2003evaluating}
|
||||
Jingbo Wang, Wai~Wan Tsang, et George Marsaglia.
|
||||
\newblock Evaluating kolmogorov's distribution.
|
||||
\newblock \emph{Journal of Statistical Software}, 8\penalty0 (18):\penalty0
|
||||
1--4, 2003.
|
||||
|
||||
\bibitem[Wendel(1961)]{wendel1961non}
|
||||
JG~Wendel.
|
||||
\newblock The non-absolute convergence of gil-pelaez'inversion integral.
|
||||
\newblock \emph{The Annals of Mathematical Statistics}, 32\penalty0
|
||||
(1):\penalty0 338--339, 1961.
|
||||
|
||||
\bibitem[Wolfowitz(1957)]{wolfowitz1957minimum}
|
||||
Jacob Wolfowitz.
|
||||
\newblock The minimum distance method.
|
||||
\newblock \emph{The Annals of Mathematical Statistics}, pages 75--88, 1957.
|
||||
|
||||
\bibitem[Wooldridge(2001)]{wooldridge2001econometric}
|
||||
Jeffrey~M Wooldridge.
|
||||
\newblock \emph{Econometric analysis of cross section and panel data}.
|
||||
\newblock MIT press, 2001.
|
||||
|
||||
\end{thebibliography}
|
||||
|
|
@ -1,64 +0,0 @@
|
|||
This is BibTeX, Version 0.99d (TeX Live 2012/Debian)
|
||||
Capacity: max_strings=35307, hash_size=35307, hash_prime=30011
|
||||
The top-level auxiliary file: 908144032.aux
|
||||
The style file: plainnatmod.bst
|
||||
A level-1 auxiliary file: resume.aux
|
||||
A level-1 auxiliary file: abstract.aux
|
||||
A level-1 auxiliary file: remerciements.aux
|
||||
A level-1 auxiliary file: introduction.aux
|
||||
A level-1 auxiliary file: chapitre1.aux
|
||||
A level-1 auxiliary file: chapitre2.aux
|
||||
A level-1 auxiliary file: chapitre3.aux
|
||||
A level-1 auxiliary file: chapitre4.aux
|
||||
A level-1 auxiliary file: chapitre5.aux
|
||||
A level-1 auxiliary file: chapitre6.aux
|
||||
A level-1 auxiliary file: chapitre7.aux
|
||||
A level-1 auxiliary file: chapitre8.aux
|
||||
A level-1 auxiliary file: chapitre9.aux
|
||||
A level-1 auxiliary file: conclusion.aux
|
||||
A level-1 auxiliary file: annexe1.aux
|
||||
A level-1 auxiliary file: annexe2.aux
|
||||
A level-1 auxiliary file: annexe3.aux
|
||||
A level-1 auxiliary file: deed.aux
|
||||
Database file #1: memoire.bib
|
||||
You've used 62 entries,
|
||||
2773 wiz_defined-function locations,
|
||||
971 strings with 13495 characters,
|
||||
and the built_in function-call counts, 25173 in all, are:
|
||||
= -- 2351
|
||||
> -- 953
|
||||
< -- 79
|
||||
+ -- 341
|
||||
- -- 279
|
||||
* -- 1701
|
||||
:= -- 3797
|
||||
add.period$ -- 199
|
||||
call.type$ -- 62
|
||||
change.case$ -- 259
|
||||
chr.to.int$ -- 62
|
||||
cite$ -- 124
|
||||
duplicate$ -- 1356
|
||||
empty$ -- 2325
|
||||
format.name$ -- 387
|
||||
if$ -- 5400
|
||||
int.to.chr$ -- 1
|
||||
int.to.str$ -- 1
|
||||
missing$ -- 80
|
||||
newline$ -- 329
|
||||
num.names$ -- 248
|
||||
pop$ -- 578
|
||||
preamble$ -- 1
|
||||
purify$ -- 217
|
||||
quote$ -- 0
|
||||
skip$ -- 1031
|
||||
stack$ -- 0
|
||||
substring$ -- 1122
|
||||
swap$ -- 191
|
||||
text.length$ -- 21
|
||||
text.prefix$ -- 0
|
||||
top$ -- 0
|
||||
type$ -- 582
|
||||
warning$ -- 0
|
||||
while$ -- 275
|
||||
width$ -- 0
|
||||
write$ -- 821
|
||||
|
|
@ -1,30 +0,0 @@
|
|||
\select@language {french}
|
||||
\select@language {french}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {1.1}{\ignorespaces Mod\IeC {\`e}le de Bachelier: probabilit\IeC {\'e} compos\IeC {\'e}e\relax }}{8}{figure.caption.12}
|
||||
\contentsline {figure}{\numberline {1.2}{\ignorespaces Distribution des rendements annuels de 40 titres boursiers, de 1890 \IeC {\`a} 1915, Table XVIII de \cite {mitchell1916critique}\relax }}{10}{figure.caption.13}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {2.1}{\ignorespaces Premier incr\IeC {\'e}ment d'un processus subordonn\IeC {\'e}\relax }}{23}{figure.caption.16}
|
||||
\contentsline {figure}{\numberline {2.2}{\ignorespaces Simulation d'un processus de Wiener subordonn\IeC {\'e} par un processus gamma\relax }}{24}{figure.caption.17}
|
||||
\contentsline {figure}{\numberline {2.3}{\ignorespaces Fonction de densit\IeC {\'e} de la distribution Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e avec diff\IeC {\'e}rents param\IeC {\`e}tres: $GAL(y;\theta ,\sigma ,\kappa ,\tau )$\relax }}{30}{figure.caption.19}
|
||||
\contentsline {figure}{\numberline {2.4}{\ignorespaces Histogramme et estimateur de densit\IeC {\'e} par noyau de 2500 r\IeC {\'e}alisations de la variable al\IeC {\'e}atoire $Y\sim GAL(\theta =0,\sigma =1,\kappa =2,\tau =1)$\relax }}{34}{figure.caption.20}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {3.1}{\ignorespaces Probabilit\IeC {\'e} \IeC {\`a} l'extr\IeC {\'e}mit\IeC {\'e} du support\relax }}{40}{figure.caption.23}
|
||||
\contentsline {figure}{\numberline {3.2}{\ignorespaces Distribution normale tronqu\IeC {\'e}e \IeC {\`a} $w_0$\relax }}{41}{figure.caption.24}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {9.1}{\ignorespaces Repr\IeC {\'e}sentation en s\IeC {\'e}rie chronologique de l'\IeC {\'e}chantillon $R_1$\relax }}{98}{figure.caption.28}
|
||||
\contentsline {figure}{\numberline {9.2}{\ignorespaces Distribution de la variable al\IeC {\'e}atoire $R_1$\relax }}{99}{figure.caption.31}
|
||||
\contentsline {figure}{\numberline {9.3}{\ignorespaces Graphique Quantile-Quantile\relax }}{100}{figure.caption.33}
|
||||
\contentsline {figure}{\numberline {9.4}{\ignorespaces \IeC {\'E}quation du point de selle pour $r=0.01$\relax }}{104}{figure.caption.37}
|
||||
\contentsline {figure}{\numberline {9.5}{\ignorespaces Densit\IeC {\'e} de $R_1^{*}$ selon la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{106}{figure.caption.42}
|
||||
\contentsline {figure}{\numberline {9.6}{\ignorespaces Densit\IeC {\'e} de $R_1^{*}$ selon la m\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale\relax }}{107}{figure.caption.43}
|
||||
\contentsline {figure}{\numberline {9.7}{\ignorespaces Prix de l'option selon les param\IeC {\`e}tres estim\IeC {\'e}s avec la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{110}{figure.caption.49}
|
||||
\contentsline {figure}{\numberline {9.8}{\ignorespaces Prix de l'option selon les param\IeC {\`e}tres estim\IeC {\'e}s avec la m\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale\relax }}{111}{figure.caption.50}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
File diff suppressed because it is too large
Load diff
|
|
@ -1,38 +0,0 @@
|
|||
\select@language {french}
|
||||
\select@language {french}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {1.1}{\ignorespaces Domaine et r\IeC {\^o}le des param\IeC {\`e}tres de la distribution L stable de Mandelbrot\relax }}{12}{table.caption.14}
|
||||
\contentsline {table}{\numberline {1.2}{\ignorespaces Respect des conditions \IeC {\'e}mises par Madan et Seneta pour les diff\IeC {\'e}rents mod\IeC {\`e}les pr\IeC {\'e}sent\IeC {\'e}s\relax }}{17}{table.caption.15}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {2.1}{\ignorespaces Domaine et r\IeC {\^o}le des param\IeC {\`e}tres de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{29}{table.caption.18}
|
||||
\contentsline {table}{\numberline {2.2}{\ignorespaces Cas sp\IeC {\'e}ciaux de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{35}{table.caption.21}
|
||||
\contentsline {table}{\numberline {2.3}{\ignorespaces Changements de param\IeC {\'e}trisation\relax }}{38}{table.caption.22}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {4.1}{\ignorespaces Tests d'hypoth\IeC {\`e}se param\IeC {\'e}triques pour la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{63}{table.caption.25}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {5.1}{\ignorespaces M\IeC {\'e}thodes d'estimation repr\IeC {\'e}sentables par la forme quadratique \textup {\hbox {\mathsurround \z@ \normalfont (\ignorespaces \ref {eq:generalquad}\unskip \@@italiccorr )}} \relax }}{67}{table.caption.26}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {6.1}{\ignorespaces Contraintes lin\IeC {\'e}aires pour les cas particuliers de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e $GAL(\theta ,\sigma ,\mu ,\tau )$\relax }}{77}{table.caption.27}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {9.1}{\ignorespaces Statistiques d'ordre de l'\IeC {\'e}chantillon $R_1$\relax }}{97}{table.caption.29}
|
||||
\contentsline {table}{\numberline {9.2}{\ignorespaces Valeurs relatives aux premiers moments de l'\IeC {\'e}chantillon $R_1$\relax }}{98}{table.caption.30}
|
||||
\contentsline {table}{\numberline {9.3}{\ignorespaces Test de normalit\IeC {\'e} d'Epps-Pulley pour $R_1$\relax }}{98}{table.caption.32}
|
||||
\contentsline {table}{\numberline {9.4}{\ignorespaces Param\IeC {\`e}tres $\theta _1$ de la premi\IeC {\`e}re optimisation\relax }}{100}{table.caption.34}
|
||||
\contentsline {table}{\numberline {9.5}{\ignorespaces Param\IeC {\`e}tres $\theta _1$ de la premi\IeC {\`e}re optimisation\relax }}{102}{table.caption.35}
|
||||
\contentsline {table}{\numberline {9.6}{\ignorespaces Param\IeC {\`e}tres des donn\IeC {\'e}es $R_1$\relax }}{103}{table.caption.36}
|
||||
\contentsline {table}{\numberline {9.7}{\ignorespaces Approximation de la densit\IeC {\'e} de $R_1$\relax }}{104}{table.caption.38}
|
||||
\contentsline {table}{\numberline {9.8}{\ignorespaces Approximation de la fonction de r\IeC {\'e}partition de $R_1$\relax }}{105}{table.caption.39}
|
||||
\contentsline {table}{\numberline {9.9}{\ignorespaces Courbes de densit\IeC {\'e}\relax }}{105}{table.caption.40}
|
||||
\contentsline {table}{\numberline {9.10}{\ignorespaces Valeur de l'int\IeC {\'e}grale de l'approximation de la densit\IeC {\'e} par la m\IeC {\'e}thode du point de selle \relax }}{105}{table.caption.41}
|
||||
\contentsline {table}{\numberline {9.11}{\ignorespaces Test du $\chi ^2$\relax }}{108}{table.caption.44}
|
||||
\contentsline {table}{\numberline {9.12}{\ignorespaces Test de Kolmogorov-Smirnov\relax }}{108}{table.caption.45}
|
||||
\contentsline {table}{\numberline {9.13}{\ignorespaces Test de distance minimale bas\IeC {\'e} sur la fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments\relax }}{109}{table.caption.46}
|
||||
\contentsline {table}{\numberline {9.14}{\ignorespaces Caract\IeC {\'e}ristiques de l'option\relax }}{109}{table.caption.47}
|
||||
\contentsline {table}{\numberline {9.15}{\ignorespaces Param\IeC {\`e}tres neutres au risque\relax }}{109}{table.caption.48}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {C.1}{\ignorespaces Prix du titre Abbey National (penny sterling)\relax }}{129}{table.caption.60}
|
||||
|
|
@ -1,135 +0,0 @@
|
|||
\BOOKMARK [0][-]{section*.2}{R\351sum\351}{}% 1
|
||||
\BOOKMARK [0][-]{section*.4}{Abstract}{}% 2
|
||||
\BOOKMARK [0][-]{section*.5}{Table des mati\350res}{}% 3
|
||||
\BOOKMARK [0][-]{section*.6}{Liste des tableaux}{}% 4
|
||||
\BOOKMARK [0][-]{section*.7}{Liste des figures}{}% 5
|
||||
\BOOKMARK [0][-]{section*.9}{Remerciements}{}% 6
|
||||
\BOOKMARK [0][-]{section*.11}{Introduction}{}% 7
|
||||
\BOOKMARK [0][-]{chapter.1}{Les mod\350les de rendements financiers}{}% 8
|
||||
\BOOKMARK [1][-]{section.1.1}{L'utilisation de mod\350les en finance}{chapter.1}% 9
|
||||
\BOOKMARK [2][-]{subsection.1.1.1}{Diff\351rents types de mod\350les}{section.1.1}% 10
|
||||
\BOOKMARK [2][-]{subsection.1.1.2}{Le risque de mod\351lisation}{section.1.1}% 11
|
||||
\BOOKMARK [1][-]{section.1.2}{Les rendements financiers}{chapter.1}% 12
|
||||
\BOOKMARK [2][-]{subsection.1.2.1}{D\351finitions et notation}{section.1.2}% 13
|
||||
\BOOKMARK [2][-]{subsection.1.2.2}{Rendements cumul\351s}{section.1.2}% 14
|
||||
\BOOKMARK [2][-]{subsection.1.2.3}{Donn\351es disponibles}{section.1.2}% 15
|
||||
\BOOKMARK [1][-]{section.1.3}{Les premiers mod\350les}{chapter.1}% 16
|
||||
\BOOKMARK [2][-]{subsection.1.3.1}{Le mod\350le de Bachelier}{section.1.3}% 17
|
||||
\BOOKMARK [2][-]{subsection.1.3.2}{Proposition de Mandelbrot}{section.1.3}% 18
|
||||
\BOOKMARK [2][-]{subsection.1.3.3}{Le mod\350le de Press}{section.1.3}% 19
|
||||
\BOOKMARK [2][-]{subsection.1.3.4}{Le mod\350le de Praetz}{section.1.3}% 20
|
||||
\BOOKMARK [1][-]{section.1.4}{Conditions essentielles de Madan et Seneta}{chapter.1}% 21
|
||||
\BOOKMARK [0][-]{chapter.2}{La distribution de Laplace asym\351trique g\351n\351ralis\351e}{}% 22
|
||||
\BOOKMARK [1][-]{section.2.1}{Le processus de Laplace}{chapter.2}% 23
|
||||
\BOOKMARK [2][-]{subsection.2.1.1}{Le processus gamma}{section.2.1}% 24
|
||||
\BOOKMARK [2][-]{subsection.2.1.2}{Le processus de Wiener}{section.2.1}% 25
|
||||
\BOOKMARK [2][-]{subsection.2.1.3}{Le processus de Laplace est un processus subordonn\351}{section.2.1}% 26
|
||||
\BOOKMARK [1][-]{section.2.2}{Distribution de Laplace asym\351trique g\351n\351ralis\351e}{chapter.2}% 27
|
||||
\BOOKMARK [2][-]{subsection.2.2.1}{Fonction caract\351ristique}{section.2.2}% 28
|
||||
\BOOKMARK [2][-]{subsection.2.2.2}{Invariance d'\351chelle}{section.2.2}% 29
|
||||
\BOOKMARK [2][-]{subsection.2.2.3}{Fonctions g\351n\351ratrices}{section.2.2}% 30
|
||||
\BOOKMARK [2][-]{subsection.2.2.4}{Moments et r\364le des param\350tres}{section.2.2}% 31
|
||||
\BOOKMARK [2][-]{subsection.2.2.5}{Changement d'\351chelle et de localisation}{section.2.2}% 32
|
||||
\BOOKMARK [2][-]{subsection.2.2.6}{Repr\351sentation alternative et simulation}{section.2.2}% 33
|
||||
\BOOKMARK [2][-]{subsection.2.2.7}{Fonction de Bessel et densit\351}{section.2.2}% 34
|
||||
\BOOKMARK [1][-]{section.2.3}{Cas particuliers}{chapter.2}% 35
|
||||
\BOOKMARK [2][-]{subsection.2.3.1}{Distribution de Laplace asym\351trique}{section.2.3}% 36
|
||||
\BOOKMARK [1][-]{section.2.4}{Relation avec le mod\350le de madan1990variance}{chapter.2}% 37
|
||||
\BOOKMARK [0][-]{chapter.3}{Approximation de la densit\351 et de la fonction de r\351partition}{}% 38
|
||||
\BOOKMARK [1][-]{section.3.1}{L'approximation de Laplace}{chapter.3}% 39
|
||||
\BOOKMARK [1][-]{section.3.2}{L'approximation de Temme}{chapter.3}% 40
|
||||
\BOOKMARK [1][-]{section.3.3}{La m\351thode du point de selle}{chapter.3}% 41
|
||||
\BOOKMARK [2][-]{subsection.3.3.1}{Approximation de la densit\351}{section.3.3}% 42
|
||||
\BOOKMARK [2][-]{subsection.3.3.2}{Unicit\351 du point de selle}{section.3.3}% 43
|
||||
\BOOKMARK [2][-]{subsection.3.3.3}{Approximation de la fonction de r\351partition}{section.3.3}% 44
|
||||
\BOOKMARK [2][-]{subsection.3.3.4}{Quelques propri\351t\351s des approximations}{section.3.3}% 45
|
||||
\BOOKMARK [1][-]{section.3.4}{Application de la m\351thode du point de selle}{chapter.3}% 46
|
||||
\BOOKMARK [2][-]{subsection.3.4.1}{Approximation de la densit\351}{section.3.4}% 47
|
||||
\BOOKMARK [2][-]{subsection.3.4.2}{Approximation de la fonction de r\351partition}{section.3.4}% 48
|
||||
\BOOKMARK [0][-]{chapter.4}{M\351thode des moments g\351n\351ralis\351e}{}% 49
|
||||
\BOOKMARK [1][-]{section.4.1}{Introduction}{chapter.4}% 50
|
||||
\BOOKMARK [2][-]{subsection.4.1.1}{M\351thode classique des moments}{section.4.1}% 51
|
||||
\BOOKMARK [1][-]{section.4.2}{M\351thode des moments g\351n\351ralis\351e}{chapter.4}% 52
|
||||
\BOOKMARK [2][-]{subsection.4.2.1}{D\351finition}{section.4.2}% 53
|
||||
\BOOKMARK [2][-]{subsection.4.2.2}{Convergence}{section.4.2}% 54
|
||||
\BOOKMARK [2][-]{subsection.4.2.3}{Matrice de pond\351ration optimale}{section.4.2}% 55
|
||||
\BOOKMARK [2][-]{subsection.4.2.4}{M\351thode des moments g\351n\351ralis\351e it\351rative}{section.4.2}% 56
|
||||
\BOOKMARK [2][-]{subsection.4.2.5}{Distribution asymptotique des estimateurs}{section.4.2}% 57
|
||||
\BOOKMARK [1][-]{section.4.3}{Estimation sous contrainte}{chapter.4}% 58
|
||||
\BOOKMARK [2][-]{subsection.4.3.1}{Distribution asymptotique des estimateurs contraints}{section.4.3}% 59
|
||||
\BOOKMARK [1][-]{section.4.4}{Tests d'hypoth\350ses param\351triques}{chapter.4}% 60
|
||||
\BOOKMARK [2][-]{subsection.4.4.1}{Test de Wald}{section.4.4}% 61
|
||||
\BOOKMARK [2][-]{subsection.4.4.2}{Test du multiplicateur de Lagrange}{section.4.4}% 62
|
||||
\BOOKMARK [2][-]{subsection.4.4.3}{Test bas\351 sur la statistique de m\351trique de distance}{section.4.4}% 63
|
||||
\BOOKMARK [2][-]{subsection.4.4.4}{En r\351sum\351}{section.4.4}% 64
|
||||
\BOOKMARK [0][-]{chapter.5}{M\351thode de l'\351quation d'estimation optimale}{}% 65
|
||||
\BOOKMARK [1][-]{section.5.1}{\311quations quadratiques optimales}{chapter.5}% 66
|
||||
\BOOKMARK [1][-]{section.5.2}{\311quation d'estimation optimale modifi\351e}{chapter.5}% 67
|
||||
\BOOKMARK [0][-]{chapter.6}{Estimation des param\350tres de la distribution de Laplace asym\351trique g\351n\351ralis\351e}{}% 68
|
||||
\BOOKMARK [1][-]{section.6.1}{Vecteur de param\350tres initiaux}{chapter.6}% 69
|
||||
\BOOKMARK [1][-]{section.6.2}{M\351thode des moments g\351n\351ralis\351e}{chapter.6}% 70
|
||||
\BOOKMARK [2][-]{subsection.6.2.1}{Matrice de pond\351ration optimale}{section.6.2}% 71
|
||||
\BOOKMARK [2][-]{subsection.6.2.2}{Variance-covariance des param\350tres}{section.6.2}% 72
|
||||
\BOOKMARK [2][-]{subsection.6.2.3}{Contraintes lin\351aires}{section.6.2}% 73
|
||||
\BOOKMARK [1][-]{section.6.3}{M\351thode des \351quations d'estimation optimales}{chapter.6}% 74
|
||||
\BOOKMARK [0][-]{chapter.7}{Tests statistiques}{}% 75
|
||||
\BOOKMARK [1][-]{section.7.1}{Test de normalit\351}{chapter.7}% 76
|
||||
\BOOKMARK [2][-]{subsection.7.1.1}{Test de Shapiro-Wilk}{section.7.1}% 77
|
||||
\BOOKMARK [2][-]{subsection.7.1.2}{Test d\220Epps-Pulley}{section.7.1}% 78
|
||||
\BOOKMARK [1][-]{section.7.2}{Tests d'ad\351quation}{chapter.7}% 79
|
||||
\BOOKMARK [2][-]{subsection.7.2.1}{Test 2 de Pearson}{section.7.2}% 80
|
||||
\BOOKMARK [2][-]{subsection.7.2.2}{Test de Kolmogorov-Smirnov}{section.7.2}% 81
|
||||
\BOOKMARK [2][-]{subsection.7.2.3}{Test de distance minimale bas\351 sur la fonction g\351n\351ratrice des moments}{section.7.2}% 82
|
||||
\BOOKMARK [0][-]{chapter.8}{\311valuation d'options}{}% 83
|
||||
\BOOKMARK [1][-]{section.8.1}{D\351finitions}{chapter.8}% 84
|
||||
\BOOKMARK [2][-]{subsection.8.1.1}{\311quation martingale}{section.8.1}% 85
|
||||
\BOOKMARK [2][-]{subsection.8.1.2}{Param\350tres neutres au risque}{section.8.1}% 86
|
||||
\BOOKMARK [1][-]{section.8.2}{Aper\347u du mod\350le de Black-Scholes}{chapter.8}% 87
|
||||
\BOOKMARK [1][-]{section.8.3}{M\351thodes d'\351valuation pour options europ\351ennes}{chapter.8}% 88
|
||||
\BOOKMARK [2][-]{subsection.8.3.1}{M\351thode de Heston}{section.8.3}% 89
|
||||
\BOOKMARK [2][-]{subsection.8.3.2}{M\351thode de Carr et Madan}{section.8.3}% 90
|
||||
\BOOKMARK [2][-]{subsection.8.3.3}{Prix d'exercice hors de la monnaie}{section.8.3}% 91
|
||||
\BOOKMARK [2][-]{subsection.8.3.4}{Critique de la m\351thode de Carr-Madan}{section.8.3}% 92
|
||||
\BOOKMARK [2][-]{subsection.8.3.5}{M\351thode d\220Epps}{section.8.3}% 93
|
||||
\BOOKMARK [1][-]{section.8.4}{Particularit\351s}{chapter.8}% 94
|
||||
\BOOKMARK [2][-]{subsection.8.4.1}{Option sur actions avec dividendes}{section.8.4}% 95
|
||||
\BOOKMARK [2][-]{subsection.8.4.2}{Options sur contrats \340 terme et taux de change}{section.8.4}% 96
|
||||
\BOOKMARK [0][-]{chapter.9}{Exemple d'application}{}% 97
|
||||
\BOOKMARK [1][-]{section.9.1}{Description des donn\351es}{chapter.9}% 98
|
||||
\BOOKMARK [1][-]{section.9.2}{Estimation}{chapter.9}% 99
|
||||
\BOOKMARK [1][-]{section.9.3}{Approximation}{chapter.9}% 100
|
||||
\BOOKMARK [1][-]{section.9.4}{Graphiques}{chapter.9}% 101
|
||||
\BOOKMARK [1][-]{section.9.5}{Tests statistiques}{chapter.9}% 102
|
||||
\BOOKMARK [1][-]{section.9.6}{\311valuation d'options}{chapter.9}% 103
|
||||
\BOOKMARK [0][-]{section*.52}{Conclusion}{}% 104
|
||||
\BOOKMARK [0][-]{appendix.A}{\311l\351ments de th\351orie des probabilit\351s}{}% 105
|
||||
\BOOKMARK [1][-]{section.A.1}{D\351finitions de base}{appendix.A}% 106
|
||||
\BOOKMARK [1][-]{section.A.2}{Transform\351es d'une variable al\351atoire}{appendix.A}% 107
|
||||
\BOOKMARK [2][-]{subsection.A.2.1}{La fonction caract\351ristique}{section.A.2}% 108
|
||||
\BOOKMARK [3][-]{section*.53}{Transform\351e de Fourier}{subsection.A.2.1}% 109
|
||||
\BOOKMARK [3][-]{section*.54}{D\351finition}{subsection.A.2.1}% 110
|
||||
\BOOKMARK [3][-]{section*.55}{Les moments}{subsection.A.2.1}% 111
|
||||
\BOOKMARK [2][-]{subsection.A.2.2}{Inversion de la fonction caract\351ristique}{section.A.2}% 112
|
||||
\BOOKMARK [3][-]{section*.56}{La densit\351}{subsection.A.2.2}% 113
|
||||
\BOOKMARK [3][-]{section*.57}{La fonction de r\351partition}{subsection.A.2.2}% 114
|
||||
\BOOKMARK [2][-]{subsection.A.2.3}{La fonction g\351n\351ratrice des moments}{section.A.2}% 115
|
||||
\BOOKMARK [2][-]{subsection.A.2.4}{La fonction g\351n\351ratrice des cumulants}{section.A.2}% 116
|
||||
\BOOKMARK [2][-]{subsection.A.2.5}{La transform\351e d'Esscher}{section.A.2}% 117
|
||||
\BOOKMARK [1][-]{section.A.3}{La transform\351e de Fourier rapide}{appendix.A}% 118
|
||||
\BOOKMARK [1][-]{section.A.4}{Processus de L\351vy}{appendix.A}% 119
|
||||
\BOOKMARK [2][-]{subsection.A.4.1}{D\351finition et propri\351t\351s}{section.A.4}% 120
|
||||
\BOOKMARK [3][-]{section*.58}{Repr\351sentation de L\351vy-Khintchine}{subsection.A.4.1}% 121
|
||||
\BOOKMARK [3][-]{section*.59}{Repr\351sentation de L\351vy-It\364}{subsection.A.4.1}% 122
|
||||
\BOOKMARK [2][-]{subsection.A.4.2}{Processus subordonn\351}{section.A.4}% 123
|
||||
\BOOKMARK [1][-]{section.A.5}{Th\351or\350mes d'int\351gration}{appendix.A}% 124
|
||||
\BOOKMARK [2][-]{subsection.A.5.1}{Th\351or\350me de convergence domin\351e de Lebesgue}{section.A.5}% 125
|
||||
\BOOKMARK [2][-]{subsection.A.5.2}{Th\351or\350me de Fubini}{section.A.5}% 126
|
||||
\BOOKMARK [0][-]{appendix.B}{\311l\351ments de statistique math\351matique}{}% 127
|
||||
\BOOKMARK [1][-]{section.B.1}{Loi faible des grands nombres}{appendix.B}% 128
|
||||
\BOOKMARK [1][-]{section.B.2}{Th\351or\350me central limite}{appendix.B}% 129
|
||||
\BOOKMARK [2][-]{subsection.B.2.1}{Cas univari\351}{section.B.2}% 130
|
||||
\BOOKMARK [2][-]{subsection.B.2.2}{Cas multivari\351}{section.B.2}% 131
|
||||
\BOOKMARK [1][-]{section.B.3}{M\351thode delta multivari\351e}{appendix.B}% 132
|
||||
\BOOKMARK [0][-]{appendix.C}{Donn\351es}{}% 133
|
||||
\BOOKMARK [0][-]{section*.62}{Bibliographie}{}% 134
|
||||
\BOOKMARK [0][-]{section*.64}{Contrat de partage}{}% 135
|
||||
Binary file not shown.
|
|
@ -1,111 +0,0 @@
|
|||
%% GABARIT POUR MÉMOIRE STANDARD
|
||||
%%
|
||||
%% Consulter la documentation de la classe ulthese pour une
|
||||
%% description détaillée de la classe, de ce gabarit et des options
|
||||
%% disponibles.
|
||||
%%
|
||||
%% [Ne pas hésiter à supprimer les commentaires après les avoir lus.]
|
||||
%%
|
||||
%% Déclaration de la classe avec les langues les plus courantes. Le
|
||||
%% français sera la langue par défaut du document.
|
||||
\documentclass[11pt,english,francais]{ulthese} \usepackage{scrtime}
|
||||
\usepackage{natbib}
|
||||
\usepackage{tikz} \usepackage{multirow}
|
||||
%% Encodage utilisé pour les caractères accentués dans les fichiers
|
||||
%% source du document. Les gabarits sont encodés en UTF-8.
|
||||
\usepackage[utf8]{inputenc}
|
||||
%% Charger ici les autres paquetages nécessaires pour le document.
|
||||
%% Quelques exemples; décommenter au besoin.
|
||||
\usepackage{amsmath} % recommandé pour les mathématiques
|
||||
\numberwithin{equation}{section} % pour numéroter les équations selon les sections
|
||||
\usepackage{amsfonts} \usepackage{amsthm} \usepackage{thmtools}
|
||||
% \usepackage{mathpazo} % texte en Palatino
|
||||
% \usepackage{mathptmx} % texte en Times
|
||||
%% Gestion des hyperliens dans le document. S'assurer que hyperref est
|
||||
%% le dernier paquetage chargé.
|
||||
\usepackage{hyperref} \hypersetup{colorlinks,allcolors=ULlinkcolor}
|
||||
\usepackage{cleveref}
|
||||
\usepackage[hypcap]{caption} % permet de faire le lien au dessus des figures au lieu d en dessous
|
||||
\usepackage[off]{auto-pst-pdf}
|
||||
%% Pour utiliser Computer Modern comme police sans empattements
|
||||
%% (serif) plutôt que Helvetica, décommenter la ligne ci-dessous.
|
||||
% \renewcommand{\sfdefault}{cmss}
|
||||
|
||||
%% Options de mise en forme du mode français de babel. Consulter la
|
||||
%% documentation du paquetage babel pour les options disponibles.
|
||||
\frenchbsetup{%
|
||||
CompactItemize=false, % ne pas compacter les listes
|
||||
ThinSpaceInFrenchNumbers=true % espace fine dans les nombres
|
||||
} \DeclareMathOperator{\sgn}{sgn}
|
||||
%% Style de la bibliographie.
|
||||
\bibliographystyle{plainnatmod}
|
||||
%% Déclarations de la page titre. Remplacer les éléments entre < >.
|
||||
%% Supprimer les caractères < >. Couper un long titre ou un long
|
||||
%% sous-titre manuellement avec \\. Terminer une éventuelle deuxième
|
||||
%% ligne de titre ou de sous-titre avec \vspace*{-\baselineskip}.
|
||||
\titre{Modélisation des rendements financiers \\ à l'aide de la
|
||||
distribution de Laplace asymétrique généralisée
|
||||
\vspace*{-\baselineskip}}
|
||||
% \titre{Ceci est un exemple de long titre \\
|
||||
% avec saut de ligne manuel \vspace*{-\baselineskip}}
|
||||
% \soustitre{Sous-titre le cas échéant}
|
||||
% \soustitre{Ceci est un exemple de long-titre \\
|
||||
% avec saut de ligne manuel \vspace*{-\baselineskip}}
|
||||
\auteur{François Pelletier} \programme{Maîtrise en actuariat}
|
||||
\annee{2013}
|
||||
\MSc % ou l'un de \LLM, \MA, \MMus, \MServSoc, \MScGeogr, \MATDR
|
||||
\setcounter{tocdepth}{4}
|
||||
\begin{document}
|
||||
\newtheorem{theo}{Théorème}[subsection]
|
||||
\newtheorem{hypothese}{Hypothèse}[chapter]
|
||||
|
||||
\frontmatter % pages liminaires
|
||||
|
||||
\pagetitre % production de la page titre
|
||||
|
||||
\include{resume} % résumé français
|
||||
\include{abstract} % résumé anglais
|
||||
\cleardoublepage
|
||||
|
||||
\tableofcontents % production de la TdM
|
||||
\cleardoublepage
|
||||
|
||||
\listoftables % production de la liste des tableaux
|
||||
\cleardoublepage
|
||||
|
||||
\listoffigures % production de la liste des figures
|
||||
\cleardoublepage
|
||||
|
||||
%\dedicace{Dédicace si désiré}
|
||||
%\cleardoublepage
|
||||
|
||||
\epigraphe{Dieu ne se soucie pas de nos difficultés mathématiques. Il intègre empiriquement.}{Albert Einstein}
|
||||
\cleardoublepage
|
||||
|
||||
\include{remerciements} % remerciements
|
||||
|
||||
\mainmatter % corps du document
|
||||
|
||||
\include{introduction} % introduction
|
||||
\include{chapitre1} % chapitre 1
|
||||
\include{chapitre2} % chapitre 2, etc.
|
||||
\include{chapitre3}
|
||||
\include{chapitre4}
|
||||
\include{chapitre5}
|
||||
\include{chapitre6}
|
||||
\include{chapitre7}
|
||||
\include{chapitre8}
|
||||
\include{chapitre9}
|
||||
\include{conclusion} % conclusion
|
||||
|
||||
\appendix % annexes le cas échéant
|
||||
|
||||
\include{annexe1} % Annexe 1
|
||||
\include{annexe2} % Annexe 2
|
||||
\include{annexe3} % Annexe 3
|
||||
|
||||
\bibliography{memoire} % production de la bibliographie
|
||||
|
||||
\include{deed}
|
||||
|
||||
\end{document}
|
||||
|
|
@ -1,137 +0,0 @@
|
|||
\select@language {french}
|
||||
\select@language {french}
|
||||
\contentsline {chapter}{R\IeC {\'e}sum\IeC {\'e}}{iii}{section*.2}
|
||||
\contentsline {chapter}{Abstract}{v}{section*.4}
|
||||
\contentsline {chapter}{Table des mati{\`e}res}{vii}{section*.5}
|
||||
\contentsline {chapter}{Liste des tableaux}{xi}{section*.6}
|
||||
\contentsline {chapter}{Liste des figures}{xiii}{section*.7}
|
||||
\contentsline {chapter}{Remerciements}{xvii}{section*.9}
|
||||
\contentsline {chapter}{Introduction}{1}{section*.11}
|
||||
\contentsline {chapter}{\chapternumberline {1}Les mod\IeC {\`e}les de rendements financiers}{3}{chapter.1}
|
||||
\contentsline {section}{\numberline {1.1}L'utilisation de mod\IeC {\`e}les en finance}{3}{section.1.1}
|
||||
\contentsline {subsection}{\numberline {1.1.1}Diff\IeC {\'e}rents types de mod\IeC {\`e}les}{3}{subsection.1.1.1}
|
||||
\contentsline {subsection}{\numberline {1.1.2}Le risque de mod\IeC {\'e}lisation}{4}{subsection.1.1.2}
|
||||
\contentsline {section}{\numberline {1.2}Les rendements financiers}{5}{section.1.2}
|
||||
\contentsline {subsection}{\numberline {1.2.1}D\IeC {\'e}finitions et notation}{5}{subsection.1.2.1}
|
||||
\contentsline {subsection}{\numberline {1.2.2}Rendements cumul\IeC {\'e}s}{7}{subsection.1.2.2}
|
||||
\contentsline {subsection}{\numberline {1.2.3}Donn\IeC {\'e}es disponibles}{8}{subsection.1.2.3}
|
||||
\contentsline {section}{\numberline {1.3}Les premiers mod\IeC {\`e}les}{8}{section.1.3}
|
||||
\contentsline {subsection}{\numberline {1.3.1}Le mod\IeC {\`e}le de Bachelier}{8}{subsection.1.3.1}
|
||||
\contentsline {subsection}{\numberline {1.3.2}Proposition de Mandelbrot}{11}{subsection.1.3.2}
|
||||
\contentsline {subsection}{\numberline {1.3.3}Le mod\IeC {\`e}le de Press}{12}{subsection.1.3.3}
|
||||
\contentsline {subsection}{\numberline {1.3.4}Le mod\IeC {\`e}le de Praetz}{15}{subsection.1.3.4}
|
||||
\contentsline {section}{\numberline {1.4}Conditions essentielles de Madan et Seneta}{16}{section.1.4}
|
||||
\contentsline {chapter}{\chapternumberline {2}La distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{19}{chapter.2}
|
||||
\contentsline {section}{\numberline {2.1}Le processus de Laplace}{19}{section.2.1}
|
||||
\contentsline {subsection}{\numberline {2.1.1}Le processus gamma}{20}{subsection.2.1.1}
|
||||
\contentsline {subsection}{\numberline {2.1.2}Le processus de Wiener}{21}{subsection.2.1.2}
|
||||
\contentsline {subsection}{\numberline {2.1.3}Le processus de Laplace est un processus subordonn\IeC {\'e}}{22}{subsection.2.1.3}
|
||||
\contentsline {section}{\numberline {2.2}Distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{25}{section.2.2}
|
||||
\contentsline {subsection}{\numberline {2.2.1}Fonction caract\IeC {\'e}ristique}{25}{subsection.2.2.1}
|
||||
\contentsline {subsection}{\numberline {2.2.2}Invariance d'\IeC {\'e}chelle}{26}{subsection.2.2.2}
|
||||
\contentsline {subsection}{\numberline {2.2.3}Fonctions g\IeC {\'e}n\IeC {\'e}ratrices}{28}{subsection.2.2.3}
|
||||
\contentsline {subsection}{\numberline {2.2.4}Moments et r\IeC {\^o}le des param\IeC {\`e}tres}{28}{subsection.2.2.4}
|
||||
\contentsline {subsection}{\numberline {2.2.5}Changement d'\IeC {\'e}chelle et de localisation}{31}{subsection.2.2.5}
|
||||
\contentsline {subsection}{\numberline {2.2.6}Repr\IeC {\'e}sentation alternative et simulation}{32}{subsection.2.2.6}
|
||||
\contentsline {subsection}{\numberline {2.2.7}Fonction de Bessel et densit\IeC {\'e}}{33}{subsection.2.2.7}
|
||||
\contentsline {section}{\numberline {2.3}Cas particuliers}{35}{section.2.3}
|
||||
\contentsline {subsection}{\numberline {2.3.1}Distribution de Laplace asym\IeC {\'e}trique}{36}{subsection.2.3.1}
|
||||
\contentsline {section}{\numberline {2.4}Relation avec le mod\IeC {\`e}le de \cite {madan1990variance}}{37}{section.2.4}
|
||||
\contentsline {chapter}{\chapternumberline {3}Approximation de la densit\IeC {\'e} et de la fonction de r\IeC {\'e}partition}{39}{chapter.3}
|
||||
\contentsline {section}{\numberline {3.1}L'approximation de Laplace}{39}{section.3.1}
|
||||
\contentsline {section}{\numberline {3.2}L'approximation de Temme}{41}{section.3.2}
|
||||
\contentsline {section}{\numberline {3.3}La m\IeC {\'e}thode du point de selle}{42}{section.3.3}
|
||||
\contentsline {subsection}{\numberline {3.3.1}Approximation de la densit\IeC {\'e}}{42}{subsection.3.3.1}
|
||||
\contentsline {subsection}{\numberline {3.3.2}Unicit\IeC {\'e} du point de selle}{44}{subsection.3.3.2}
|
||||
\contentsline {subsection}{\numberline {3.3.3}Approximation de la fonction de r\IeC {\'e}partition}{44}{subsection.3.3.3}
|
||||
\contentsline {subsection}{\numberline {3.3.4}Quelques propri\IeC {\'e}t\IeC {\'e}s des approximations}{45}{subsection.3.3.4}
|
||||
\contentsline {section}{\numberline {3.4}Application de la m\IeC {\'e}thode du point de selle}{46}{section.3.4}
|
||||
\contentsline {subsection}{\numberline {3.4.1}Approximation de la densit\IeC {\'e}}{46}{subsection.3.4.1}
|
||||
\contentsline {subsection}{\numberline {3.4.2}Approximation de la fonction de r\IeC {\'e}partition}{47}{subsection.3.4.2}
|
||||
\contentsline {chapter}{\chapternumberline {4}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{49}{chapter.4}
|
||||
\contentsline {section}{\numberline {4.1}Introduction}{49}{section.4.1}
|
||||
\contentsline {subsection}{\numberline {4.1.1}M\IeC {\'e}thode classique des moments}{50}{subsection.4.1.1}
|
||||
\contentsline {section}{\numberline {4.2}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{50}{section.4.2}
|
||||
\contentsline {subsection}{\numberline {4.2.1}D\IeC {\'e}finition}{51}{subsection.4.2.1}
|
||||
\contentsline {subsection}{\numberline {4.2.2}Convergence}{52}{subsection.4.2.2}
|
||||
\contentsline {subsection}{\numberline {4.2.3}Matrice de pond\IeC {\'e}ration optimale}{53}{subsection.4.2.3}
|
||||
\contentsline {subsection}{\numberline {4.2.4}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e it\IeC {\'e}rative}{55}{subsection.4.2.4}
|
||||
\contentsline {subsection}{\numberline {4.2.5}Distribution asymptotique des estimateurs}{55}{subsection.4.2.5}
|
||||
\contentsline {section}{\numberline {4.3}Estimation sous contrainte}{58}{section.4.3}
|
||||
\contentsline {subsection}{\numberline {4.3.1}Distribution asymptotique des estimateurs contraints}{59}{subsection.4.3.1}
|
||||
\contentsline {section}{\numberline {4.4}Tests d'hypoth\IeC {\`e}ses param\IeC {\'e}triques}{61}{section.4.4}
|
||||
\contentsline {subsection}{\numberline {4.4.1}Test de Wald}{61}{subsection.4.4.1}
|
||||
\contentsline {subsection}{\numberline {4.4.2}Test du multiplicateur de Lagrange}{62}{subsection.4.4.2}
|
||||
\contentsline {subsection}{\numberline {4.4.3}Test bas\IeC {\'e} sur la statistique de m\IeC {\'e}trique de distance}{63}{subsection.4.4.3}
|
||||
\contentsline {subsection}{\numberline {4.4.4}En r\IeC {\'e}sum\IeC {\'e}}{63}{subsection.4.4.4}
|
||||
\contentsline {chapter}{\chapternumberline {5}M\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale}{65}{chapter.5}
|
||||
\contentsline {section}{\numberline {5.1}\IeC {\'E}quations quadratiques optimales}{67}{section.5.1}
|
||||
\contentsline {section}{\numberline {5.2}\IeC {\'E}quation d'estimation optimale modifi\IeC {\'e}e}{70}{section.5.2}
|
||||
\contentsline {chapter}{\chapternumberline {6}Estimation des param\IeC {\`e}tres de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{73}{chapter.6}
|
||||
\contentsline {section}{\numberline {6.1}Vecteur de param\IeC {\`e}tres initiaux}{73}{section.6.1}
|
||||
\contentsline {section}{\numberline {6.2}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{74}{section.6.2}
|
||||
\contentsline {subsection}{\numberline {6.2.1}Matrice de pond\IeC {\'e}ration optimale}{75}{subsection.6.2.1}
|
||||
\contentsline {subsection}{\numberline {6.2.2}Variance-covariance des param\IeC {\`e}tres}{76}{subsection.6.2.2}
|
||||
\contentsline {subsection}{\numberline {6.2.3}Contraintes lin\IeC {\'e}aires}{77}{subsection.6.2.3}
|
||||
\contentsline {section}{\numberline {6.3}M\IeC {\'e}thode des \IeC {\'e}quations d'estimation optimales}{78}{section.6.3}
|
||||
\contentsline {chapter}{\chapternumberline {7}Tests statistiques}{81}{chapter.7}
|
||||
\contentsline {section}{\numberline {7.1}Test de normalit\IeC {\'e}}{81}{section.7.1}
|
||||
\contentsline {subsection}{\numberline {7.1.1}Test de Shapiro-Wilk}{81}{subsection.7.1.1}
|
||||
\contentsline {subsection}{\numberline {7.1.2}Test d\IeC {\textquoteright }Epps-Pulley}{82}{subsection.7.1.2}
|
||||
\contentsline {section}{\numberline {7.2}Tests d'ad\IeC {\'e}quation}{82}{section.7.2}
|
||||
\contentsline {subsection}{\numberline {7.2.1}Test $\chi ^2$ de Pearson}{83}{subsection.7.2.1}
|
||||
\contentsline {subsection}{\numberline {7.2.2}Test de Kolmogorov-Smirnov}{84}{subsection.7.2.2}
|
||||
\contentsline {subsection}{\numberline {7.2.3}Test de distance minimale bas\IeC {\'e} sur la fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments}{85}{subsection.7.2.3}
|
||||
\contentsline {chapter}{\chapternumberline {8}\IeC {\'E}valuation d'options}{87}{chapter.8}
|
||||
\contentsline {section}{\numberline {8.1}D\IeC {\'e}finitions}{87}{section.8.1}
|
||||
\contentsline {subsection}{\numberline {8.1.1}\IeC {\'E}quation martingale}{88}{subsection.8.1.1}
|
||||
\contentsline {subsection}{\numberline {8.1.2}Param\IeC {\`e}tres neutres au risque}{89}{subsection.8.1.2}
|
||||
\contentsline {section}{\numberline {8.2}Aper\IeC {\c c}u du mod\IeC {\`e}le de Black-Scholes}{90}{section.8.2}
|
||||
\contentsline {section}{\numberline {8.3}M\IeC {\'e}thodes d'\IeC {\'e}valuation pour options europ\IeC {\'e}ennes}{90}{section.8.3}
|
||||
\contentsline {subsection}{\numberline {8.3.1}M\IeC {\'e}thode de Heston}{91}{subsection.8.3.1}
|
||||
\contentsline {subsection}{\numberline {8.3.2}M\IeC {\'e}thode de Carr et Madan}{91}{subsection.8.3.2}
|
||||
\contentsline {subsection}{\numberline {8.3.3}Prix d'exercice hors de la monnaie}{93}{subsection.8.3.3}
|
||||
\contentsline {subsection}{\numberline {8.3.4}Critique de la m\IeC {\'e}thode de Carr-Madan}{93}{subsection.8.3.4}
|
||||
\contentsline {subsection}{\numberline {8.3.5}M\IeC {\'e}thode d\IeC {\textquoteright }Epps}{94}{subsection.8.3.5}
|
||||
\contentsline {section}{\numberline {8.4}Particularit\IeC {\'e}s}{95}{section.8.4}
|
||||
\contentsline {subsection}{\numberline {8.4.1}Option sur actions avec dividendes}{95}{subsection.8.4.1}
|
||||
\contentsline {subsection}{\numberline {8.4.2}Options sur contrats \IeC {\`a} terme et taux de change}{95}{subsection.8.4.2}
|
||||
\contentsline {chapter}{\chapternumberline {9}Exemple d'application}{97}{chapter.9}
|
||||
\contentsline {section}{\numberline {9.1}Description des donn\IeC {\'e}es}{97}{section.9.1}
|
||||
\contentsline {section}{\numberline {9.2}Estimation}{99}{section.9.2}
|
||||
\contentsline {section}{\numberline {9.3}Approximation}{104}{section.9.3}
|
||||
\contentsline {section}{\numberline {9.4}Graphiques}{105}{section.9.4}
|
||||
\contentsline {section}{\numberline {9.5}Tests statistiques}{108}{section.9.5}
|
||||
\contentsline {section}{\numberline {9.6}\IeC {\'E}valuation d'options}{109}{section.9.6}
|
||||
\contentsline {chapter}{Conclusion}{113}{section*.52}
|
||||
\contentsline {appendix}{\chapternumberline {A}\IeC {\'E}l\IeC {\'e}ments de th\IeC {\'e}orie des probabilit\IeC {\'e}s}{115}{appendix.A}
|
||||
\contentsline {section}{\numberline {A.1}D\IeC {\'e}finitions de base}{115}{section.A.1}
|
||||
\contentsline {section}{\numberline {A.2}Transform\IeC {\'e}es d'une variable al\IeC {\'e}atoire}{116}{section.A.2}
|
||||
\contentsline {subsection}{\numberline {A.2.1}La fonction caract\IeC {\'e}ristique}{116}{subsection.A.2.1}
|
||||
\contentsline {subsubsection}{Transform\IeC {\'e}e de Fourier}{116}{section*.53}
|
||||
\contentsline {subsubsection}{D\IeC {\'e}finition}{116}{section*.54}
|
||||
\contentsline {subsubsection}{Les moments}{117}{section*.55}
|
||||
\contentsline {subsection}{\numberline {A.2.2}Inversion de la fonction caract\IeC {\'e}ristique}{117}{subsection.A.2.2}
|
||||
\contentsline {subsubsection}{La densit\IeC {\'e}}{117}{section*.56}
|
||||
\contentsline {subsubsection}{La fonction de r\IeC {\'e}partition}{117}{section*.57}
|
||||
\contentsline {subsection}{\numberline {A.2.3}La fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments}{118}{subsection.A.2.3}
|
||||
\contentsline {subsection}{\numberline {A.2.4}La fonction g\IeC {\'e}n\IeC {\'e}ratrice des cumulants}{119}{subsection.A.2.4}
|
||||
\contentsline {subsection}{\numberline {A.2.5}La transform\IeC {\'e}e d'Esscher}{120}{subsection.A.2.5}
|
||||
\contentsline {section}{\numberline {A.3}La transform\IeC {\'e}e de Fourier rapide}{120}{section.A.3}
|
||||
\contentsline {section}{\numberline {A.4}Processus de L\IeC {\'e}vy}{121}{section.A.4}
|
||||
\contentsline {subsection}{\numberline {A.4.1}D\IeC {\'e}finition et propri\IeC {\'e}t\IeC {\'e}s}{121}{subsection.A.4.1}
|
||||
\contentsline {subsubsection}{Repr\IeC {\'e}sentation de L\IeC {\'e}vy-Khintchine}{122}{section*.58}
|
||||
\contentsline {subsubsection}{Repr\IeC {\'e}sentation de L\IeC {\'e}vy-It\IeC {\^o}}{122}{section*.59}
|
||||
\contentsline {subsection}{\numberline {A.4.2}Processus subordonn\IeC {\'e}}{123}{subsection.A.4.2}
|
||||
\contentsline {section}{\numberline {A.5}Th\IeC {\'e}or\IeC {\`e}mes d'int\IeC {\'e}gration}{123}{section.A.5}
|
||||
\contentsline {subsection}{\numberline {A.5.1}Th\IeC {\'e}or\IeC {\`e}me de convergence domin\IeC {\'e}e de Lebesgue}{124}{subsection.A.5.1}
|
||||
\contentsline {subsection}{\numberline {A.5.2}Th\IeC {\'e}or\IeC {\`e}me de Fubini}{124}{subsection.A.5.2}
|
||||
\contentsline {appendix}{\chapternumberline {B}\IeC {\'E}l\IeC {\'e}ments de statistique math\IeC {\'e}matique}{125}{appendix.B}
|
||||
\contentsline {section}{\numberline {B.1}Loi faible des grands nombres}{125}{section.B.1}
|
||||
\contentsline {section}{\numberline {B.2}Th\IeC {\'e}or\IeC {\`e}me central limite}{125}{section.B.2}
|
||||
\contentsline {subsection}{\numberline {B.2.1}Cas univari\IeC {\'e}}{126}{subsection.B.2.1}
|
||||
\contentsline {subsection}{\numberline {B.2.2}Cas multivari\IeC {\'e}}{126}{subsection.B.2.2}
|
||||
\contentsline {section}{\numberline {B.3}M\IeC {\'e}thode delta multivari\IeC {\'e}e}{127}{section.B.3}
|
||||
\contentsline {appendix}{\chapternumberline {C}Donn\IeC {\'e}es}{129}{appendix.C}
|
||||
\contentsline {chapter}{Bibliographie}{131}{section*.62}
|
||||
\contentsline {chapter}{Contrat de partage}{137}{section*.64}
|
||||
|
|
@ -1,92 +0,0 @@
|
|||
This package contains a LaTeX class and templates for thesis and
|
||||
memoirs at Université Laval, Québec, Canada.
|
||||
|
||||
LICENCE
|
||||
|
||||
LaTeX Project Public License, version 1.3c or (at your option) any
|
||||
later version.
|
||||
|
||||
*** The rest of this file is in French ***
|
||||
|
||||
DESCRIPTION
|
||||
|
||||
La classe LaTeX ulthese permet de composer des thèses et mémoires
|
||||
immédiatement conformes aux règles générales de présentation
|
||||
matérielle de la Faculté des études supérieures et postdoctorales
|
||||
(FESP) de l'Université Laval.
|
||||
|
||||
CONTENU DE L'ARCHIVE
|
||||
|
||||
- ulthese.ins: fichier d'installation de la classe; voir ci-dessous;
|
||||
- ulthese.dtx: fichier source documenté de la classe;
|
||||
- ulthese.pdf: documentation de la classe;
|
||||
- ul_p.eps: logo de l'Université Laval en format EPS;
|
||||
- ul_p.pdf: logo de l'Université Laval en format PDF;
|
||||
- README: le présent fichier.
|
||||
|
||||
INSTALLATION
|
||||
|
||||
Pour installer la classe ulthese, compiler avec LaTeX le fichier
|
||||
ulthese.ins, en exécutant
|
||||
|
||||
latex ulthese.ins
|
||||
|
||||
depuis une invite de commande. On peut aussi ouvrir le fichier
|
||||
ulthese.ins dans son éditeur LaTeX et lancer la compilation avec
|
||||
LaTeX, pdfTeX ou pdfLaTeX depuis celui-ci.
|
||||
|
||||
La compilation du fichier ulthese.ins générera plusieurs fichiers:
|
||||
|
||||
1. la classe elle-même:
|
||||
- ulthese.cls
|
||||
|
||||
2. des gabarits pour les documents maîtres de différents types de
|
||||
thèses et de mémoires:
|
||||
- gabarit-doctorat.tex
|
||||
- gabarit-doctorat-mesure.tex
|
||||
- gabarit-doctorat-multifacultaire.tex
|
||||
- gabarit-doctorat-cotutelle.tex
|
||||
- gabarit-doctorat-extension-UdeS.tex
|
||||
- gabarit-doctorat-extension-UQO.tex
|
||||
- gabarit-maitrise.tex
|
||||
- gabarit-maitrise-mesure.tex
|
||||
- gabarit-maitrise-extension-UQAC.tex
|
||||
|
||||
3. des gabarits pour quelques parties d'un document:
|
||||
- resume.tex
|
||||
- abstract.tex
|
||||
- remerciements.tex
|
||||
- avantpropos.tex
|
||||
- introduction.tex
|
||||
- chapitre1.tex
|
||||
- chapitre2.tex
|
||||
- conclusion.tex
|
||||
- annexe.tex
|
||||
|
||||
Les gabarits inutiles peuvent être supprimés.
|
||||
|
||||
DOCUMENTATION
|
||||
|
||||
Le fichier ulthese.pdf contient la documentation complète de la classe
|
||||
et des gabarits. Le document peut être recréé à partir du code source
|
||||
avec les commandes
|
||||
|
||||
pdflatex ulthese.dtx
|
||||
makeindex -s gind.ist ulthese
|
||||
makeindex -s gglo.ist -o ulthese.gls ulthese.glo
|
||||
|
||||
AIDE ADDITIONNELLE
|
||||
|
||||
Faire appel aux ressources suivantes, dans l'ordre:
|
||||
|
||||
1. consulter le WikiThèse de l'Université Laval
|
||||
|
||||
http://www.theses.ulaval.ca/wiki/
|
||||
|
||||
2. consulter les archives de la liste de distribution ulthese-aide
|
||||
|
||||
http://listes.ulaval.ca/listserv/archives/ulthese-aide.html
|
||||
|
||||
3. écrire à la liste de distribution ulthese-aide
|
||||
|
||||
ulthese-aide@listes.ulaval.ca
|
||||
|
|
@ -1 +0,0 @@
|
|||
6f9a85e6a4f4334ba59be60c2a3030db781143bb 908144032.pdf
|
||||
|
|
@ -1,80 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{toc}{\contentsline {chapter}{Abstract}{v}{section*.4}}
|
||||
\@setckpt{abstract}{
|
||||
\setcounter{page}{6}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{0}
|
||||
\setcounter{enumii}{0}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{0}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{6}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{0}
|
||||
\setcounter{Item}{0}
|
||||
\setcounter{Hfootnote}{0}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{2}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,520 +0,0 @@
|
|||
This is pdfTeX, Version 3.1415926-2.4-1.40.13 (TeX Live 2012/Debian) (format=pdflatex 2013.7.6) 24 SEP 2013 22:48
|
||||
entering extended mode
|
||||
restricted \write18 enabled.
|
||||
%&-line parsing enabled.
|
||||
**\input abstract.tex
|
||||
(./abstract.tex
|
||||
! Undefined control sequence.
|
||||
l.1 \chapter
|
||||
*{Abstract} % ne pas numéroter
|
||||
The control sequence at the end of the top line
|
||||
of your error message was never \def'ed. If you have
|
||||
misspelled it (e.g., `\hobx'), type `I' and the correct
|
||||
spelling (e.g., `I\hbox'). Otherwise just continue,
|
||||
and I'll forget about whatever was undefined.
|
||||
|
||||
|
||||
! LaTeX Error: Missing \begin{document}.
|
||||
|
||||
See the LaTeX manual or LaTeX Companion for explanation.
|
||||
Type H <return> for immediate help.
|
||||
...
|
||||
|
||||
l.1 \chapter*
|
||||
{Abstract} % ne pas numéroter
|
||||
You're in trouble here. Try typing <return> to proceed.
|
||||
If that doesn't work, type X <return> to quit.
|
||||
|
||||
Missing character: There is no * in font nullfont!
|
||||
Missing character: There is no A in font nullfont!
|
||||
Missing character: There is no b in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
! Undefined control sequence.
|
||||
l.2 \phantomsection
|
||||
\addcontentsline{toc}{chapter}{Abstract} % inclure dans TdM
|
||||
The control sequence at the end of the top line
|
||||
of your error message was never \def'ed. If you have
|
||||
misspelled it (e.g., `\hobx'), type `I' and the correct
|
||||
spelling (e.g., `I\hbox'). Otherwise just continue,
|
||||
and I'll forget about whatever was undefined.
|
||||
|
||||
|
||||
Overfull \hbox (20.0pt too wide) in paragraph at lines 1--3
|
||||
[]
|
||||
[]
|
||||
|
||||
! Undefined control sequence.
|
||||
\foreign@language ...agename }\languageshorthands
|
||||
{none}\csname extras#1\end...
|
||||
l.4 \begin{otherlanguage*}{english}
|
||||
|
||||
The control sequence at the end of the top line
|
||||
of your error message was never \def'ed. If you have
|
||||
misspelled it (e.g., `\hobx'), type `I' and the correct
|
||||
spelling (e.g., `I\hbox'). Otherwise just continue,
|
||||
and I'll forget about whatever was undefined.
|
||||
|
||||
|
||||
! LaTeX Error: Missing \begin{document}.
|
||||
|
||||
See the LaTeX manual or LaTeX Companion for explanation.
|
||||
Type H <return> for immediate help.
|
||||
...
|
||||
|
||||
l.4 \begin{otherlanguage*}{english}
|
||||
|
||||
You're in trouble here. Try typing <return> to proceed.
|
||||
If that doesn't work, type X <return> to quit.
|
||||
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no C in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no f in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no b in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no y in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no w in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no y in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no y in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no f in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no b in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no . in font nullfont!
|
||||
Missing character: There is no T in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no b in font nullfont!
|
||||
Missing character: There is no j in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no b in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no w in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no g in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no z in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no y in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no L in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no b in font nullfont!
|
||||
Missing character: There is no u in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no g in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no . in font nullfont!
|
||||
Missing character: There is no T in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no u in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no , in font nullfont!
|
||||
Missing character: There is no w in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no f in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no u in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no f in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no , in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no x in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no g in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no , in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no w in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no w in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no k in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no u in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no f in font nullfont!
|
||||
Missing character: There is no d in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no g in font nullfont!
|
||||
Missing character: There is no . in font nullfont!
|
||||
Missing character: There is no F in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no y in font nullfont!
|
||||
Missing character: There is no , in font nullfont!
|
||||
Missing character: There is no w in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no v in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no u in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no x in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no m in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no i in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no l in font nullfont!
|
||||
Missing character: There is no u in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no r in font nullfont!
|
||||
Missing character: There is no a in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no h in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no o in font nullfont!
|
||||
Missing character: There is no n in font nullfont!
|
||||
Missing character: There is no c in font nullfont!
|
||||
Missing character: There is no e in font nullfont!
|
||||
Missing character: There is no p in font nullfont!
|
||||
Missing character: There is no t in font nullfont!
|
||||
Missing character: There is no s in font nullfont!
|
||||
Missing character: There is no . in font nullfont!
|
||||
)
|
||||
! Emergency stop.
|
||||
<*> \input abstract.tex
|
||||
|
||||
*** (job aborted, no legal \end found)
|
||||
|
||||
|
||||
Here is how much of TeX's memory you used:
|
||||
8 strings out of 493485
|
||||
178 string characters out of 3143527
|
||||
47818 words of memory out of 3000000
|
||||
3415 multiletter control sequences out of 15000+200000
|
||||
3640 words of font info for 14 fonts, out of 3000000 for 9000
|
||||
957 hyphenation exceptions out of 8191
|
||||
6i,0n,5p,527b,25s stack positions out of 5000i,500n,10000p,200000b,50000s
|
||||
! ==> Fatal error occurred, no output PDF file produced!
|
||||
|
|
@ -1,256 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{dodge2004statistique}
|
||||
\citation{dodge2004statistique}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {appendix}{\chapternumberline {A}\IeC {\'E}l\IeC {\'e}ments de th\IeC {\'e}orie des probabilit\IeC {\'e}s}{115}{appendix.A}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {A.1}D\IeC {\'e}finitions de base}{115}{section.A.1}}
|
||||
\newlabel{sec:introvariablealeatoire}{{A.1}{115}{Définitions de base}{section.A.1}{}}
|
||||
\newlabel{sec:introvariablealeatoire@cref}{{[subappendix][1][2147483647,1]A.1}{115}}
|
||||
\newlabel{eq:condition1probabilite}{{A.1.1}{115}{Définitions de base}{equation.A.1.0.1}{}}
|
||||
\newlabel{eq:condition1probabilite@cref}{{[equation][1][2147483647,1,1]A.1.1}{115}}
|
||||
\newlabel{eq:condition2probabilite}{{A.1.2}{115}{Définitions de base}{equation.A.1.0.2}{}}
|
||||
\newlabel{eq:condition2probabilite@cref}{{[equation][2][2147483647,1,1]A.1.2}{115}}
|
||||
\newlabel{eq:condition3probabilite}{{A.1.3}{115}{Définitions de base}{equation.A.1.0.3}{}}
|
||||
\newlabel{eq:condition3probabilite@cref}{{[equation][3][2147483647,1,1]A.1.3}{115}}
|
||||
\newlabel{eq:densitedefinition}{{A.1.4}{115}{Définitions de base}{equation.A.1.0.4}{}}
|
||||
\newlabel{eq:densitedefinition@cref}{{[equation][4][2147483647,1,1]A.1.4}{115}}
|
||||
\citation{stuart1987kendall}
|
||||
\newlabel{eq:repartitiondefinition}{{A.1.5}{116}{Définitions de base}{equation.A.1.0.5}{}}
|
||||
\newlabel{eq:repartitiondefinition@cref}{{[equation][5][2147483647,1,1]A.1.5}{116}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {A.2}Transform\IeC {\'e}es d'une variable al\IeC {\'e}atoire}{116}{section.A.2}}
|
||||
\newlabel{sec:transformees}{{A.2}{116}{Transformées d'une variable aléatoire}{section.A.2}{}}
|
||||
\newlabel{sec:transformees@cref}{{[subappendix][2][2147483647,1]A.2}{116}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.2.1}La fonction caract\IeC {\'e}ristique}{116}{subsection.A.2.1}}
|
||||
\newlabel{sec:fonctioncaract}{{A.2.1}{116}{La fonction caractéristique}{subsection.A.2.1}{}}
|
||||
\newlabel{sec:fonctioncaract@cref}{{[subsubappendix][1][2147483647,1,2]A.2.1}{116}}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{Transform\IeC {\'e}e de Fourier}{116}{section*.53}}
|
||||
\newlabel{sec:transfourier}{{A.2.1}{116}{Transformée de Fourier}{section*.53}{}}
|
||||
\newlabel{sec:transfourier@cref}{{[subsubappendix][1][2147483647,1,2]A.2.1}{116}}
|
||||
\newlabel{eq:transfourier}{{A.2.1}{116}{Transformée de Fourier}{equation.A.2.0.1}{}}
|
||||
\newlabel{eq:transfourier@cref}{{[equation][1][2147483647,1,2]A.2.1}{116}}
|
||||
\newlabel{eq:transinvfourier}{{A.2.2}{116}{Transformée de Fourier}{equation.A.2.0.2}{}}
|
||||
\newlabel{eq:transinvfourier@cref}{{[equation][2][2147483647,1,2]A.2.2}{116}}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{D\IeC {\'e}finition}{116}{section*.54}}
|
||||
\newlabel{sec:deffncaract}{{A.2.1}{116}{Définition}{section*.54}{}}
|
||||
\newlabel{sec:deffncaract@cref}{{[subsubappendix][1][2147483647,1,2]A.2.1}{116}}
|
||||
\newlabel{eq:deffncaract}{{A.2.3}{116}{Définition}{equation.A.2.0.3}{}}
|
||||
\newlabel{eq:deffncaract@cref}{{[equation][3][2147483647,1,2]A.2.3}{116}}
|
||||
\citation{lukacs1960characteristic}
|
||||
\citation{gil1951note}
|
||||
\citation{epps2007pricing}
|
||||
\citation{wendel1961non}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{Les moments}{117}{section*.55}}
|
||||
\newlabel{sec:momentsfncaract}{{A.2.1}{117}{Les moments}{section*.55}{}}
|
||||
\newlabel{sec:momentsfncaract@cref}{{[subsubappendix][1][2147483647,1,2]A.2.1}{117}}
|
||||
\newlabel{eq:defmoments}{{A.2.4}{117}{Les moments}{equation.A.2.0.4}{}}
|
||||
\newlabel{eq:defmoments@cref}{{[equation][4][2147483647,1,2]A.2.4}{117}}
|
||||
\newlabel{eq:fncaractmoments}{{A.2.5}{117}{Les moments}{equation.A.2.0.5}{}}
|
||||
\newlabel{eq:fncaractmoments@cref}{{[equation][5][2147483647,1,2]A.2.5}{117}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.2.2}Inversion de la fonction caract\IeC {\'e}ristique}{117}{subsection.A.2.2}}
|
||||
\newlabel{sec:inversioncaract}{{A.2.2}{117}{Inversion de la fonction caractéristique}{subsection.A.2.2}{}}
|
||||
\newlabel{sec:inversioncaract@cref}{{[subsubappendix][2][2147483647,1,2]A.2.2}{117}}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{La densit\IeC {\'e}}{117}{section*.56}}
|
||||
\newlabel{sec:densitefncaract}{{A.2.2}{117}{La densité}{section*.56}{}}
|
||||
\newlabel{sec:densitefncaract@cref}{{[subsubappendix][2][2147483647,1,2]A.2.2}{117}}
|
||||
\newlabel{eq:caractdensite}{{A.2.6}{117}{La densité}{equation.A.2.0.6}{}}
|
||||
\newlabel{eq:caractdensite@cref}{{[equation][6][2147483647,1,2]A.2.6}{117}}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{La fonction de r\IeC {\'e}partition}{117}{section*.57}}
|
||||
\newlabel{sec:repartitionfncaract}{{A.2.2}{117}{La fonction de répartition}{section*.57}{}}
|
||||
\newlabel{sec:repartitionfncaract@cref}{{[subsubappendix][2][2147483647,1,2]A.2.2}{117}}
|
||||
\newlabel{eq:gilpelaez}{{A.2.7}{117}{La fonction de répartition}{equation.A.2.0.7}{}}
|
||||
\newlabel{eq:gilpelaez@cref}{{[equation][7][2147483647,1,2]A.2.7}{117}}
|
||||
\newlabel{eq:gilpelaez2}{{A.2.8}{117}{La fonction de répartition}{equation.A.2.0.8}{}}
|
||||
\newlabel{eq:gilpelaez2@cref}{{[equation][8][2147483647,1,2]A.2.8}{117}}
|
||||
\citation{shephard1991characteristic}
|
||||
\newlabel{eq:inversionfncaract}{{A.2.9}{118}{La fonction de répartition}{equation.A.2.0.9}{}}
|
||||
\newlabel{eq:inversionfncaract@cref}{{[equation][9][2147483647,1,2]A.2.9}{118}}
|
||||
\newlabel{eq:shepherd}{{A.2.10}{118}{La fonction de répartition}{equation.A.2.0.10}{}}
|
||||
\newlabel{eq:shepherd@cref}{{[equation][10][2147483647,1,2]A.2.10}{118}}
|
||||
\newlabel{eq:approxinvfncaract}{{A.2.11}{118}{La fonction de répartition}{equation.A.2.0.11}{}}
|
||||
\newlabel{eq:approxinvfncaract@cref}{{[equation][11][2147483647,1,2]A.2.11}{118}}
|
||||
\newlabel{eq:convocaract}{{A.2.12}{118}{La fonction de répartition}{equation.A.2.0.12}{}}
|
||||
\newlabel{eq:convocaract@cref}{{[equation][12][2147483647,1,2]A.2.12}{118}}
|
||||
\newlabel{eq:convocaractIID}{{A.2.13}{118}{La fonction de répartition}{equation.A.2.0.13}{}}
|
||||
\newlabel{eq:convocaractIID@cref}{{[equation][13][2147483647,1,2]A.2.13}{118}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.2.3}La fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments}{118}{subsection.A.2.3}}
|
||||
\newlabel{sec:fgm}{{A.2.3}{118}{La fonction génératrice des moments}{subsection.A.2.3}{}}
|
||||
\newlabel{sec:fgm@cref}{{[subsubappendix][3][2147483647,1,2]A.2.3}{118}}
|
||||
\newlabel{eq:deffngenmom}{{A.2.14}{118}{La fonction génératrice des moments}{equation.A.2.0.14}{}}
|
||||
\newlabel{eq:deffngenmom@cref}{{[equation][14][2147483647,1,2]A.2.14}{118}}
|
||||
\citation{stuart1987kendall}
|
||||
\newlabel{eq:fgmmoments}{{A.2.15}{119}{La fonction génératrice des moments}{equation.A.2.0.15}{}}
|
||||
\newlabel{eq:fgmmoments@cref}{{[equation][15][2147483647,1,2]A.2.15}{119}}
|
||||
\newlabel{eq:fncaractfgm}{{A.2.16}{119}{La fonction génératrice des moments}{equation.A.2.0.16}{}}
|
||||
\newlabel{eq:fncaractfgm@cref}{{[equation][16][2147483647,1,2]A.2.16}{119}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.2.4}La fonction g\IeC {\'e}n\IeC {\'e}ratrice des cumulants}{119}{subsection.A.2.4}}
|
||||
\newlabel{sec:fgc}{{A.2.4}{119}{La fonction génératrice des cumulants}{subsection.A.2.4}{}}
|
||||
\newlabel{sec:fgc@cref}{{[subsubappendix][4][2147483647,1,2]A.2.4}{119}}
|
||||
\newlabel{eq:fgc}{{A.2.17}{119}{La fonction génératrice des cumulants}{equation.A.2.0.17}{}}
|
||||
\newlabel{eq:fgc@cref}{{[equation][17][2147483647,1,2]A.2.17}{119}}
|
||||
\newlabel{eq:cumulantsempiriques}{{A.2.18}{119}{La fonction génératrice des cumulants}{equation.A.2.0.18.18}{}}
|
||||
\newlabel{eq:cumulantsempiriques@cref}{{[equation][18][2147483647,1,2]A.2.18}{119}}
|
||||
\newlabel{eq:cumulantsempiriques1}{{A.2.18a}{119}{La fonction génératrice des cumulants}{equation.A.2.0.18a}{}}
|
||||
\newlabel{eq:cumulantsempiriques1@cref}{{[equation][1][2147483647,1,2,18]A.2.18a}{119}}
|
||||
\newlabel{eq:cumulantsempiriques2}{{A.2.18b}{119}{La fonction génératrice des cumulants}{equation.A.2.0.18b}{}}
|
||||
\newlabel{eq:cumulantsempiriques2@cref}{{[equation][2][2147483647,1,2,18]A.2.18b}{119}}
|
||||
\newlabel{eq:cumulantsempiriques3}{{A.2.18c}{119}{La fonction génératrice des cumulants}{equation.A.2.0.18c}{}}
|
||||
\newlabel{eq:cumulantsempiriques3@cref}{{[equation][3][2147483647,1,2,18]A.2.18c}{119}}
|
||||
\newlabel{eq:cumulantsempiriques4}{{A.2.18d}{119}{La fonction génératrice des cumulants}{equation.A.2.0.18d}{}}
|
||||
\newlabel{eq:cumulantsempiriques4@cref}{{[equation][4][2147483647,1,2,18]A.2.18d}{119}}
|
||||
\newlabel{eq:derivfgc}{{A.2.19}{119}{La fonction génératrice des cumulants}{equation.A.2.0.19}{}}
|
||||
\newlabel{eq:derivfgc@cref}{{[equation][19][2147483647,1,2]A.2.19}{119}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.2.5}La transform\IeC {\'e}e d'Esscher}{120}{subsection.A.2.5}}
|
||||
\newlabel{sec:transesscher}{{A.2.5}{120}{La transformée d'Esscher}{subsection.A.2.5}{}}
|
||||
\newlabel{sec:transesscher@cref}{{[subsubappendix][5][2147483647,1,2]A.2.5}{120}}
|
||||
\newlabel{eq:esschertransform}{{A.2.20}{120}{La transformée d'Esscher}{equation.A.2.0.20}{}}
|
||||
\newlabel{eq:esschertransform@cref}{{[equation][20][2147483647,1,2]A.2.20}{120}}
|
||||
\newlabel{eq:esscherMx}{{A.2.21}{120}{La transformée d'Esscher}{equation.A.2.0.21}{}}
|
||||
\newlabel{eq:esscherMx@cref}{{[equation][21][2147483647,1,2]A.2.21}{120}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {A.3}La transform\IeC {\'e}e de Fourier rapide}{120}{section.A.3}}
|
||||
\newlabel{sec:methodeFFT}{{A.3}{120}{La transformée de Fourier rapide}{section.A.3}{}}
|
||||
\newlabel{sec:methodeFFT@cref}{{[subappendix][3][2147483647,1]A.3}{120}}
|
||||
\newlabel{eq:sommefft}{{A.3.1}{120}{La transformée de Fourier rapide}{equation.A.3.0.1}{}}
|
||||
\newlabel{eq:sommefft@cref}{{[equation][1][2147483647,1,3]A.3.1}{120}}
|
||||
\newlabel{eq:sommeifft}{{A.3.2}{120}{La transformée de Fourier rapide}{equation.A.3.0.2}{}}
|
||||
\newlabel{eq:sommeifft@cref}{{[equation][2][2147483647,1,3]A.3.2}{120}}
|
||||
\citation{barndorff2001levy}
|
||||
\newlabel{eq:sommefftdensite}{{A.3.3}{121}{La transformée de Fourier rapide}{equation.A.3.0.3.3}{}}
|
||||
\newlabel{eq:sommefftdensite@cref}{{[equation][3][2147483647,1,3]A.3.3}{121}}
|
||||
\newlabel{eq:sommefftdensite1}{{A.3.3a}{121}{La transformée de Fourier rapide}{equation.A.3.0.3a}{}}
|
||||
\newlabel{eq:sommefftdensite1@cref}{{[equation][1][2147483647,1,3,3]A.3.3a}{121}}
|
||||
\newlabel{eq:sommefftdensite2}{{A.3.3b}{121}{La transformée de Fourier rapide}{equation.A.3.0.3b}{}}
|
||||
\newlabel{eq:sommefftdensite2@cref}{{[equation][2][2147483647,1,3,3]A.3.3b}{121}}
|
||||
\newlabel{eq:signalfftfonction}{{A.3.4}{121}{La transformée de Fourier rapide}{equation.A.3.0.4}{}}
|
||||
\newlabel{eq:signalfftfonction@cref}{{[equation][4][2147483647,1,3]A.3.4}{121}}
|
||||
\newlabel{eq:fftfonction}{{A.3.5}{121}{La transformée de Fourier rapide}{equation.A.3.0.5}{}}
|
||||
\newlabel{eq:fftfonction@cref}{{[equation][5][2147483647,1,3]A.3.5}{121}}
|
||||
\newlabel{eq:densitefftfonction}{{A.3.6}{121}{La transformée de Fourier rapide}{equation.A.3.0.6}{}}
|
||||
\newlabel{eq:densitefftfonction@cref}{{[equation][6][2147483647,1,3]A.3.6}{121}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {A.4}Processus de L\IeC {\'e}vy}{121}{section.A.4}}
|
||||
\newlabel{sec:processuslevy}{{A.4}{121}{Processus de Lévy}{section.A.4}{}}
|
||||
\newlabel{sec:processuslevy@cref}{{[subappendix][4][2147483647,1]A.4}{121}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.4.1}D\IeC {\'e}finition et propri\IeC {\'e}t\IeC {\'e}s}{121}{subsection.A.4.1}}
|
||||
\newlabel{sec:defproplevy}{{A.4.1}{121}{Définition et propriétés}{subsection.A.4.1}{}}
|
||||
\newlabel{sec:defproplevy@cref}{{[subsubappendix][1][2147483647,1,4]A.4.1}{121}}
|
||||
\citation{applebaum2004levy}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{Repr\IeC {\'e}sentation de L\IeC {\'e}vy-Khintchine}{122}{section*.58}}
|
||||
\newlabel{sec:levykhintchine}{{A.4.1}{122}{Représentation de Lévy-Khintchine}{section*.58}{}}
|
||||
\newlabel{sec:levykhintchine@cref}{{[subsubappendix][1][2147483647,1,4]A.4.1}{122}}
|
||||
\newlabel{eq:levykhintchine}{{A.4.1}{122}{Représentation de Lévy-Khintchine}{equation.A.4.0.1}{}}
|
||||
\newlabel{eq:levykhintchine@cref}{{[equation][1][2147483647,1,4]A.4.1}{122}}
|
||||
\@writefile{toc}{\contentsline {subsubsection}{Repr\IeC {\'e}sentation de L\IeC {\'e}vy-It\IeC {\^o}}{122}{section*.59}}
|
||||
\newlabel{sec:levyito}{{A.4.1}{122}{Représentation de Lévy-Itô}{section*.59}{}}
|
||||
\newlabel{sec:levyito@cref}{{[subsubappendix][1][2147483647,1,4]A.4.1}{122}}
|
||||
\newlabel{eq:levyitodecomposition}{{A.4.3}{122}{Représentation de Lévy-Itô}{equation.A.4.0.3}{}}
|
||||
\newlabel{eq:levyitodecomposition@cref}{{[equation][3][2147483647,1,4]A.4.3}{122}}
|
||||
\citation{sato1999levy}
|
||||
\citation{schoutens2003levy}
|
||||
\citation{kyprianou2007introductory}
|
||||
\citation{teschl2004topics}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.4.2}Processus subordonn\IeC {\'e}}{123}{subsection.A.4.2}}
|
||||
\newlabel{sec:procsubordonne}{{A.4.2}{123}{Processus subordonné}{subsection.A.4.2}{}}
|
||||
\newlabel{sec:procsubordonne@cref}{{[subsubappendix][2][2147483647,1,4]A.4.2}{123}}
|
||||
\newlabel{eq:processussubordonne}{{A.4.5}{123}{Processus subordonné}{equation.A.4.0.5}{}}
|
||||
\newlabel{eq:processussubordonne@cref}{{[equation][5][2147483647,1,4]A.4.5}{123}}
|
||||
\newlabel{eq:exposantcaractYt}{{A.4.6}{123}{Processus subordonné}{equation.A.4.0.6}{}}
|
||||
\newlabel{eq:exposantcaractYt@cref}{{[equation][6][2147483647,1,4]A.4.6}{123}}
|
||||
\newlabel{eq:fncaractYt}{{A.4.7}{123}{Processus subordonné}{equation.A.4.0.7}{}}
|
||||
\newlabel{eq:fncaractYt@cref}{{[equation][7][2147483647,1,4]A.4.7}{123}}
|
||||
\newlabel{eq:densiteprocessusyt}{{A.4.8}{123}{Processus subordonné}{equation.A.4.0.8}{}}
|
||||
\newlabel{eq:densiteprocessusyt@cref}{{[equation][8][2147483647,1,4]A.4.8}{123}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {A.5}Th\IeC {\'e}or\IeC {\`e}mes d'int\IeC {\'e}gration}{123}{section.A.5}}
|
||||
\newlabel{sec:integration}{{A.5}{123}{Théorèmes d'intégration}{section.A.5}{}}
|
||||
\newlabel{sec:integration@cref}{{[subappendix][5][2147483647,1]A.5}{123}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.5.1}Th\IeC {\'e}or\IeC {\`e}me de convergence domin\IeC {\'e}e de Lebesgue}{124}{subsection.A.5.1}}
|
||||
\newlabel{sec:theor-de-conv}{{A.5.1}{124}{Théorème de convergence dominée de Lebesgue}{subsection.A.5.1}{}}
|
||||
\newlabel{sec:theor-de-conv@cref}{{[subsubappendix][1][2147483647,1,5]A.5.1}{124}}
|
||||
\newlabel{eq:sequencetheoremconvdom}{{A.5.1}{124}{Théorème de convergence dominée de Lebesgue}{equation.A.5.0.1}{}}
|
||||
\newlabel{eq:sequencetheoremconvdom@cref}{{[equation][1][2147483647,1,5]A.5.1}{124}}
|
||||
\newlabel{eq:theoremeconvdom}{{A.5.2}{124}{Théorème de convergence dominée de Lebesgue}{equation.A.5.0.2}{}}
|
||||
\newlabel{eq:theoremeconvdom@cref}{{[equation][2][2147483647,1,5]A.5.2}{124}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {A.5.2}Th\IeC {\'e}or\IeC {\`e}me de Fubini}{124}{subsection.A.5.2}}
|
||||
\newlabel{sec:theoreme-de-fubini}{{A.5.2}{124}{Théorème de Fubini}{subsection.A.5.2}{}}
|
||||
\newlabel{sec:theoreme-de-fubini@cref}{{[subsubappendix][2][2147483647,1,5]A.5.2}{124}}
|
||||
\newlabel{eq:rectanglefubini}{{A.5.3}{124}{Théorème de Fubini}{equation.A.5.0.3}{}}
|
||||
\newlabel{eq:rectanglefubini@cref}{{[equation][3][2147483647,1,5]A.5.3}{124}}
|
||||
\newlabel{eq:thfubini2}{{A.5.4}{124}{Théorème de Fubini}{equation.A.5.0.4}{}}
|
||||
\newlabel{eq:thfubini2@cref}{{[equation][4][2147483647,1,5]A.5.4}{124}}
|
||||
\@setckpt{annexe1}{
|
||||
\setcounter{page}{125}
|
||||
\setcounter{equation}{4}
|
||||
\setcounter{enumi}{2}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{1}
|
||||
\setcounter{section}{5}
|
||||
\setcounter{subsection}{2}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{143}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{35}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{126}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,111 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {appendix}{\chapternumberline {B}\IeC {\'E}l\IeC {\'e}ments de statistique math\IeC {\'e}matique}{125}{appendix.B}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {B.1}Loi faible des grands nombres}{125}{section.B.1}}
|
||||
\newlabel{sec:loifaible}{{B.1}{125}{Loi faible des grands nombres}{section.B.1}{}}
|
||||
\newlabel{sec:loifaible@cref}{{[subappendix][1][2147483647,2]B.1}{125}}
|
||||
\newlabel{loifaible}{{B.1.1}{125}{Loi faible des grands nombres}{equation.B.1.0.1}{}}
|
||||
\newlabel{loifaible@cref}{{[equation][1][2147483647,2,1]B.1.1}{125}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {B.2}Th\IeC {\'e}or\IeC {\`e}me central limite}{125}{section.B.2}}
|
||||
\newlabel{sec:theor-centr-limite}{{B.2}{125}{Théorème central limite}{section.B.2}{}}
|
||||
\newlabel{sec:theor-centr-limite@cref}{{[subappendix][2][2147483647,2]B.2}{125}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {B.2.1}Cas univari\IeC {\'e}}{126}{subsection.B.2.1}}
|
||||
\newlabel{sec:cas-univarie}{{B.2.1}{126}{Cas univarié}{subsection.B.2.1}{}}
|
||||
\newlabel{sec:cas-univarie@cref}{{[subsubappendix][1][2147483647,2,2]B.2.1}{126}}
|
||||
\newlabel{eq:TCL}{{B.2.1}{126}{Cas univarié}{equation.B.2.0.1}{}}
|
||||
\newlabel{eq:TCL@cref}{{[equation][1][2147483647,2,2]B.2.1}{126}}
|
||||
\newlabel{eq:TCL2}{{B.2.2}{126}{Cas univarié}{equation.B.2.0.2}{}}
|
||||
\newlabel{eq:TCL2@cref}{{[equation][2][2147483647,2,2]B.2.2}{126}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {B.2.2}Cas multivari\IeC {\'e}}{126}{subsection.B.2.2}}
|
||||
\newlabel{sec:cas-multivarie}{{B.2.2}{126}{Cas multivarié}{subsection.B.2.2}{}}
|
||||
\newlabel{sec:cas-multivarie@cref}{{[subsubappendix][2][2147483647,2,2]B.2.2}{126}}
|
||||
\newlabel{eq:defmultiX}{{B.2.3}{126}{Cas multivarié}{equation.B.2.0.3}{}}
|
||||
\newlabel{eq:defmultiX@cref}{{[equation][3][2147483647,2,2]B.2.3}{126}}
|
||||
\newlabel{eq:TCLmulti1}{{B.2.4}{126}{Cas multivarié}{equation.B.2.0.4}{}}
|
||||
\newlabel{eq:TCLmulti1@cref}{{[equation][4][2147483647,2,2]B.2.4}{126}}
|
||||
\newlabel{eq:TCLmulti2}{{B.2.5}{126}{Cas multivarié}{equation.B.2.0.5}{}}
|
||||
\newlabel{eq:TCLmulti2@cref}{{[equation][5][2147483647,2,2]B.2.5}{126}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {B.3}M\IeC {\'e}thode delta multivari\IeC {\'e}e}{127}{section.B.3}}
|
||||
\newlabel{sec:deltamethod}{{B.3}{127}{Méthode delta multivariée}{section.B.3}{}}
|
||||
\newlabel{sec:deltamethod@cref}{{[subappendix][3][2147483647,2]B.3}{127}}
|
||||
\newlabel{eq:deltamethodmult}{{B.3.4}{127}{Méthode delta multivariée}{equation.B.3.0.4}{}}
|
||||
\newlabel{eq:deltamethodmult@cref}{{[equation][4][2147483647,2,3]B.3.4}{127}}
|
||||
\@setckpt{annexe2}{
|
||||
\setcounter{page}{128}
|
||||
\setcounter{equation}{4}
|
||||
\setcounter{enumi}{2}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{2}
|
||||
\setcounter{section}{3}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{146}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{35}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{132}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,87 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {appendix}{\chapternumberline {C}Donn\IeC {\'e}es}{129}{appendix.C}}
|
||||
\newlabel{chap:donnees}{{C}{129}{Données}{appendix.C}{}}
|
||||
\newlabel{chap:donnees@cref}{{[appendix][3][2147483647]C}{129}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {C.1}{\ignorespaces Prix du titre Abbey National (penny sterling) du 31 juillet au 8 octobre 1991\relax }}{129}{table.caption.60}}
|
||||
\newlabel{prixabbeyn}{{C.1}{129}{Prix du titre Abbey National (penny sterling) du 31 juillet au 8 octobre 1991\relax }{table.caption.60}{}}
|
||||
\newlabel{prixabbeyn@cref}{{[table][1][2147483647,3]C.1}{129}}
|
||||
\@setckpt{annexe3}{
|
||||
\setcounter{page}{130}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{2}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{-1}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{3}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{148}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{1}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{35}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{133}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,78 +0,0 @@
|
|||
\relax
|
||||
\@writefile{toc}{\contentsline {chapter}{Avant-propos}{xxi}{section*.11}}
|
||||
\@setckpt{avantpropos}{
|
||||
\setcounter{page}{22}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{0}
|
||||
\setcounter{enumii}{0}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{0}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{22}
|
||||
\setcounter{lastsheet}{159}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{0}
|
||||
\setcounter{Item}{0}
|
||||
\setcounter{Hfootnote}{0}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{bookmark@seq@number}{7}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,204 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{derman1996modelrisk}
|
||||
\citation{black1973pricing}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {1}Les mod\IeC {\`e}les de rendements financiers}{3}{chapter.1}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {1.1}L'utilisation de mod\IeC {\`e}les en finance}{3}{section.1.1}}
|
||||
\newlabel{sec:utilisationmodeles}{{1.1}{3}{L'utilisation de modèles en finance}{section.1.1}{}}
|
||||
\newlabel{sec:utilisationmodeles@cref}{{[section][1][1]1.1}{3}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.1.1}Diff\IeC {\'e}rents types de mod\IeC {\`e}les}{3}{subsection.1.1.1}}
|
||||
\newlabel{sec:differentsmodeles}{{1.1.1}{3}{Différents types de modèles}{subsection.1.1.1}{}}
|
||||
\newlabel{sec:differentsmodeles@cref}{{[subsection][1][1,1]1.1.1}{3}}
|
||||
\citation{fama1993common}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.1.2}Le risque de mod\IeC {\'e}lisation}{4}{subsection.1.1.2}}
|
||||
\newlabel{sec:modelerisque}{{1.1.2}{4}{Le risque de modélisation}{subsection.1.1.2}{}}
|
||||
\newlabel{sec:modelerisque@cref}{{[subsection][2][1,1]1.1.2}{4}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {1.2}Les rendements financiers}{5}{section.1.2}}
|
||||
\newlabel{sec:prixrendements}{{1.2}{5}{Les rendements financiers}{section.1.2}{}}
|
||||
\newlabel{sec:prixrendements@cref}{{[section][2][1]1.2}{5}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.2.1}D\IeC {\'e}finitions et notations}{5}{subsection.1.2.1}}
|
||||
\newlabel{sec:defrendements}{{1.2.1}{5}{Définitions et notations}{subsection.1.2.1}{}}
|
||||
\newlabel{sec:defrendements@cref}{{[subsection][1][1,2]1.2.1}{5}}
|
||||
\newlabel{eq:solutiondiffrendement}{{1.2.1}{6}{Définitions et notations}{equation.1.2.1}{}}
|
||||
\newlabel{eq:solutiondiffrendement@cref}{{[equation][1][1,2]1.2.1}{6}}
|
||||
\@writefile{loe}{\addvspace {10\p@ }}
|
||||
\@writefile{loe}{\contentsline {hypothese}{\numberline {1.1}Hypoth\IeC {\`e}se}{6}{hypothese.1.1}}
|
||||
\newlabel{eq:rendementlogprix}{{1.2.2}{6}{Définitions et notations}{equation.1.2.2}{}}
|
||||
\newlabel{eq:rendementlogprix@cref}{{[equation][2][1,2]1.2.2}{6}}
|
||||
\newlabel{eq:rendementcumL}{{1.2.3}{6}{Définitions et notations}{equation.1.2.3}{}}
|
||||
\newlabel{eq:rendementcumL@cref}{{[equation][3][1,2]1.2.3}{6}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.2.2}Rendements cumul\IeC {\'e}s}{7}{subsection.1.2.2}}
|
||||
\newlabel{sec:rendementscum}{{1.2.2}{7}{Rendements cumulés}{subsection.1.2.2}{}}
|
||||
\newlabel{sec:rendementscum@cref}{{[subsection][2][1,2]1.2.2}{7}}
|
||||
\@writefile{loe}{\contentsline {hypothese}{\numberline {1.2}Hypoth\IeC {\`e}se}{7}{hypothese.1.2}}
|
||||
\newlabel{eq:convolutionLR}{{1.2.5}{7}{Rendements cumulés}{equation.1.2.5}{}}
|
||||
\newlabel{eq:convolutionLR@cref}{{[equation][5][1,2]1.2.5}{7}}
|
||||
\@writefile{loe}{\contentsline {hypothese}{\numberline {1.3}Hypoth\IeC {\`e}se}{7}{hypothese.1.3}}
|
||||
\newlabel{eq:rendementsIID}{{1.2.6}{7}{Rendements cumulés}{equation.1.2.6}{}}
|
||||
\newlabel{eq:rendementsIID@cref}{{[equation][6][1,2]1.2.6}{7}}
|
||||
\newlabel{eq:convolution2}{{1.2.7}{7}{Rendements cumulés}{equation.1.2.7}{}}
|
||||
\newlabel{eq:convolution2@cref}{{[equation][7][1,2]1.2.7}{7}}
|
||||
\citation{bachelier1900theorie}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.2.3}Donn\IeC {\'e}es disponibles}{8}{subsection.1.2.3}}
|
||||
\newlabel{sec:donneesdisponibles}{{1.2.3}{8}{Données disponibles}{subsection.1.2.3}{}}
|
||||
\newlabel{sec:donneesdisponibles@cref}{{[subsection][3][1,2]1.2.3}{8}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {1.3}Les premiers mod\IeC {\`e}les}{8}{section.1.3}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.3.1}Le mod\IeC {\`e}le de Bachelier}{8}{subsection.1.3.1}}
|
||||
\newlabel{sec:bachelier}{{1.3.1}{8}{Le modèle de Bachelier}{subsection.1.3.1}{}}
|
||||
\newlabel{sec:bachelier@cref}{{[subsection][1][1,3]1.3.1}{8}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {1.1}{\ignorespaces Mod\IeC {\`e}le de Bachelier: probabilit\IeC {\'e} compos\IeC {\'e}e\relax }}{8}{figure.caption.12}}
|
||||
\providecommand*\caption@xref[2]{\@setref\relax\@undefined{#1}}
|
||||
\newlabel{fig:bachelier1}{{1.1}{8}{Modèle de Bachelier: probabilité composée\relax }{figure.caption.12}{}}
|
||||
\newlabel{fig:bachelier1@cref}{{[figure][1][1]1.1}{8}}
|
||||
\newlabel{eq:probcomposeeB}{{1.3.1}{8}{Le modèle de Bachelier}{equation.1.3.1}{}}
|
||||
\newlabel{eq:probcomposeeB@cref}{{[equation][1][1,3]1.3.1}{8}}
|
||||
\citation{mitchell1916critique}
|
||||
\citation{mitchell1916critique}
|
||||
\citation{mitchell1916critique}
|
||||
\newlabel{eq:formeprobB}{{1.3.2}{9}{Le modèle de Bachelier}{equation.1.3.2}{}}
|
||||
\newlabel{eq:formeprobB@cref}{{[equation][2][1,3]1.3.2}{9}}
|
||||
\newlabel{eq:bachelier00}{{1.3.5}{9}{Le modèle de Bachelier}{equation.1.3.5}{}}
|
||||
\newlabel{eq:bachelier00@cref}{{[equation][5][1,3]1.3.5}{9}}
|
||||
\newlabel{eq:browniengeom}{{1.3.6}{9}{Le modèle de Bachelier}{equation.1.3.6}{}}
|
||||
\newlabel{eq:browniengeom@cref}{{[equation][6][1,3]1.3.6}{9}}
|
||||
\newlabel{eq:bachelierwiener2}{{1.3.7}{9}{Le modèle de Bachelier}{equation.1.3.7}{}}
|
||||
\newlabel{eq:bachelierwiener2@cref}{{[equation][7][1,3]1.3.7}{9}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {1.2}{\ignorespaces Distribution des rendements annuels de 40 titres boursiers, de 1890 \IeC {\`a} 1915, Table XVIII de \cite {mitchell1916critique}\relax }}{10}{figure.caption.13}}
|
||||
\newlabel{fig:mitchell1}{{1.2}{10}{Distribution des rendements annuels de 40 titres boursiers, de 1890 à 1915, Table XVIII de \cite {mitchell1916critique}\relax }{figure.caption.13}{}}
|
||||
\newlabel{fig:mitchell1@cref}{{[figure][2][1]1.2}{10}}
|
||||
\citation{mandelbrot1963variation}
|
||||
\citation{walterlevy}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.3.2}Proposition de Mandelbrot}{11}{subsection.1.3.2}}
|
||||
\newlabel{sec:mandelbrot}{{1.3.2}{11}{Proposition de Mandelbrot}{subsection.1.3.2}{}}
|
||||
\newlabel{sec:mandelbrot@cref}{{[subsection][2][1,3]1.3.2}{11}}
|
||||
\newlabel{enum:mandelbrot}{{1.3.2}{11}{Proposition de Mandelbrot}{subsection.1.3.2}{}}
|
||||
\newlabel{enum:mandelbrot@cref}{{[subsection][2][1,3]1.3.2}{11}}
|
||||
\citation{press1967compound}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {1.1}{\ignorespaces Domaine et r\IeC {\^o}le des param\IeC {\`e}tres de la distribution L stable de Mandelbrot\relax }}{12}{table.caption.14}}
|
||||
\newlabel{tab:roleparam}{{1.1}{12}{Domaine et rôle des paramètres de la distribution L stable de Mandelbrot\relax }{table.caption.14}{}}
|
||||
\newlabel{tab:roleparam@cref}{{[table][1][1]1.1}{12}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.3.3}Le mod\IeC {\`e}le de Press}{12}{subsection.1.3.3}}
|
||||
\newlabel{sec:press}{{1.3.3}{12}{Le modèle de Press}{subsection.1.3.3}{}}
|
||||
\newlabel{sec:press@cref}{{[subsection][3][1,3]1.3.3}{12}}
|
||||
\newlabel{eq:press67}{{1.3.11}{13}{Le modèle de Press}{equation.1.3.11}{}}
|
||||
\newlabel{eq:press67@cref}{{[equation][11][1,3]1.3.11}{13}}
|
||||
\newlabel{eq:fncaractpress}{{1.3.12}{13}{Le modèle de Press}{equation.1.3.12}{}}
|
||||
\newlabel{eq:fncaractpress@cref}{{[equation][12][1,3]1.3.12}{13}}
|
||||
\newlabel{eq:fncaractpress2}{{1.3.13}{13}{Le modèle de Press}{equation.1.3.13}{}}
|
||||
\newlabel{eq:fncaractpress2@cref}{{[equation][13][1,3]1.3.13}{13}}
|
||||
\citation{merton1976option}
|
||||
\newlabel{eq:cumulantspress}{{1.3.14}{14}{Le modèle de Press}{equation.1.3.0.14.14}{}}
|
||||
\newlabel{eq:cumulantspress@cref}{{[equation][14][1,3]1.3.14}{14}}
|
||||
\newlabel{eq:presscum}{{1.3.15}{14}{Le modèle de Press}{equation.1.3.0.15.15}{}}
|
||||
\newlabel{eq:presscum@cref}{{[equation][15][1,3]1.3.15}{14}}
|
||||
\newlabel{eq:presscumtheta}{{1.3.15a}{14}{Le modèle de Press}{equation.1.3.0.15a}{}}
|
||||
\newlabel{eq:presscumtheta@cref}{{[equation][1][1,3,15]1.3.15a}{14}}
|
||||
\newlabel{eq:presscumlambda}{{1.3.15b}{14}{Le modèle de Press}{equation.1.3.0.15b}{}}
|
||||
\newlabel{eq:presscumlambda@cref}{{[equation][2][1,3,15]1.3.15b}{14}}
|
||||
\newlabel{eq:presscumsigma2}{{1.3.15c}{14}{Le modèle de Press}{equation.1.3.0.15c}{}}
|
||||
\newlabel{eq:presscumsigma2@cref}{{[equation][3][1,3,15]1.3.15c}{14}}
|
||||
\newlabel{eq:presscumsigma1}{{1.3.15d}{14}{Le modèle de Press}{equation.1.3.0.15d}{}}
|
||||
\newlabel{eq:presscumsigma1@cref}{{[equation][4][1,3,15]1.3.15d}{14}}
|
||||
\newlabel{eq:modelemerton}{{1.3.16}{14}{Le modèle de Press}{equation.1.3.0.16}{}}
|
||||
\newlabel{eq:modelemerton@cref}{{[equation][16][1,3]1.3.16}{14}}
|
||||
\citation{praetz1972distribution}
|
||||
\newlabel{eq:fncaractmerton}{{1.3.18}{15}{Le modèle de Press}{equation.1.3.0.18}{}}
|
||||
\newlabel{eq:fncaractmerton@cref}{{[equation][18][1,3]1.3.18}{15}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {1.3.4}Le mod\IeC {\`e}le de Praetz}{15}{subsection.1.3.4}}
|
||||
\newlabel{eq:praetz72}{{1.3.20}{15}{Le modèle de Praetz}{equation.1.3.0.20}{}}
|
||||
\newlabel{eq:praetz72@cref}{{[equation][20][1,3]1.3.20}{15}}
|
||||
\newlabel{eq:gpraetz}{{1.3.21}{15}{Le modèle de Praetz}{equation.1.3.0.21}{}}
|
||||
\newlabel{eq:gpraetz@cref}{{[equation][21][1,3]1.3.21}{15}}
|
||||
\citation{madan1990variance}
|
||||
\citation{kotz2001laplace}
|
||||
\newlabel{eq:hpraetz}{{1.3.22}{16}{Le modèle de Praetz}{equation.1.3.0.22}{}}
|
||||
\newlabel{eq:hpraetz@cref}{{[equation][22][1,3]1.3.22}{16}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {1.4}Conditions essentielles de Madan et Seneta}{16}{section.1.4}}
|
||||
\newlabel{sec:madanseneta90}{{1.4}{16}{Conditions essentielles de Madan et Seneta}{section.1.4}{}}
|
||||
\newlabel{sec:madanseneta90@cref}{{[section][4][1]1.4}{16}}
|
||||
\newlabel{eq:condmadan1}{{1.4.1}{16}{Conditions essentielles de Madan et Seneta}{equation.1.4.0.1}{}}
|
||||
\newlabel{eq:condmadan1@cref}{{[enumi][1][]1}{16}}
|
||||
\newlabel{eq:condmadan2}{{1.4.2}{16}{Conditions essentielles de Madan et Seneta}{equation.1.4.0.2}{}}
|
||||
\newlabel{eq:condmadan2@cref}{{[equation][2][1,4]1.4.2}{16}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {1.2}{\ignorespaces Respect des conditions \IeC {\'e}mises par Madan et Seneta pour les diff\IeC {\'e}rents mod\IeC {\`e}les pr\IeC {\'e}sent\IeC {\'e}s\relax }}{17}{table.caption.15}}
|
||||
\newlabel{tab:condmadan}{{1.2}{17}{Respect des conditions émises par Madan et Seneta pour les différents modèles présentés\relax }{table.caption.15}{}}
|
||||
\newlabel{tab:condmadan@cref}{{[table][2][1]1.2}{17}}
|
||||
\@setckpt{chapitre1}{
|
||||
\setcounter{page}{18}
|
||||
\setcounter{equation}{2}
|
||||
\setcounter{enumi}{4}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{1}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{1}
|
||||
\setcounter{section}{4}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{36}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{2}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{2}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{13}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{21}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{3}
|
||||
}
|
||||
29893
memoire/chapitre1.log
29893
memoire/chapitre1.log
File diff suppressed because it is too large
Load diff
|
|
@ -1,259 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{kozubowski1999class}
|
||||
\citation{madan1990variance}
|
||||
\citation{madan1990variance}
|
||||
\citation{kozubowski1999class}
|
||||
\citation{kotz2001laplace}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {2}La distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{19}{chapter.2}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {2.1}Le processus de Laplace}{19}{section.2.1}}
|
||||
\newlabel{sec:processusGAL}{{2.1}{19}{Le processus de Laplace}{section.2.1}{}}
|
||||
\newlabel{sec:processusGAL@cref}{{[section][1][2]2.1}{19}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.1.1}Le processus gamma}{20}{subsection.2.1.1}}
|
||||
\newlabel{sec:processusgamma}{{2.1.1}{20}{Le processus gamma}{subsection.2.1.1}{}}
|
||||
\newlabel{sec:processusgamma@cref}{{[subsection][1][2,1]2.1.1}{20}}
|
||||
\newlabel{eq:densitegamma}{{2.1.1}{20}{Le processus gamma}{equation.2.1.0.1}{}}
|
||||
\newlabel{eq:densitegamma@cref}{{[equation][1][2,1]2.1.1}{20}}
|
||||
\newlabel{eq:fncaractgamma}{{2.1.2}{20}{Le processus gamma}{equation.2.1.0.2}{}}
|
||||
\newlabel{eq:fncaractgamma@cref}{{[equation][2][2,1]2.1.2}{20}}
|
||||
\newlabel{eq:densitegamma1}{{2.1.3}{20}{Le processus gamma}{equation.2.1.0.3}{}}
|
||||
\newlabel{eq:densitegamma1@cref}{{[equation][3][2,1]2.1.3}{20}}
|
||||
\citation{spiegel1999schaum}
|
||||
\citation{spiegel1999schaum}
|
||||
\newlabel{eq:exposantchargamma}{{2.1.5}{21}{Le processus gamma}{equation.2.1.0.5}{}}
|
||||
\newlabel{eq:exposantchargamma@cref}{{[equation][5][2,1]2.1.5}{21}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.1.2}Le processus de Wiener}{21}{subsection.2.1.2}}
|
||||
\newlabel{sec:mouvementbrownien}{{2.1.2}{21}{Le processus de Wiener}{subsection.2.1.2}{}}
|
||||
\newlabel{sec:mouvementbrownien@cref}{{[subsection][2][2,1]2.1.2}{21}}
|
||||
\newlabel{eq:incrwiener}{{2.1.7}{21}{Le processus de Wiener}{equation.2.1.0.7}{}}
|
||||
\newlabel{eq:incrwiener@cref}{{[equation][7][2,1]2.1.7}{21}}
|
||||
\newlabel{eq:fndensitenormale}{{2.1.8}{21}{Le processus de Wiener}{equation.2.1.0.8}{}}
|
||||
\newlabel{eq:fndensitenormale@cref}{{[equation][8][2,1]2.1.8}{21}}
|
||||
\newlabel{eq:fncaractnormale}{{2.1.9}{21}{Le processus de Wiener}{equation.2.1.0.9}{}}
|
||||
\newlabel{eq:fncaractnormale@cref}{{[equation][9][2,1]2.1.9}{21}}
|
||||
\newlabel{eq:exposantcaractnormale}{{2.1.12}{22}{Le processus de Wiener}{equation.2.1.0.12}{}}
|
||||
\newlabel{eq:exposantcaractnormale@cref}{{[equation][12][2,1]2.1.12}{22}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.1.3}Le processus de Laplace est un processus subordonn\IeC {\'e}}{22}{subsection.2.1.3}}
|
||||
\newlabel{sec:browniensub}{{2.1.3}{22}{Le processus de Laplace est un processus subordonné}{subsection.2.1.3}{}}
|
||||
\newlabel{sec:browniensub@cref}{{[subsection][3][2,1]2.1.3}{22}}
|
||||
\newlabel{eq:VGsubordinne}{{2.1.13}{22}{Le processus de Laplace est un processus subordonné}{equation.2.1.0.13}{}}
|
||||
\newlabel{eq:VGsubordinne@cref}{{[equation][13][2,1]2.1.13}{22}}
|
||||
\newlabel{eq:exposantcaractLaplace}{{2.1.14}{22}{Le processus de Laplace est un processus subordonné}{equation.2.1.0.14}{}}
|
||||
\newlabel{eq:exposantcaractLaplace@cref}{{[equation][14][2,1]2.1.14}{22}}
|
||||
\newlabel{eq:fonctioncaractlaplacesansdrift}{{2.1.15}{23}{Le processus de Laplace est un processus subordonné}{equation.2.1.0.15}{}}
|
||||
\newlabel{eq:fonctioncaractlaplacesansdrift@cref}{{[equation][15][2,1]2.1.15}{23}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {2.1}{\ignorespaces Premier incr\IeC {\'e}ment d'un processus subordonn\IeC {\'e}\relax }}{23}{figure.caption.16}}
|
||||
\newlabel{fig:increment1}{{2.1}{23}{Premier incrément d'un processus subordonné\relax }{figure.caption.16}{}}
|
||||
\newlabel{fig:increment1@cref}{{[figure][1][2]2.1}{23}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {2.2}{\ignorespaces Simulation d'un processus de Wiener subordonn\IeC {\'e} par un processus gamma\relax }}{24}{figure.caption.17}}
|
||||
\newlabel{fig:simgammagauss}{{2.2}{24}{Simulation d'un processus de Wiener subordonné par un processus gamma\relax }{figure.caption.17}{}}
|
||||
\newlabel{fig:simgammagauss@cref}{{[figure][2][2]2.2}{24}}
|
||||
\citation{kotz2001laplace}
|
||||
\citation{madan1990variance}
|
||||
\newlabel{eq:fncaractprocessuslaplace}{{2.1.16}{25}{Le processus de Laplace est un processus subordonné}{equation.2.1.0.16}{}}
|
||||
\newlabel{eq:fncaractprocessuslaplace@cref}{{[equation][16][2,1]2.1.16}{25}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {2.2}Distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{25}{section.2.2}}
|
||||
\newlabel{sec:distributionGAL}{{2.2}{25}{Distribution de Laplace asymétrique généralisée}{section.2.2}{}}
|
||||
\newlabel{sec:distributionGAL@cref}{{[section][2][2]2.2}{25}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.1}Fonction caract\IeC {\'e}ristique}{25}{subsection.2.2.1}}
|
||||
\newlabel{sec:fncaractGAL}{{2.2.1}{25}{Fonction caractéristique}{subsection.2.2.1}{}}
|
||||
\newlabel{sec:fncaractGAL@cref}{{[subsection][1][2,2]2.2.1}{25}}
|
||||
\newlabel{eq:defvarY-GAL}{{2.2.1}{26}{Fonction caractéristique}{equation.2.2.0.1}{}}
|
||||
\newlabel{eq:defvarY-GAL@cref}{{[equation][1][2,2]2.2.1}{26}}
|
||||
\newlabel{eq:Ynormalconditionnel}{{2.2.2}{26}{Fonction caractéristique}{equation.2.2.0.2}{}}
|
||||
\newlabel{eq:Ynormalconditionnel@cref}{{[equation][2][2,2]2.2.2}{26}}
|
||||
\newlabel{eq:fncaractGALmu}{{2.2.3}{26}{Fonction caractéristique}{equation.2.2.0.3}{}}
|
||||
\newlabel{eq:fncaractGALmu@cref}{{[equation][3][2,2]2.2.3}{26}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.2}Invariance d'\IeC {\'e}chelle}{26}{subsection.2.2.2}}
|
||||
\newlabel{sec:invariance-dechelle}{{2.2.2}{26}{Invariance d'échelle}{subsection.2.2.2}{}}
|
||||
\newlabel{sec:invariance-dechelle@cref}{{[subsection][2][2,2]2.2.2}{26}}
|
||||
\newlabel{eq:mukappa}{{2.2.4}{27}{Invariance d'échelle}{equation.2.2.0.4}{}}
|
||||
\newlabel{eq:mukappa@cref}{{[equation][4][2,2]2.2.4}{27}}
|
||||
\newlabel{eq:kappamu}{{2.2.5}{27}{Invariance d'échelle}{equation.2.2.0.5}{}}
|
||||
\newlabel{eq:kappamu@cref}{{[equation][5][2,2]2.2.5}{27}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.3}Fonctions g\IeC {\'e}n\IeC {\'e}ratrices}{28}{subsection.2.2.3}}
|
||||
\newlabel{eq:fgmGAL}{{2.2.10}{28}{Fonctions génératrices}{equation.2.2.0.10}{}}
|
||||
\newlabel{eq:fgmGAL@cref}{{[equation][10][2,2]2.2.10}{28}}
|
||||
\newlabel{eq:fgmGALcond}{{2.2.11}{28}{Fonctions génératrices}{equation.2.2.0.11}{}}
|
||||
\newlabel{eq:fgmGALcond@cref}{{[equation][11][2,2]2.2.11}{28}}
|
||||
\newlabel{eq:fgmmomentsGAL}{{2.2.12}{28}{Fonctions génératrices}{equation.2.2.0.12}{}}
|
||||
\newlabel{eq:fgmmomentsGAL@cref}{{[equation][12][2,2]2.2.12}{28}}
|
||||
\newlabel{eq:fgcGAL}{{2.2.13}{28}{Fonctions génératrices}{equation.2.2.0.13}{}}
|
||||
\newlabel{eq:fgcGAL@cref}{{[equation][13][2,2]2.2.13}{28}}
|
||||
\newlabel{eq:fgccumGAL}{{2.2.14}{28}{Fonctions génératrices}{equation.2.2.0.14}{}}
|
||||
\newlabel{eq:fgccumGAL@cref}{{[equation][14][2,2]2.2.14}{28}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.4}Moments et r\IeC {\^o}le des param\IeC {\`e}tres}{28}{subsection.2.2.4}}
|
||||
\newlabel{sec:momentsGAL}{{2.2.4}{28}{Moments et rôle des paramètres}{subsection.2.2.4}{}}
|
||||
\newlabel{sec:momentsGAL@cref}{{[subsection][4][2,2]2.2.4}{28}}
|
||||
\newlabel{eq:momentsGAL}{{2.2.15}{29}{Moments et rôle des paramètres}{equation.2.2.0.15.15}{}}
|
||||
\newlabel{eq:momentsGAL@cref}{{[equation][15][2,2]2.2.15}{29}}
|
||||
\newlabel{eq:moments1GAL}{{2.2.15a}{29}{Moments et rôle des paramètres}{equation.2.2.0.15a}{}}
|
||||
\newlabel{eq:moments1GAL@cref}{{[equation][1][2,2,15]2.2.15a}{29}}
|
||||
\newlabel{eq:moments2GAL}{{2.2.15b}{29}{Moments et rôle des paramètres}{equation.2.2.0.15b}{}}
|
||||
\newlabel{eq:moments2GAL@cref}{{[equation][2][2,2,15]2.2.15b}{29}}
|
||||
\newlabel{eq:moments3GAL}{{2.2.15c}{29}{Moments et rôle des paramètres}{equation.2.2.0.15c}{}}
|
||||
\newlabel{eq:moments3GAL@cref}{{[equation][3][2,2,15]2.2.15c}{29}}
|
||||
\newlabel{eq:moments4GAL}{{2.2.15d}{29}{Moments et rôle des paramètres}{equation.2.2.0.15d}{}}
|
||||
\newlabel{eq:moments4GAL@cref}{{[equation][4][2,2,15]2.2.15d}{29}}
|
||||
\newlabel{eq:moments56GAL}{{2.2.16}{29}{Moments et rôle des paramètres}{equation.2.2.0.16.16}{}}
|
||||
\newlabel{eq:moments56GAL@cref}{{[equation][16][2,2]2.2.16}{29}}
|
||||
\newlabel{eq:moments5GAL}{{2.2.16a}{29}{Moments et rôle des paramètres}{equation.2.2.0.16a}{}}
|
||||
\newlabel{eq:moments5GAL@cref}{{[equation][1][2,2,16]2.2.16a}{29}}
|
||||
\newlabel{eq:moments6GAL}{{2.2.16b}{29}{Moments et rôle des paramètres}{equation.2.2.0.16b}{}}
|
||||
\newlabel{eq:moments6GAL@cref}{{[equation][2][2,2,16]2.2.16b}{29}}
|
||||
\citation{madan1990variance}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {2.1}{\ignorespaces Domaine et r\IeC {\^o}le des param\IeC {\`e}tres de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{30}{table.caption.18}}
|
||||
\newlabel{tab:roleparamGAL}{{2.1}{30}{Domaine et rôle des paramètres de la distribution de Laplace asymétrique généralisée\relax }{table.caption.18}{}}
|
||||
\newlabel{tab:roleparamGAL@cref}{{[table][1][2]2.1}{30}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.5}Changement d'\IeC {\'e}chelle et de localisation}{30}{subsection.2.2.5}}
|
||||
\newlabel{sec:transGAL}{{2.2.5}{30}{Changement d'échelle et de localisation}{subsection.2.2.5}{}}
|
||||
\newlabel{sec:transGAL@cref}{{[subsection][5][2,2]2.2.5}{30}}
|
||||
\citation{kotz2001laplace}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {2.3}{\ignorespaces Fonction de densit\IeC {\'e} de la distribution Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e avec diff\IeC {\'e}rents param\IeC {\`e}tres: $GAL(y;\theta ,\sigma ,\kappa ,\tau )$\relax }}{31}{figure.caption.19}}
|
||||
\newlabel{fig:densiteGAL}{{2.3}{31}{Fonction de densité de la distribution Laplace asymétrique généralisée avec différents paramètres: $GAL(y;\theta ,\sigma ,\kappa ,\tau )$\relax }{figure.caption.19}{}}
|
||||
\newlabel{fig:densiteGAL@cref}{{[figure][3][2]2.3}{31}}
|
||||
\newlabel{eq:GALscaletrans}{{2.2.17}{32}{Changement d'échelle et de localisation}{equation.2.2.0.17}{}}
|
||||
\newlabel{eq:GALscaletrans@cref}{{[equation][17][2,2]2.2.17}{32}}
|
||||
\newlabel{eq:transparamGALNS}{{2.2.18}{32}{Changement d'échelle et de localisation}{equation.2.2.0.18}{}}
|
||||
\newlabel{eq:transparamGALNS@cref}{{[equation][18][2,2]2.2.18}{32}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.6}Repr\IeC {\'e}sentation alternative et simulation}{32}{subsection.2.2.6}}
|
||||
\newlabel{sec:simulationGAL}{{2.2.6}{32}{Représentation alternative et simulation}{subsection.2.2.6}{}}
|
||||
\newlabel{sec:simulationGAL@cref}{{[subsection][6][2,2]2.2.6}{32}}
|
||||
\newlabel{eq:distributiongammaformealt}{{2.2.19}{32}{Représentation alternative et simulation}{equation.2.2.0.19}{}}
|
||||
\newlabel{eq:distributiongammaformealt@cref}{{[equation][19][2,2]2.2.19}{32}}
|
||||
\newlabel{eq:processuslaplace2gamma}{{2.2.20}{32}{Représentation alternative et simulation}{equation.2.2.0.20}{}}
|
||||
\newlabel{eq:processuslaplace2gamma@cref}{{[equation][20][2,2]2.2.20}{32}}
|
||||
\newlabel{eq:differencegamma}{{2.2.21}{32}{Représentation alternative et simulation}{equation.2.2.0.21}{}}
|
||||
\newlabel{eq:differencegamma@cref}{{[equation][21][2,2]2.2.21}{32}}
|
||||
\newlabel{eq:differencegamma2}{{2.2.22}{32}{Représentation alternative et simulation}{equation.2.2.0.22}{}}
|
||||
\newlabel{eq:differencegamma2@cref}{{[equation][22][2,2]2.2.22}{32}}
|
||||
\citation{abramowitz1965handbook}
|
||||
\citation{kozubowski1999class}
|
||||
\citation{kotz2001laplace}
|
||||
\newlabel{eq:equivalence2gammaFC}{{2.2.23}{33}{Représentation alternative et simulation}{equation.2.2.0.23}{}}
|
||||
\newlabel{eq:equivalence2gammaFC@cref}{{[equation][23][2,2]2.2.23}{33}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2.7}Fonction de Bessel et densit\IeC {\'e}}{33}{subsection.2.2.7}}
|
||||
\newlabel{sec:besseldensiteGAL}{{2.2.7}{33}{Fonction de Bessel et densité}{subsection.2.2.7}{}}
|
||||
\newlabel{sec:besseldensiteGAL@cref}{{[subsection][7][2,2]2.2.7}{33}}
|
||||
\newlabel{eq:BesselK}{{2.2.24}{33}{Fonction de Bessel et densité}{equation.2.2.0.24}{}}
|
||||
\newlabel{eq:BesselK@cref}{{[equation][24][2,2]2.2.24}{33}}
|
||||
\newlabel{eq:densitekotz}{{2.2.25}{33}{Fonction de Bessel et densité}{equation.2.2.0.25}{}}
|
||||
\newlabel{eq:densitekotz@cref}{{[equation][25][2,2]2.2.25}{33}}
|
||||
\citation{RpackageVarianceGamma}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {2.4}{\ignorespaces Histogramme et estimateur de densit\IeC {\'e} par noyau de 2500 r\IeC {\'e}alisations de la variable al\IeC {\'e}atoire $Y\sim GAL(\theta =0,\sigma =1,\kappa =2,\tau =1)$\relax }}{34}{figure.caption.20}}
|
||||
\newlabel{fig:simulGAL}{{2.4}{34}{Histogramme et estimateur de densité par noyau de 2500 réalisations de la variable aléatoire $Y\sim GAL(\theta =0,\sigma =1,\kappa =2,\tau =1)$\relax }{figure.caption.20}{}}
|
||||
\newlabel{fig:simulGAL@cref}{{[figure][4][2]2.4}{34}}
|
||||
\newlabel{eq:densitekotz2001}{{2.2.26}{34}{Fonction de Bessel et densité}{equation.2.2.0.26}{}}
|
||||
\newlabel{eq:densitekotz2001@cref}{{[equation][26][2,2]2.2.26}{34}}
|
||||
\citation{hinkley1977estimation}
|
||||
\citation{kozubowski1999class}
|
||||
\citation{kozubowski2001asymmetric}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {2.3}Cas particuliers}{35}{section.2.3}}
|
||||
\newlabel{sec:cas-particuliers}{{2.3}{35}{Cas particuliers}{section.2.3}{}}
|
||||
\newlabel{sec:cas-particuliers@cref}{{[section][3][2]2.3}{35}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {2.2}{\ignorespaces Cas sp\IeC {\'e}ciaux de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{35}{table.caption.21}}
|
||||
\newlabel{tab:casspeciauxGAL}{{2.2}{35}{Cas spéciaux de la distribution de Laplace asymétrique généralisée\relax }{table.caption.21}{}}
|
||||
\newlabel{tab:casspeciauxGAL@cref}{{[table][2][2]2.2}{35}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {2.3.1}Distribution de Laplace asym\IeC {\'e}trique}{35}{subsection.2.3.1}}
|
||||
\newlabel{sec:distributionAL}{{2.3.1}{35}{Distribution de Laplace asymétrique}{subsection.2.3.1}{}}
|
||||
\newlabel{sec:distributionAL@cref}{{[subsection][1][2,3]2.3.1}{35}}
|
||||
\newlabel{eq:densiteAL}{{2.3.1}{36}{Distribution de Laplace asymétrique}{equation.2.3.0.1}{}}
|
||||
\newlabel{eq:densiteAL@cref}{{[equation][1][2,3]2.3.1}{36}}
|
||||
\newlabel{eq:caractALkappa}{{2.3.2}{36}{Distribution de Laplace asymétrique}{equation.2.3.0.2}{}}
|
||||
\newlabel{eq:caractALkappa@cref}{{[equation][2][2,3]2.3.2}{36}}
|
||||
\newlabel{eq:caractALmu}{{2.3.3}{36}{Distribution de Laplace asymétrique}{equation.2.3.0.3}{}}
|
||||
\newlabel{eq:caractALmu@cref}{{[equation][3][2,3]2.3.3}{36}}
|
||||
\newlabel{eq:ALrepsimul}{{2.3.4}{36}{Distribution de Laplace asymétrique}{equation.2.3.0.4}{}}
|
||||
\newlabel{eq:ALrepsimul@cref}{{[equation][4][2,3]2.3.4}{36}}
|
||||
\newlabel{eq:simulALunif}{{2.3.5}{36}{Distribution de Laplace asymétrique}{equation.2.3.0.5}{}}
|
||||
\newlabel{eq:simulALunif@cref}{{[equation][5][2,3]2.3.5}{36}}
|
||||
\citation{madan1990variance}
|
||||
\citation{madan1990variance}
|
||||
\citation{kotz2001laplace}
|
||||
\citation{madan1990variance}
|
||||
\citation{kotz2001laplace}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {2.4}Relation avec le mod\IeC {\`e}le de \cite {madan1990variance}}{37}{section.2.4}}
|
||||
\newlabel{sec:relation-avec-le}{{2.4}{37}{Relation avec le modèle de \cite {madan1990variance}}{section.2.4}{}}
|
||||
\newlabel{sec:relation-avec-le@cref}{{[section][4][2]2.4}{37}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {2.3}{\ignorespaces Changements de param\IeC {\'e}trisation\relax }}{37}{table.caption.22}}
|
||||
\newlabel{tab:chparam}{{2.3}{37}{Changements de paramétrisation\relax }{table.caption.22}{}}
|
||||
\newlabel{tab:chparam@cref}{{[table][3][2]2.3}{37}}
|
||||
\@setckpt{chapitre2}{
|
||||
\setcounter{page}{38}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{3}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{2}
|
||||
\setcounter{section}{4}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{56}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{4}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{3}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{16}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{37}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,182 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{lugannani1980saddle}
|
||||
\citation{butler2007saddlepoint}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {3}Approximation de la densit\IeC {\'e} et de la fonction de r\IeC {\'e}partition}{39}{chapter.3}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {3.1}L'approximation de Laplace}{39}{section.3.1}}
|
||||
\newlabel{sec:appr-de-lapl}{{3.1}{39}{L'approximation de Laplace}{section.3.1}{}}
|
||||
\newlabel{sec:appr-de-lapl@cref}{{[section][1][3]3.1}{39}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {3.1}{\ignorespaces Probabilit\IeC {\'e} \IeC {\`a} l'extr\IeC {\'e}mit\IeC {\'e} du support\relax }}{40}{figure.caption.23}}
|
||||
\newlabel{fig:probdroite}{{3.1}{40}{Probabilité à l'extrémité du support\relax }{figure.caption.23}{}}
|
||||
\newlabel{fig:probdroite@cref}{{[figure][1][3]3.1}{40}}
|
||||
\newlabel{eq:approxlaplace1}{{3.1.1}{40}{L'approximation de Laplace}{equation.3.1.0.1}{}}
|
||||
\newlabel{eq:approxlaplace1@cref}{{[equation][1][3,1]3.1.1}{40}}
|
||||
\newlabel{eq:taylorgx}{{3.1.2}{40}{L'approximation de Laplace}{equation.3.1.0.2}{}}
|
||||
\newlabel{eq:taylorgx@cref}{{[equation][2][3,1]3.1.2}{40}}
|
||||
\newlabel{eq:integraleapproxlaplace1}{{3.1.3}{40}{L'approximation de Laplace}{equation.3.1.0.3}{}}
|
||||
\newlabel{eq:integraleapproxlaplace1@cref}{{[equation][3][3,1]3.1.3}{40}}
|
||||
\newlabel{eq:approxlaplace2}{{3.1.4}{40}{L'approximation de Laplace}{equation.3.1.0.4}{}}
|
||||
\newlabel{eq:approxlaplace2@cref}{{[equation][4][3,1]3.1.4}{40}}
|
||||
\newlabel{eq:kappailaplace}{{3.1.5}{40}{L'approximation de Laplace}{equation.3.1.0.5}{}}
|
||||
\newlabel{eq:kappailaplace@cref}{{[equation][5][3,1]3.1.5}{40}}
|
||||
\citation{daniels1954saddlepoint}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {3.2}L'approximation de Temme}{41}{section.3.2}}
|
||||
\newlabel{sec:lappr-de-temme}{{3.2}{41}{L'approximation de Temme}{section.3.2}{}}
|
||||
\newlabel{sec:lappr-de-temme@cref}{{[section][2][3]3.2}{41}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {3.2}{\ignorespaces Distribution normale tronqu\IeC {\'e}e \IeC {\`a} $w_0$\relax }}{41}{figure.caption.24}}
|
||||
\newlabel{fig:normaletronque}{{3.2}{41}{Distribution normale tronquée à $w_0$\relax }{figure.caption.24}{}}
|
||||
\newlabel{fig:normaletronque@cref}{{[figure][2][3]3.2}{41}}
|
||||
\newlabel{eq:temmeintegrale}{{3.2.2}{41}{L'approximation de Temme}{equation.3.2.0.2}{}}
|
||||
\newlabel{eq:temmeintegrale@cref}{{[equation][2][3,2]3.2.2}{41}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {3.3}La m\IeC {\'e}thode du point de selle}{42}{section.3.3}}
|
||||
\newlabel{sec:pointcolGAL}{{3.3}{42}{La méthode du point de selle}{section.3.3}{}}
|
||||
\newlabel{sec:pointcolGAL@cref}{{[section][3][3]3.3}{42}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {3.3.1}Approximation de la densit\IeC {\'e}}{42}{subsection.3.3.1}}
|
||||
\newlabel{sec:appr-de-prem}{{3.3.1}{42}{Approximation de la densité}{subsection.3.3.1}{}}
|
||||
\newlabel{sec:appr-de-prem@cref}{{[subsection][1][3,3]3.3.1}{42}}
|
||||
\newlabel{eq:FGMdefinitionsaddle}{{3.3.1}{42}{Approximation de la densité}{equation.3.3.0.1}{}}
|
||||
\newlabel{eq:FGMdefinitionsaddle@cref}{{[equation][1][3,3]3.3.1}{42}}
|
||||
\newlabel{eq:FGMdaniels}{{3.3.2}{42}{Approximation de la densité}{equation.3.3.0.2}{}}
|
||||
\newlabel{eq:FGMdaniels@cref}{{[equation][2][3,3]3.3.2}{42}}
|
||||
\newlabel{eq:laplacesaddle1}{{3.3.4}{42}{Approximation de la densité}{equation.3.3.0.4}{}}
|
||||
\newlabel{eq:laplacesaddle1@cref}{{[equation][4][3,3]3.3.4}{42}}
|
||||
\newlabel{eq:premierordresaddle}{{3.3.5}{42}{Approximation de la densité}{equation.3.3.0.5}{}}
|
||||
\newlabel{eq:premierordresaddle@cref}{{[equation][5][3,3]3.3.5}{42}}
|
||||
\newlabel{eq:secondordresaddle}{{3.3.6}{43}{Approximation de la densité}{equation.3.3.0.6}{}}
|
||||
\newlabel{eq:secondordresaddle@cref}{{[equation][6][3,3]3.3.6}{43}}
|
||||
\newlabel{eq:lnfysaddlelaplace}{{3.3.7}{43}{Approximation de la densité}{equation.3.3.0.7}{}}
|
||||
\newlabel{eq:lnfysaddlelaplace@cref}{{[equation][7][3,3]3.3.7}{43}}
|
||||
\newlabel{eq:dlnfysaddlelaplace}{{3.3.8}{43}{Approximation de la densité}{equation.3.3.0.8}{}}
|
||||
\newlabel{eq:dlnfysaddlelaplace@cref}{{[equation][8][3,3]3.3.8}{43}}
|
||||
\newlabel{eq:premierodreapprox}{{3.3.9}{43}{Approximation de la densité}{equation.3.3.0.9}{}}
|
||||
\newlabel{eq:premierodreapprox@cref}{{[equation][9][3,3]3.3.9}{43}}
|
||||
\newlabel{eq:saddlepoint}{{3.3.10}{43}{Approximation de la densité}{equation.3.3.0.10}{}}
|
||||
\newlabel{eq:saddlepoint@cref}{{[equation][10][3,3]3.3.10}{43}}
|
||||
\newlabel{eq:deriveesecondesaddlepoint}{{3.3.11}{43}{Approximation de la densité}{equation.3.3.0.11}{}}
|
||||
\newlabel{eq:deriveesecondesaddlepoint@cref}{{[equation][11][3,3]3.3.11}{43}}
|
||||
\newlabel{eq:approximationsaddlepointordre1}{{3.3.12}{43}{Approximation de la densité}{equation.3.3.0.12}{}}
|
||||
\newlabel{eq:approximationsaddlepointordre1@cref}{{[equation][12][3,3]3.3.12}{43}}
|
||||
\citation{daniels1954saddlepoint}
|
||||
\newlabel{eq:normalisationsaddle}{{3.3.13}{44}{Approximation de la densité}{equation.3.3.0.13.13}{}}
|
||||
\newlabel{eq:normalisationsaddle@cref}{{[equation][13][3,3]3.3.13}{44}}
|
||||
\newlabel{eq:normalisationsaddle1}{{3.3.13a}{44}{Approximation de la densité}{equation.3.3.0.13a}{}}
|
||||
\newlabel{eq:normalisationsaddle1@cref}{{[equation][1][3,3,13]3.3.13a}{44}}
|
||||
\newlabel{eq:normalisationsaddle2}{{3.3.13b}{44}{Approximation de la densité}{equation.3.3.0.13b}{}}
|
||||
\newlabel{eq:normalisationsaddle2@cref}{{[equation][2][3,3,13]3.3.13b}{44}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {3.3.2}Unicit\IeC {\'e} du point de selle}{44}{subsection.3.3.2}}
|
||||
\newlabel{sec:unicite-du-point}{{3.3.2}{44}{Unicité du point de selle}{subsection.3.3.2}{}}
|
||||
\newlabel{sec:unicite-du-point@cref}{{[subsection][2][3,3]3.3.2}{44}}
|
||||
\newlabel{eq:limitesderiveeK}{{3.3.14}{44}{Unicité du point de selle}{equation.3.3.0.14}{}}
|
||||
\newlabel{eq:limitesderiveeK@cref}{{[equation][14][3,3]3.3.14}{44}}
|
||||
\newlabel{eq:6}{{3.3.16}{44}{Unicité du point de selle}{equation.3.3.0.16}{}}
|
||||
\newlabel{eq:6@cref}{{[equation][16][3,3]3.3.16}{44}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {3.3.3}Approximation de la fonction de r\IeC {\'e}partition}{44}{subsection.3.3.3}}
|
||||
\newlabel{sec:appr-de-prem-1}{{3.3.3}{44}{Approximation de la fonction de répartition}{subsection.3.3.3}{}}
|
||||
\newlabel{sec:appr-de-prem-1@cref}{{[subsection][3][3,3]3.3.3}{44}}
|
||||
\newlabel{eq:chengementytow}{{3.3.17}{45}{Approximation de la fonction de répartition}{equation.3.3.0.17}{}}
|
||||
\newlabel{eq:chengementytow@cref}{{[equation][17][3,3]3.3.17}{45}}
|
||||
\newlabel{eq:derivchengementytow}{{3.3.18}{45}{Approximation de la fonction de répartition}{equation.3.3.0.18}{}}
|
||||
\newlabel{eq:derivchengementytow@cref}{{[equation][18][3,3]3.3.18}{45}}
|
||||
\newlabel{eq:approxintegraleREPordre1}{{3.3.19}{45}{Approximation de la fonction de répartition}{equation.3.3.0.19}{}}
|
||||
\newlabel{eq:approxintegraleREPordre1@cref}{{[equation][19][3,3]3.3.19}{45}}
|
||||
\newlabel{eq:approximationsaddlepointREPordre1}{{3.3.20}{45}{Approximation de la fonction de répartition}{equation.3.3.0.20}{}}
|
||||
\newlabel{eq:approximationsaddlepointREPordre1@cref}{{[equation][20][3,3]3.3.20}{45}}
|
||||
\newlabel{eq:wuysaddlerepart2}{{3.3.21}{45}{Approximation de la fonction de répartition}{equation.3.3.0.21.21}{}}
|
||||
\newlabel{eq:wuysaddlerepart2@cref}{{[equation][21][3,3]3.3.21}{45}}
|
||||
\newlabel{eq:wysaddlerepart2}{{3.3.21a}{45}{Approximation de la fonction de répartition}{equation.3.3.0.21a}{}}
|
||||
\newlabel{eq:wysaddlerepart2@cref}{{[equation][1][3,3,21]3.3.21a}{45}}
|
||||
\newlabel{eq:uysaddlerepart2}{{3.3.21b}{45}{Approximation de la fonction de répartition}{equation.3.3.0.21b}{}}
|
||||
\newlabel{eq:uysaddlerepart2@cref}{{[equation][2][3,3,21]3.3.21b}{45}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {3.3.4}Quelques propri\IeC {\'e}t\IeC {\'e}s des approximations}{45}{subsection.3.3.4}}
|
||||
\newlabel{sec:proprietesaddle}{{3.3.4}{45}{Quelques propriétés des approximations}{subsection.3.3.4}{}}
|
||||
\newlabel{sec:proprietesaddle@cref}{{[subsection][4][3,3]3.3.4}{45}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {3.4}Application de la m\IeC {\'e}thode du point de selle}{46}{section.3.4}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {3.4.1}Approximation de la densit\IeC {\'e}}{46}{subsection.3.4.1}}
|
||||
\newlabel{sec:applicationsaddleGAL}{{3.4.1}{46}{Approximation de la densité}{subsection.3.4.1}{}}
|
||||
\newlabel{sec:applicationsaddleGAL@cref}{{[subsection][1][3,4]3.4.1}{46}}
|
||||
\newlabel{eq:derivcumulantGAL1}{{3.4.1}{46}{Approximation de la densité}{equation.3.4.0.1}{}}
|
||||
\newlabel{eq:derivcumulantGAL1@cref}{{[equation][1][3,4]3.4.1}{46}}
|
||||
\newlabel{eq:saddlepointGAL}{{3.4.3}{46}{Approximation de la densité}{equation.3.4.0.3}{}}
|
||||
\newlabel{eq:saddlepointGAL@cref}{{[equation][3][3,4]3.4.3}{46}}
|
||||
\newlabel{eq:derivcumulantGAL2}{{3.4.4}{47}{Approximation de la densité}{equation.3.4.0.4}{}}
|
||||
\newlabel{eq:derivcumulantGAL2@cref}{{[equation][4][3,4]3.4.4}{47}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {3.4.2}Approximation de la fonction de r\IeC {\'e}partition}{47}{subsection.3.4.2}}
|
||||
\@setckpt{chapitre3}{
|
||||
\setcounter{page}{48}
|
||||
\setcounter{equation}{4}
|
||||
\setcounter{enumi}{3}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{3}
|
||||
\setcounter{section}{4}
|
||||
\setcounter{subsection}{2}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{66}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{2}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{16}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{48}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,264 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{hansen1982large}
|
||||
\citation{hamilton1994time}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {4}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{49}{chapter.4}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {4.1}Introduction}{49}{section.4.1}}
|
||||
\newlabel{sec:intromethodeGMM}{{4.1}{49}{Introduction}{section.4.1}{}}
|
||||
\newlabel{sec:intromethodeGMM@cref}{{[section][1][4]4.1}{49}}
|
||||
\newlabel{eq:vraisemblance}{{4.1.1}{49}{Introduction}{equation.4.1.0.1}{}}
|
||||
\newlabel{eq:vraisemblance@cref}{{[equation][1][4,1]4.1.1}{49}}
|
||||
\newlabel{eq:thetavraisemblance}{{4.1.2}{49}{Introduction}{equation.4.1.0.2}{}}
|
||||
\newlabel{eq:thetavraisemblance@cref}{{[equation][2][4,1]4.1.2}{49}}
|
||||
\newlabel{eq:EEvraisemblance}{{4.1.3}{49}{Introduction}{equation.4.1.0.3}{}}
|
||||
\newlabel{eq:EEvraisemblance@cref}{{[equation][3][4,1]4.1.3}{49}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.1.1}M\IeC {\'e}thode classique des moments}{50}{subsection.4.1.1}}
|
||||
\newlabel{sec:methodemoments}{{4.1.1}{50}{Méthode classique des moments}{subsection.4.1.1}{}}
|
||||
\newlabel{sec:methodemoments@cref}{{[subsection][1][4,1]4.1.1}{50}}
|
||||
\newlabel{eq:momentspopulation}{{4.1.4}{50}{Méthode classique des moments}{equation.4.1.0.4}{}}
|
||||
\newlabel{eq:momentspopulation@cref}{{[equation][4][4,1]4.1.4}{50}}
|
||||
\newlabel{eq:momentsechantillon}{{4.1.5}{50}{Méthode classique des moments}{equation.4.1.0.5}{}}
|
||||
\newlabel{eq:momentsechantillon@cref}{{[equation][5][4,1]4.1.5}{50}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {4.2}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{50}{section.4.2}}
|
||||
\newlabel{sec:methodeGMM}{{4.2}{50}{Méthode des moments généralisée}{section.4.2}{}}
|
||||
\newlabel{sec:methodeGMM@cref}{{[section][2][4]4.2}{50}}
|
||||
\citation{hansen1982large}
|
||||
\citation{berkson1980minimum}
|
||||
\citation{wolfowitz1957minimum}
|
||||
\newlabel{eq:1}{{4.2.1}{51}{Méthode des moments généralisée}{equation.4.2.0.1}{}}
|
||||
\newlabel{eq:1@cref}{{[equation][1][4,2]4.2.1}{51}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.2.1}D\IeC {\'e}finition}{51}{subsection.4.2.1}}
|
||||
\newlabel{sec:definitionGMM}{{4.2.1}{51}{Définition}{subsection.4.2.1}{}}
|
||||
\newlabel{sec:definitionGMM@cref}{{[subsection][1][4,2]4.2.1}{51}}
|
||||
\newlabel{eq:def1condmoment}{{4.2.3}{51}{Définition}{equation.4.2.0.3}{}}
|
||||
\newlabel{eq:def1condmoment@cref}{{[equation][3][4,2]4.2.3}{51}}
|
||||
\newlabel{eq:estimateurfonctiongh}{{4.2.5}{51}{Définition}{equation.4.2.0.5}{}}
|
||||
\newlabel{eq:estimateurfonctiongh@cref}{{[equation][5][4,2]4.2.5}{51}}
|
||||
\citation{hansen1982large}
|
||||
\newlabel{eq:objectifGMM1}{{4.2.6}{52}{Définition}{equation.4.2.0.6}{}}
|
||||
\newlabel{eq:objectifGMM1@cref}{{[equation][6][4,2]4.2.6}{52}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.2.2}Convergence}{52}{subsection.4.2.2}}
|
||||
\newlabel{sec:convergenceGMM}{{4.2.2}{52}{Convergence}{subsection.4.2.2}{}}
|
||||
\newlabel{sec:convergenceGMM@cref}{{[subsection][2][4,2]4.2.2}{52}}
|
||||
\newlabel{eq:paramegalecondmomentsGMM}{{4.2.7}{52}{Convergence}{equation.4.2.0.7}{}}
|
||||
\newlabel{eq:paramegalecondmomentsGMM@cref}{{[equation][7][4,2]4.2.7}{52}}
|
||||
\newlabel{eq:normequadratique}{{4.2.8}{52}{Convergence}{equation.4.2.0.8}{}}
|
||||
\newlabel{eq:normequadratique@cref}{{[equation][8][4,2]4.2.8}{52}}
|
||||
\newlabel{eq:conditionGMM1.1}{{4.2.9}{52}{Convergence}{equation.4.2.0.9}{}}
|
||||
\newlabel{eq:conditionGMM1.1@cref}{{[equation][9][4,2]4.2.9}{52}}
|
||||
\newlabel{eq:conditionGMM1.2}{{4.2.10}{53}{Convergence}{equation.4.2.0.10}{}}
|
||||
\newlabel{eq:conditionGMM1.2@cref}{{[equation][10][4,2]4.2.10}{53}}
|
||||
\newlabel{eq:conditionGMM2.1}{{4.2.11}{53}{Convergence}{equation.4.2.0.11}{}}
|
||||
\newlabel{eq:conditionGMM2.1@cref}{{[equation][11][4,2]4.2.11}{53}}
|
||||
\newlabel{eq:conditionGMM2.2}{{4.2.12}{53}{Convergence}{equation.4.2.0.12}{}}
|
||||
\newlabel{eq:conditionGMM2.2@cref}{{[equation][12][4,2]4.2.12}{53}}
|
||||
\newlabel{eq:estimateurGMM}{{4.2.13}{53}{Convergence}{equation.4.2.0.13}{}}
|
||||
\newlabel{eq:estimateurGMM@cref}{{[equation][13][4,2]4.2.13}{53}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.2.3}Matrice de pond\IeC {\'e}ration optimale}{53}{subsection.4.2.3}}
|
||||
\newlabel{sec:matriceWoptimaleGMM}{{4.2.3}{53}{Matrice de pondération optimale}{subsection.4.2.3}{}}
|
||||
\newlabel{sec:matriceWoptimaleGMM@cref}{{[subsection][3][4,2]4.2.3}{53}}
|
||||
\newlabel{eq:matricevcov1}{{4.2.14}{53}{Matrice de pondération optimale}{equation.4.2.0.14}{}}
|
||||
\newlabel{eq:matricevcov1@cref}{{[equation][14][4,2]4.2.14}{53}}
|
||||
\citation{hamilton1994time}
|
||||
\citation{wooldridge2001econometric}
|
||||
\citation{hall2005generalized}
|
||||
\newlabel{eq:matriceWinvercevcov}{{4.2.16}{54}{Matrice de pondération optimale}{equation.4.2.0.16}{}}
|
||||
\newlabel{eq:matriceWinvercevcov@cref}{{[equation][16][4,2]4.2.16}{54}}
|
||||
\newlabel{eq:objectifGMM2}{{4.2.17}{54}{Matrice de pondération optimale}{equation.4.2.0.17}{}}
|
||||
\newlabel{eq:objectifGMM2@cref}{{[equation][17][4,2]4.2.17}{54}}
|
||||
\newlabel{eq:estimateurGMM2}{{4.2.18}{54}{Matrice de pondération optimale}{equation.4.2.0.18}{}}
|
||||
\newlabel{eq:estimateurGMM2@cref}{{[equation][18][4,2]4.2.18}{54}}
|
||||
\newlabel{eq:matponderationproduith}{{4.2.19}{54}{Matrice de pondération optimale}{equation.4.2.0.19}{}}
|
||||
\newlabel{eq:matponderationproduith@cref}{{[equation][19][4,2]4.2.19}{54}}
|
||||
\newlabel{eq:matvcovGMM}{{4.2.21}{54}{Matrice de pondération optimale}{equation.4.2.0.21}{}}
|
||||
\newlabel{eq:matvcovGMM@cref}{{[equation][21][4,2]4.2.21}{54}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.2.4}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e it\IeC {\'e}rative}{55}{subsection.4.2.4}}
|
||||
\newlabel{sec:GMMtwostep}{{4.2.4}{55}{Méthode des moments généralisée itérative}{subsection.4.2.4}{}}
|
||||
\newlabel{sec:GMMtwostep@cref}{{[subsection][4][4,2]4.2.4}{55}}
|
||||
\newlabel{eq:criterearret}{{4.2.23}{55}{Méthode des moments généralisée itérative}{equation.4.2.0.23}{}}
|
||||
\newlabel{eq:criterearret@cref}{{[equation][23][4,2]4.2.23}{55}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.2.5}Distribution asymptotique des estimateurs}{55}{subsection.4.2.5}}
|
||||
\newlabel{sec:matvcovGMM}{{4.2.5}{55}{Distribution asymptotique des estimateurs}{subsection.4.2.5}{}}
|
||||
\newlabel{sec:matvcovGMM@cref}{{[subsection][5][4,2]4.2.5}{55}}
|
||||
\newlabel{eq:premierordreGMM}{{4.2.24}{55}{Distribution asymptotique des estimateurs}{equation.4.2.0.24}{}}
|
||||
\newlabel{eq:premierordreGMM@cref}{{[equation][24][4,2]4.2.24}{55}}
|
||||
\citation{gourieroux1989statistique}
|
||||
\newlabel{eq:gradientGMM}{{4.2.25}{56}{Distribution asymptotique des estimateurs}{equation.4.2.0.25}{}}
|
||||
\newlabel{eq:gradientGMM@cref}{{[equation][25][4,2]4.2.25}{56}}
|
||||
\newlabel{eq:TCL-GMM}{{4.2.26}{56}{Distribution asymptotique des estimateurs}{equation.4.2.0.26}{}}
|
||||
\newlabel{eq:TCL-GMM@cref}{{[equation][26][4,2]4.2.26}{56}}
|
||||
\newlabel{eq:varasympt.1}{{4.2.27}{56}{Distribution asymptotique des estimateurs}{equation.4.2.0.27}{}}
|
||||
\newlabel{eq:varasympt.1@cref}{{[equation][27][4,2]4.2.27}{56}}
|
||||
\newlabel{eq:varasympt.3}{{4.2.28}{56}{Distribution asymptotique des estimateurs}{equation.4.2.0.28}{}}
|
||||
\newlabel{eq:varasympt.3@cref}{{[equation][28][4,2]4.2.28}{56}}
|
||||
\newlabel{eq:taylorfonction.g}{{4.2.29}{57}{Distribution asymptotique des estimateurs}{equation.4.2.0.29}{}}
|
||||
\newlabel{eq:taylorfonction.g@cref}{{[equation][29][4,2]4.2.29}{57}}
|
||||
\newlabel{eq:taylorfonction.gprod}{{4.2.30}{57}{Distribution asymptotique des estimateurs}{equation.4.2.0.30}{}}
|
||||
\newlabel{eq:taylorfonction.gprod@cref}{{[equation][30][4,2]4.2.30}{57}}
|
||||
\newlabel{eq:taylorfonction.gprod2}{{4.2.31}{57}{Distribution asymptotique des estimateurs}{equation.4.2.0.31}{}}
|
||||
\newlabel{eq:taylorfonction.gprod2@cref}{{[equation][31][4,2]4.2.31}{57}}
|
||||
\newlabel{eq:taylorfonction.gprod3}{{4.2.32}{57}{Distribution asymptotique des estimateurs}{equation.4.2.0.32}{}}
|
||||
\newlabel{eq:taylorfonction.gprod3@cref}{{[equation][32][4,2]4.2.32}{57}}
|
||||
\newlabel{eq:taylorfonction.gprod4}{{4.2.33}{57}{Distribution asymptotique des estimateurs}{equation.4.2.0.33}{}}
|
||||
\newlabel{eq:taylorfonction.gprod4@cref}{{[equation][33][4,2]4.2.33}{57}}
|
||||
\newlabel{matricevcovparamGMMnc}{{4.2.35}{58}{Distribution asymptotique des estimateurs}{equation.4.2.0.35}{}}
|
||||
\newlabel{matricevcovparamGMMnc@cref}{{[equation][35][4,2]4.2.35}{58}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {4.3}Estimation sous contraintes}{58}{section.4.3}}
|
||||
\newlabel{sec:estimGMMcontraint}{{4.3}{58}{Estimation sous contraintes}{section.4.3}{}}
|
||||
\newlabel{sec:estimGMMcontraint@cref}{{[section][3][4]4.3}{58}}
|
||||
\newlabel{eq:contraintelin0}{{4.3.1}{58}{Estimation sous contraintes}{equation.4.3.0.1}{}}
|
||||
\newlabel{eq:contraintelin0@cref}{{[equation][1][4,3]4.3.1}{58}}
|
||||
\newlabel{eq:contraintelin}{{4.3.2}{58}{Estimation sous contraintes}{equation.4.3.0.2}{}}
|
||||
\newlabel{eq:contraintelin@cref}{{[equation][2][4,3]4.3.2}{58}}
|
||||
\newlabel{eq:gradientcontrainte}{{4.3.3}{58}{Estimation sous contraintes}{equation.4.3.0.3}{}}
|
||||
\newlabel{eq:gradientcontrainte@cref}{{[equation][3][4,3]4.3.3}{58}}
|
||||
\newlabel{eq:estimateurGMMlagrange}{{4.3.4}{59}{Estimation sous contraintes}{equation.4.3.0.4}{}}
|
||||
\newlabel{eq:estimateurGMMlagrange@cref}{{[equation][4][4,3]4.3.4}{59}}
|
||||
\newlabel{eq:lagrangienGMMcontraint}{{4.3.5}{59}{Estimation sous contraintes}{equation.4.3.0.5}{}}
|
||||
\newlabel{eq:lagrangienGMMcontraint@cref}{{[equation][5][4,3]4.3.5}{59}}
|
||||
\newlabel{eq:premierordreGMMlagrange1}{{4.3.6}{59}{Estimation sous contraintes}{equation.4.3.0.6}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange1@cref}{{[equation][6][4,3]4.3.6}{59}}
|
||||
\newlabel{eq:premierordreGMMlagrange2}{{4.3.7}{59}{Estimation sous contraintes}{equation.4.3.0.7}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange2@cref}{{[equation][7][4,3]4.3.7}{59}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.3.1}Distribution asymptotique des estimateurs contraints}{59}{subsection.4.3.1}}
|
||||
\newlabel{sec:matvcovGMMconst}{{4.3.1}{59}{Distribution asymptotique des estimateurs contraints}{subsection.4.3.1}{}}
|
||||
\newlabel{sec:matvcovGMMconst@cref}{{[subsection][1][4,3]4.3.1}{59}}
|
||||
\newlabel{eq:premierordreGMMlagrange1.1-2}{{4.3.8}{59}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.8.8}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange1.1-2@cref}{{[equation][8][4,3]4.3.8}{59}}
|
||||
\newlabel{eq:premierordreGMMlagrange1.1}{{4.3.8a}{59}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.8a}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange1.1@cref}{{[equation][1][4,3,8]4.3.8a}{59}}
|
||||
\newlabel{eq:premierordreGMMlagrange1.2}{{4.3.8b}{59}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.8b}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange1.2@cref}{{[equation][2][4,3,8]4.3.8b}{59}}
|
||||
\newlabel{eq:fisherJGMMlagrange}{{4.3.9}{59}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.9}{}}
|
||||
\newlabel{eq:fisherJGMMlagrange@cref}{{[equation][9][4,3]4.3.9}{59}}
|
||||
\newlabel{eq:premierordreGMMnc1.1}{{4.3.10}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.10}{}}
|
||||
\newlabel{eq:premierordreGMMnc1.1@cref}{{[equation][10][4,3]4.3.10}{60}}
|
||||
\newlabel{eq:premierordreGMMlagrange2.1}{{4.3.11}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.11}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange2.1@cref}{{[equation][11][4,3]4.3.11}{60}}
|
||||
\newlabel{eq:premierordreGMMlagrange2.2}{{4.3.12}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.12}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange2.2@cref}{{[equation][12][4,3]4.3.12}{60}}
|
||||
\newlabel{eq:premierordreGMMlagrange3.1}{{4.3.13}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.13}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange3.1@cref}{{[equation][13][4,3]4.3.13}{60}}
|
||||
\newlabel{eq:premierordreGMMlagrange3.2}{{4.3.14}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.14}{}}
|
||||
\newlabel{eq:premierordreGMMlagrange3.2@cref}{{[equation][14][4,3]4.3.14}{60}}
|
||||
\newlabel{eq:LagrangienJ.GMM}{{4.3.15}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.15}{}}
|
||||
\newlabel{eq:LagrangienJ.GMM@cref}{{[equation][15][4,3]4.3.15}{60}}
|
||||
\newlabel{eq:contraintvsncGMM}{{4.3.16}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.16}{}}
|
||||
\newlabel{eq:contraintvsncGMM@cref}{{[equation][16][4,3]4.3.16}{60}}
|
||||
\newlabel{eq:VcontraintGMM}{{4.3.17}{60}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.17}{}}
|
||||
\newlabel{eq:VcontraintGMM@cref}{{[equation][17][4,3]4.3.17}{60}}
|
||||
\citation{newey1994large}
|
||||
\newlabel{eq:distcontraintGMM}{{4.3.18}{61}{Distribution asymptotique des estimateurs contraints}{equation.4.3.0.18}{}}
|
||||
\newlabel{eq:distcontraintGMM@cref}{{[equation][18][4,3]4.3.18}{61}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {4.4}Tests d'hypoth\IeC {\`e}ses param\IeC {\'e}triques}{61}{section.4.4}}
|
||||
\newlabel{sec:testparam}{{4.4}{61}{Tests d'hypothèses paramétriques}{section.4.4}{}}
|
||||
\newlabel{sec:testparam@cref}{{[section][4][4]4.4}{61}}
|
||||
\newlabel{eq:hypcontraintelin}{{4.4.1}{61}{Tests d'hypothèses paramétriques}{equation.4.4.0.1}{}}
|
||||
\newlabel{eq:hypcontraintelin@cref}{{[equation][1][4,4]4.4.1}{61}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.4.1}Test de Wald}{61}{subsection.4.4.1}}
|
||||
\newlabel{sec:testwald}{{4.4.1}{61}{Test de Wald}{subsection.4.4.1}{}}
|
||||
\newlabel{sec:testwald@cref}{{[subsection][1][4,4]4.4.1}{61}}
|
||||
\newlabel{eq:7}{{4.4.2}{61}{Test de Wald}{equation.4.4.0.2}{}}
|
||||
\newlabel{eq:7@cref}{{[equation][2][4,4]4.4.2}{61}}
|
||||
\newlabel{eq:moyennevariancesomme}{{4.4.3}{61}{Test de Wald}{equation.4.4.0.3}{}}
|
||||
\newlabel{eq:moyennevariancesomme@cref}{{[equation][3][4,4]4.4.3}{61}}
|
||||
\citation{newey1987hypothesis}
|
||||
\newlabel{eq:statistiqueWald}{{4.4.5}{62}{Test de Wald}{equation.4.4.0.5}{}}
|
||||
\newlabel{eq:statistiqueWald@cref}{{[equation][5][4,4]4.4.5}{62}}
|
||||
\newlabel{eq:statistiqueWald2}{{4.4.6}{62}{Test de Wald}{equation.4.4.0.6}{}}
|
||||
\newlabel{eq:statistiqueWald2@cref}{{[equation][6][4,4]4.4.6}{62}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.4.2}Test du multiplicateur de Lagrange}{62}{subsection.4.4.2}}
|
||||
\newlabel{sec:testscore}{{4.4.2}{62}{Test du multiplicateur de Lagrange}{subsection.4.4.2}{}}
|
||||
\newlabel{sec:testscore@cref}{{[subsection][2][4,4]4.4.2}{62}}
|
||||
\newlabel{statistiqueLM}{{4.4.7}{62}{Test du multiplicateur de Lagrange}{equation.4.4.0.7}{}}
|
||||
\newlabel{statistiqueLM@cref}{{[equation][7][4,4]4.4.7}{62}}
|
||||
\newlabel{eq:statistiqueLM2}{{4.4.8}{63}{Test du multiplicateur de Lagrange}{equation.4.4.0.8}{}}
|
||||
\newlabel{eq:statistiqueLM2@cref}{{[equation][8][4,4]4.4.8}{63}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.4.3}Test bas\IeC {\'e} sur la statistique de m\IeC {\'e}trique de distance}{63}{subsection.4.4.3}}
|
||||
\newlabel{statistiqueD}{{4.4.9}{63}{Test basé sur la statistique de métrique de distance}{equation.4.4.0.9}{}}
|
||||
\newlabel{statistiqueD@cref}{{[equation][9][4,4]4.4.9}{63}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {4.4.4}En r\IeC {\'e}sum\IeC {\'e}}{63}{subsection.4.4.4}}
|
||||
\newlabel{sec:resumetests}{{4.4.4}{63}{En résumé}{subsection.4.4.4}{}}
|
||||
\newlabel{sec:resumetests@cref}{{[subsection][4][4,4]4.4.4}{63}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {4.1}{\ignorespaces Tests d'hypoth\IeC {\`e}se param\IeC {\'e}triques pour la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{63}{table.caption.25}}
|
||||
\newlabel{tab:testsparamGMM}{{4.1}{63}{Tests d'hypothèse paramétriques pour la méthode des moments généralisée\relax }{table.caption.25}{}}
|
||||
\newlabel{tab:testsparamGMM@cref}{{[table][1][4]4.1}{63}}
|
||||
\@setckpt{chapitre4}{
|
||||
\setcounter{page}{64}
|
||||
\setcounter{equation}{9}
|
||||
\setcounter{enumi}{3}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{4}
|
||||
\setcounter{section}{4}
|
||||
\setcounter{subsection}{4}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{82}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{1}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{24}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{64}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,167 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{everitt2006cambridge}
|
||||
\citation{crowder1986consistency}
|
||||
\citation{crowder1987linear}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {5}M\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale}{65}{chapter.5}}
|
||||
\newlabel{eq:generalEE86}{{5.0.1}{65}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.1}{}}
|
||||
\newlabel{eq:generalEE86@cref}{{[equation][1][5,0]5.0.1}{65}}
|
||||
\newlabel{eq:generalEE87}{{5.0.2}{65}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.2}{}}
|
||||
\newlabel{eq:generalEE87@cref}{{[equation][2][5,0]5.0.2}{65}}
|
||||
\newlabel{eq:EEsansbiais}{{5.0.3}{65}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.3}{}}
|
||||
\newlabel{eq:EEsansbiais@cref}{{[equation][3][5,0]5.0.3}{65}}
|
||||
\citation{fox1986large}
|
||||
\citation{crowder1987linear}
|
||||
\newlabel{eq:scoreEMV}{{5.0.4}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.4}{}}
|
||||
\newlabel{eq:scoreEMV@cref}{{[equation][4][5,0]5.0.4}{66}}
|
||||
\newlabel{eq:derivmom}{{5.0.5}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.5.5}{}}
|
||||
\newlabel{eq:derivmom@cref}{{[equation][5][5,0]5.0.5}{66}}
|
||||
\newlabel{eq:derivmom1}{{5.0.5a}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.5a}{}}
|
||||
\newlabel{eq:derivmom1@cref}{{[equation][1][5,0,5]5.0.5a}{66}}
|
||||
\newlabel{eq:derivmom2}{{5.0.5b}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.5b}{}}
|
||||
\newlabel{eq:derivmom2@cref}{{[equation][2][5,0,5]5.0.5b}{66}}
|
||||
\newlabel{eq:generalquad}{{5.0.6}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.6}{}}
|
||||
\newlabel{eq:generalquad@cref}{{[equation][6][5,0]5.0.6}{66}}
|
||||
\newlabel{eq:vecteuroptimal.ab}{{5.0.7}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.7}{}}
|
||||
\newlabel{eq:vecteuroptimal.ab@cref}{{[equation][7][5,0]5.0.7}{66}}
|
||||
\newlabel{eq:demogeneralquad-convergent}{{5.0.8}{66}{Méthode de l'équation d'estimation optimale}{equation.5.0.0.8}{}}
|
||||
\newlabel{eq:demogeneralquad-convergent@cref}{{[equation][8][5,0]5.0.8}{66}}
|
||||
\citation{crowder1986consistency}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {5.1}{\ignorespaces M\IeC {\'e}thodes d'estimation repr\IeC {\'e}sentables par la forme quadratique \textup {\hbox {\mathsurround \z@ \normalfont (\ignorespaces \ref {eq:generalquad}\unskip \@@italiccorr )}} \relax }}{67}{table.caption.26}}
|
||||
\newlabel{tab:methodesquad}{{5.1}{67}{Méthodes d'estimation représentables par la forme quadratique \eqref {eq:generalquad} \relax }{table.caption.26}{}}
|
||||
\newlabel{tab:methodesquad@cref}{{[table][1][5]5.1}{67}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {5.1}\IeC {\'E}quation d'estimation optimale}{67}{section.5.1}}
|
||||
\newlabel{sec:equationsquadopt}{{5.1}{67}{Équation d'estimation optimale}{section.5.1}{}}
|
||||
\newlabel{sec:equationsquadopt@cref}{{[section][1][5]5.1}{67}}
|
||||
\newlabel{eq:Crowder86-th4.1-def}{{5.1.1}{67}{Équation d'estimation optimale}{equation.5.1.0.1}{}}
|
||||
\newlabel{eq:Crowder86-th4.1-def@cref}{{[equation][1][5,1]5.1.1}{67}}
|
||||
\newlabel{eq:Crowder86-th3.3-def}{{5.1.3}{67}{Équation d'estimation optimale}{equation.5.1.0.3.3}{}}
|
||||
\newlabel{eq:Crowder86-th3.3-def@cref}{{[equation][3][5,1]5.1.3}{67}}
|
||||
\newlabel{eq:Crowder86-th3.3-def-1}{{5.1.3a}{67}{Équation d'estimation optimale}{equation.5.1.0.3a}{}}
|
||||
\newlabel{eq:Crowder86-th3.3-def-1@cref}{{[equation][1][5,1,3]5.1.3a}{67}}
|
||||
\newlabel{eq:Crowder86-th3.3-def-2}{{5.1.3b}{67}{Équation d'estimation optimale}{equation.5.1.0.3b}{}}
|
||||
\newlabel{eq:Crowder86-th3.3-def-2@cref}{{[equation][2][5,1,3]5.1.3b}{67}}
|
||||
\newlabel{eq:VarAsymptEstEE}{{5.1.4}{67}{Équation d'estimation optimale}{equation.5.1.0.4}{}}
|
||||
\newlabel{eq:VarAsymptEstEE@cref}{{[equation][4][5,1]5.1.4}{67}}
|
||||
\newlabel{eq:Crowdervecteuroptimal}{{5.1.5}{68}{Équation d'estimation optimale}{equation.5.1.0.5}{}}
|
||||
\newlabel{eq:Crowdervecteuroptimal@cref}{{[equation][5][5,1]5.1.5}{68}}
|
||||
\newlabel{eq:13}{{5.1.6}{68}{Équation d'estimation optimale}{equation.5.1.0.6}{}}
|
||||
\newlabel{eq:13@cref}{{[equation][6][5,1]5.1.6}{68}}
|
||||
\newlabel{eq:15}{{5.1.8}{68}{Équation d'estimation optimale}{equation.5.1.0.8}{}}
|
||||
\newlabel{eq:15@cref}{{[equation][8][5,1]5.1.8}{68}}
|
||||
\newlabel{eq:16}{{5.1.9}{68}{Équation d'estimation optimale}{equation.5.1.0.9}{}}
|
||||
\newlabel{eq:16@cref}{{[equation][9][5,1]5.1.9}{68}}
|
||||
\newlabel{eq:matvcov-u-EE}{{5.1.10}{68}{Équation d'estimation optimale}{equation.5.1.0.10}{}}
|
||||
\newlabel{eq:matvcov-u-EE@cref}{{[equation][10][5,1]5.1.10}{68}}
|
||||
\newlabel{eq:momentsupgamma}{{5.1.11}{69}{Équation d'estimation optimale}{equation.5.1.0.11.11}{}}
|
||||
\newlabel{eq:momentsupgamma@cref}{{[equation][11][5,1]5.1.11}{69}}
|
||||
\newlabel{eq:momentsupgamma1}{{5.1.11a}{69}{Équation d'estimation optimale}{equation.5.1.0.11a}{}}
|
||||
\newlabel{eq:momentsupgamma1@cref}{{[equation][1][5,1,11]5.1.11a}{69}}
|
||||
\newlabel{eq:momentsupgamma2}{{5.1.11b}{69}{Équation d'estimation optimale}{equation.5.1.0.11b}{}}
|
||||
\newlabel{eq:momentsupgamma2@cref}{{[equation][2][5,1,11]5.1.11b}{69}}
|
||||
\newlabel{eq:momentsupgamma3}{{5.1.11c}{69}{Équation d'estimation optimale}{equation.5.1.0.11c}{}}
|
||||
\newlabel{eq:momentsupgamma3@cref}{{[equation][3][5,1,11]5.1.11c}{69}}
|
||||
\newlabel{eq:18}{{5.1.12}{69}{Équation d'estimation optimale}{equation.5.1.0.12}{}}
|
||||
\newlabel{eq:18@cref}{{[equation][12][5,1]5.1.12}{69}}
|
||||
\newlabel{eq:19}{{5.1.15}{69}{Équation d'estimation optimale}{equation.5.1.0.15}{}}
|
||||
\newlabel{eq:19@cref}{{[equation][15][5,1]5.1.15}{69}}
|
||||
\newlabel{eq:coefficientscrowder}{{5.1.17}{70}{Équation d'estimation optimale}{equation.5.1.0.17.17}{}}
|
||||
\newlabel{eq:coefficientscrowder@cref}{{[equation][17][5,1]5.1.17}{70}}
|
||||
\newlabel{eq:acrowder}{{5.1.17a}{70}{Équation d'estimation optimale}{equation.5.1.0.17a}{}}
|
||||
\newlabel{eq:acrowder@cref}{{[equation][1][5,1,17]5.1.17a}{70}}
|
||||
\newlabel{eq:bcrowder}{{5.1.17b}{70}{Équation d'estimation optimale}{equation.5.1.0.17b}{}}
|
||||
\newlabel{eq:bcrowder@cref}{{[equation][2][5,1,17]5.1.17b}{70}}
|
||||
\newlabel{eq:Moptimalestimetheta}{{5.1.18}{70}{Équation d'estimation optimale}{equation.5.1.0.18}{}}
|
||||
\newlabel{eq:Moptimalestimetheta@cref}{{[equation][18][5,1]5.1.18}{70}}
|
||||
\newlabel{eq:eqnobjectifEE}{{5.1.19}{70}{Équation d'estimation optimale}{equation.5.1.0.19}{}}
|
||||
\newlabel{eq:eqnobjectifEE@cref}{{[equation][19][5,1]5.1.19}{70}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {5.2}\IeC {\'E}quation d'estimation optimale modifi\IeC {\'e}e}{70}{section.5.2}}
|
||||
\newlabel{sec:eqoptmodif}{{5.2}{70}{Équation d'estimation optimale modifiée}{section.5.2}{}}
|
||||
\newlabel{sec:eqoptmodif@cref}{{[section][2][5]5.2}{70}}
|
||||
\newlabel{eq:vecteurcrowdermod}{{5.2.1}{70}{Équation d'estimation optimale modifiée}{equation.5.2.0.1.1}{}}
|
||||
\newlabel{eq:vecteurcrowdermod@cref}{{[equation][1][5,2]5.2.1}{70}}
|
||||
\newlabel{eq:acrowdermod}{{5.2.1a}{70}{Équation d'estimation optimale modifiée}{equation.5.2.0.1a}{}}
|
||||
\newlabel{eq:acrowdermod@cref}{{[equation][1][5,2,1]5.2.1a}{70}}
|
||||
\newlabel{eq:bcrowdermod}{{5.2.1b}{70}{Équation d'estimation optimale modifiée}{equation.5.2.0.1b}{}}
|
||||
\newlabel{eq:bcrowdermod@cref}{{[equation][2][5,2,1]5.2.1b}{70}}
|
||||
\newlabel{eq:coeffemp}{{5.2.1c}{70}{Équation d'estimation optimale modifiée}{equation.5.2.0.1c}{}}
|
||||
\newlabel{eq:coeffemp@cref}{{[equation][3][5,2,1]5.2.1c}{70}}
|
||||
\@setckpt{chapitre5}{
|
||||
\setcounter{page}{72}
|
||||
\setcounter{equation}{1}
|
||||
\setcounter{enumi}{3}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{5}
|
||||
\setcounter{section}{2}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{90}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{1}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{24}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{67}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,25 +0,0 @@
|
|||
This is pdfTeX, Version 3.1415926-2.4-1.40.13 (TeX Live 2012/Debian) (format=pdflatex 2013.3.10) 5 MAY 2013 21:14
|
||||
entering extended mode
|
||||
restricted \write18 enabled.
|
||||
%&-line parsing enabled.
|
||||
**\input chapitre5.tex
|
||||
(./chapitre5.tex
|
||||
! Undefined control sequence.
|
||||
l.1 \chapter
|
||||
{Estimation du modèle Laplace asymétrique généralisé}
|
||||
? X
|
||||
|
||||
Here is how much of TeX's memory you used:
|
||||
5 strings out of 493485
|
||||
141 string characters out of 3143526
|
||||
47818 words of memory out of 3000000
|
||||
3412 multiletter control sequences out of 15000+200000
|
||||
3640 words of font info for 14 fonts, out of 3000000 for 9000
|
||||
957 hyphenation exceptions out of 8191
|
||||
4i,0n,3p,91b,8s stack positions out of 5000i,500n,10000p,200000b,50000s
|
||||
No pages of output.
|
||||
PDF statistics:
|
||||
0 PDF objects out of 1000 (max. 8388607)
|
||||
0 named destinations out of 1000 (max. 500000)
|
||||
1 words of extra memory for PDF output out of 10000 (max. 10000000)
|
||||
|
||||
|
|
@ -1,132 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{seneta2004fitting}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {6}Estimation des param\IeC {\`e}tres de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{73}{chapter.6}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {6.1}Vecteur de param\IeC {\`e}tres initiaux}{73}{section.6.1}}
|
||||
\newlabel{sec:condinitGAL}{{6.1}{73}{Vecteur de paramètres initiaux}{section.6.1}{}}
|
||||
\newlabel{sec:condinitGAL@cref}{{[section][1][6]6.1}{73}}
|
||||
\newlabel{eq:hypotheseMoM}{{6.1.1}{74}{Vecteur de paramètres initiaux}{equation.6.1.0.1}{}}
|
||||
\newlabel{eq:hypotheseMoM@cref}{{[equation][1][6,1]6.1.1}{74}}
|
||||
\newlabel{eq:ptdepartGAL}{{6.1.2}{74}{Vecteur de paramètres initiaux}{equation.6.1.0.2.2}{}}
|
||||
\newlabel{eq:ptdepartGAL@cref}{{[equation][2][6,1]6.1.2}{74}}
|
||||
\newlabel{eq:ptdepartGAL1}{{6.1.2a}{74}{Vecteur de paramètres initiaux}{equation.6.1.0.2a}{}}
|
||||
\newlabel{eq:ptdepartGAL1@cref}{{[equation][1][6,1,2]6.1.2a}{74}}
|
||||
\newlabel{eq:ptdepartGAL2}{{6.1.2b}{74}{Vecteur de paramètres initiaux}{equation.6.1.0.2b}{}}
|
||||
\newlabel{eq:ptdepartGAL2@cref}{{[equation][2][6,1,2]6.1.2b}{74}}
|
||||
\newlabel{eq:ptdepartGAL3}{{6.1.2c}{74}{Vecteur de paramètres initiaux}{equation.6.1.0.2c}{}}
|
||||
\newlabel{eq:ptdepartGAL3@cref}{{[equation][3][6,1,2]6.1.2c}{74}}
|
||||
\newlabel{eq:ptdepartGAL4}{{6.1.2d}{74}{Vecteur de paramètres initiaux}{equation.6.1.0.2d}{}}
|
||||
\newlabel{eq:ptdepartGAL4@cref}{{[equation][4][6,1,2]6.1.2d}{74}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {6.2}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{74}{section.6.2}}
|
||||
\newlabel{eq:condmom}{{6.2.1}{74}{Méthode des moments généralisée}{equation.6.2.0.1}{}}
|
||||
\newlabel{eq:condmom@cref}{{[equation][1][6,2]6.2.1}{74}}
|
||||
\newlabel{eq:condmomGAL}{{6.2.2}{74}{Méthode des moments généralisée}{equation.6.2.0.2}{}}
|
||||
\newlabel{eq:condmomGAL@cref}{{[equation][2][6,2]6.2.2}{74}}
|
||||
\newlabel{eq:condmomEMP}{{6.2.3}{75}{Méthode des moments généralisée}{equation.6.2.0.3}{}}
|
||||
\newlabel{eq:condmomEMP@cref}{{[equation][3][6,2]6.2.3}{75}}
|
||||
\newlabel{eq:condmomEMPGAL}{{6.2.4}{75}{Méthode des moments généralisée}{equation.6.2.0.4}{}}
|
||||
\newlabel{eq:condmomEMPGAL@cref}{{[equation][4][6,2]6.2.4}{75}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {6.2.1}Matrice de pond\IeC {\'e}ration optimale}{75}{subsection.6.2.1}}
|
||||
\newlabel{eq:matvcovGMMemp1}{{6.2.7}{76}{Matrice de pondération optimale}{equation.6.2.0.7}{}}
|
||||
\newlabel{eq:matvcovGMMemp1@cref}{{[equation][7][6,2]6.2.7}{76}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {6.2.2}Variance-covariance des param\IeC {\`e}tres}{76}{subsection.6.2.2}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {6.2.3}Contraintes lin\IeC {\'e}aires}{77}{subsection.6.2.3}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {6.1}{\ignorespaces Contraintes lin\IeC {\'e}aires pour les cas particuliers de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e $GAL(\theta ,\sigma ,\mu ,\tau )$\relax }}{77}{table.caption.27}}
|
||||
\newlabel{tab:contraintesGAL}{{6.1}{77}{Contraintes linéaires pour les cas particuliers de la distribution de Laplace asymétrique généralisée $GAL(\theta ,\sigma ,\mu ,\tau )$\relax }{table.caption.27}{}}
|
||||
\newlabel{tab:contraintesGAL@cref}{{[table][1][6]6.1}{77}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {6.3}M\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale}{78}{section.6.3}}
|
||||
\newlabel{sec:CrowderGAL}{{6.3}{78}{Méthode de l'équation d'estimation optimale}{section.6.3}{}}
|
||||
\newlabel{sec:CrowderGAL@cref}{{[section][3][6]6.3}{78}}
|
||||
\newlabel{eq:derivmomGAL}{{6.3.1}{78}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.1.1}{}}
|
||||
\newlabel{eq:derivmomGAL@cref}{{[equation][1][6,3]6.3.1}{78}}
|
||||
\newlabel{eq:derivmom1GAL}{{6.3.1a}{78}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.1a}{}}
|
||||
\newlabel{eq:derivmom1GAL@cref}{{[equation][1][6,3,1]6.3.1a}{78}}
|
||||
\newlabel{eq:derivmom2GAL}{{6.3.1b}{78}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.1b}{}}
|
||||
\newlabel{eq:derivmom2GAL@cref}{{[equation][2][6,3,1]6.3.1b}{78}}
|
||||
\newlabel{eq:vecteurcrowdermodGAL}{{6.3.2}{79}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.2.2}{}}
|
||||
\newlabel{eq:vecteurcrowdermodGAL@cref}{{[equation][2][6,3]6.3.2}{79}}
|
||||
\newlabel{eq:generalquadmod}{{6.3.3}{79}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.3}{}}
|
||||
\newlabel{eq:generalquadmod@cref}{{[equation][3][6,3]6.3.3}{79}}
|
||||
\newlabel{eq:defcentrereduite}{{6.3.4}{79}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.4}{}}
|
||||
\newlabel{eq:defcentrereduite@cref}{{[equation][4][6,3]6.3.4}{79}}
|
||||
\newlabel{eq:paramnonreduit}{{6.3.5}{79}{Méthode de l'équation d'estimation optimale}{equation.6.3.0.5}{}}
|
||||
\newlabel{eq:paramnonreduit@cref}{{[equation][5][6,3]6.3.5}{79}}
|
||||
\@setckpt{chapitre6}{
|
||||
\setcounter{page}{80}
|
||||
\setcounter{equation}{5}
|
||||
\setcounter{enumi}{3}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{6}
|
||||
\setcounter{section}{3}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{98}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{1}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{24}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{74}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,160 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{shapiro1965analysis}
|
||||
\citation{shapiro1965analysis}
|
||||
\citation{shapiro1965analysis}
|
||||
\citation{epps1983test}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {7}Tests statistiques}{81}{chapter.7}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {7.1}Test de normalit\IeC {\'e}}{81}{section.7.1}}
|
||||
\newlabel{sec:testnormalite}{{7.1}{81}{Test de normalité}{section.7.1}{}}
|
||||
\newlabel{sec:testnormalite@cref}{{[section][1][7]7.1}{81}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {7.1.1}Test de Shapiro-Wilk}{81}{subsection.7.1.1}}
|
||||
\newlabel{sec:test-de-shapiro}{{7.1.1}{81}{Test de Shapiro-Wilk}{subsection.7.1.1}{}}
|
||||
\newlabel{sec:test-de-shapiro@cref}{{[subsection][1][7,1]7.1.1}{81}}
|
||||
\newlabel{eq:shapirowilkb1}{{7.1.1}{81}{Test de Shapiro-Wilk}{equation.7.1.0.1}{}}
|
||||
\newlabel{eq:shapirowilkb1@cref}{{[equation][1][7,1]7.1.1}{81}}
|
||||
\newlabel{eq:shapirowilkb2}{{7.1.2}{81}{Test de Shapiro-Wilk}{equation.7.1.0.2}{}}
|
||||
\newlabel{eq:shapirowilkb2@cref}{{[equation][2][7,1]7.1.2}{81}}
|
||||
\citation{henze1990approximation}
|
||||
\citation{henze1990approximation}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {7.1.2}Test d\IeC {\textquoteright }Epps-Pulley}{82}{subsection.7.1.2}}
|
||||
\newlabel{sec:test-de-epps}{{7.1.2}{82}{Test d’Epps-Pulley}{subsection.7.1.2}{}}
|
||||
\newlabel{sec:test-de-epps@cref}{{[subsection][2][7,1]7.1.2}{82}}
|
||||
\newlabel{eq:statistiqueEppsPulley}{{7.1.3}{82}{Test d’Epps-Pulley}{equation.7.1.0.3}{}}
|
||||
\newlabel{eq:statistiqueEppsPulley@cref}{{[equation][3][7,1]7.1.3}{82}}
|
||||
\newlabel{eq:EppsPulley}{{7.1.4}{82}{Test d’Epps-Pulley}{equation.7.1.0.4}{}}
|
||||
\newlabel{eq:EppsPulley@cref}{{[equation][4][7,1]7.1.4}{82}}
|
||||
\newlabel{eq:EppsPulleyMod}{{7.1.5}{82}{Test d’Epps-Pulley}{equation.7.1.0.5}{}}
|
||||
\newlabel{eq:EppsPulleyMod@cref}{{[equation][5][7,1]7.1.5}{82}}
|
||||
\newlabel{eq:ZEppsPulley}{{7.1.6}{82}{Test d’Epps-Pulley}{equation.7.1.0.6}{}}
|
||||
\newlabel{eq:ZEppsPulley@cref}{{[equation][6][7,1]7.1.6}{82}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {7.2}Tests d'ad\IeC {\'e}quation}{82}{section.7.2}}
|
||||
\newlabel{sec:testnonparam}{{7.2}{82}{Tests d'adéquation}{section.7.2}{}}
|
||||
\newlabel{sec:testnonparam@cref}{{[section][2][7]7.2}{82}}
|
||||
\citation{hogg1978introduction}
|
||||
\newlabel{eq:hypotheseadeqcomp}{{7.2.1}{83}{Tests d'adéquation}{equation.7.2.0.1}{}}
|
||||
\newlabel{eq:hypotheseadeqcomp@cref}{{[equation][1][7,2]7.2.1}{83}}
|
||||
\newlabel{eq:hypotheseadeq}{{7.2.2}{83}{Tests d'adéquation}{equation.7.2.0.2}{}}
|
||||
\newlabel{eq:hypotheseadeq@cref}{{[equation][2][7,2]7.2.2}{83}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {7.2.1}Test $\chi ^2$ de Pearson}{83}{subsection.7.2.1}}
|
||||
\newlabel{sec:testchi2}{{7.2.1}{83}{Test $\chi ^2$ de Pearson}{subsection.7.2.1}{}}
|
||||
\newlabel{sec:testchi2@cref}{{[subsection][1][7,2]7.2.1}{83}}
|
||||
\newlabel{eq:pmultinomiale}{{7.2.3}{83}{Test $\chi ^2$ de Pearson}{equation.7.2.0.3}{}}
|
||||
\newlabel{eq:pmultinomiale@cref}{{[equation][3][7,2]7.2.3}{83}}
|
||||
\newlabel{eq:statchi2}{{7.2.4}{83}{Test $\chi ^2$ de Pearson}{equation.7.2.0.4}{}}
|
||||
\newlabel{eq:statchi2@cref}{{[equation][4][7,2]7.2.4}{83}}
|
||||
\citation{wang2003evaluating}
|
||||
\newlabel{eq:hyp0-1}{{7.2.5}{84}{Test $\chi ^2$ de Pearson}{equation.7.2.0.5}{}}
|
||||
\newlabel{eq:hyp0-1@cref}{{[equation][5][7,2]7.2.5}{84}}
|
||||
\newlabel{eq:hyp0-2}{{7.2.6}{84}{Test $\chi ^2$ de Pearson}{equation.7.2.0.6}{}}
|
||||
\newlabel{eq:hyp0-2@cref}{{[equation][6][7,2]7.2.6}{84}}
|
||||
\newlabel{eq:statchi2param}{{7.2.7}{84}{Test $\chi ^2$ de Pearson}{equation.7.2.0.7}{}}
|
||||
\newlabel{eq:statchi2param@cref}{{[equation][7][7,2]7.2.7}{84}}
|
||||
\newlabel{eq:quantilechisq}{{7.2.8}{84}{Test $\chi ^2$ de Pearson}{equation.7.2.0.8}{}}
|
||||
\newlabel{eq:quantilechisq@cref}{{[equation][8][7,2]7.2.8}{84}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {7.2.2}Test de Kolmogorov-Smirnov}{84}{subsection.7.2.2}}
|
||||
\newlabel{sec:kolmogorovsmirnov}{{7.2.2}{84}{Test de Kolmogorov-Smirnov}{subsection.7.2.2}{}}
|
||||
\newlabel{sec:kolmogorovsmirnov@cref}{{[subsection][2][7,2]7.2.2}{84}}
|
||||
\newlabel{eq:statks}{{7.2.9}{84}{Test de Kolmogorov-Smirnov}{equation.7.2.0.9}{}}
|
||||
\newlabel{eq:statks@cref}{{[equation][9][7,2]7.2.9}{84}}
|
||||
\newlabel{eq:repartemp}{{7.2.10}{84}{Test de Kolmogorov-Smirnov}{equation.7.2.0.10}{}}
|
||||
\newlabel{eq:repartemp@cref}{{[equation][10][7,2]7.2.10}{84}}
|
||||
\newlabel{eq:repartkolmogorov}{{7.2.11}{84}{Test de Kolmogorov-Smirnov}{equation.7.2.0.11}{}}
|
||||
\newlabel{eq:repartkolmogorov@cref}{{[equation][11][7,2]7.2.11}{84}}
|
||||
\citation{luong1987minimum}
|
||||
\citation{feuerverger1981efficiency}
|
||||
\citation{KOUTROUVELIS01011980}
|
||||
\newlabel{eq:quantilekolmogorov}{{7.2.13}{85}{Test de Kolmogorov-Smirnov}{equation.7.2.0.13}{}}
|
||||
\newlabel{eq:quantilekolmogorov@cref}{{[equation][13][7,2]7.2.13}{85}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {7.2.3}Test de distance minimale bas\IeC {\'e} sur la fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments}{85}{subsection.7.2.3}}
|
||||
\newlabel{sec:test-de-distance}{{7.2.3}{85}{Test de distance minimale basé sur la fonction génératrice des moments}{subsection.7.2.3}{}}
|
||||
\newlabel{sec:test-de-distance@cref}{{[subsection][3][7,2]7.2.3}{85}}
|
||||
\newlabel{eq:4}{{7.2.14}{85}{Test de distance minimale basé sur la fonction génératrice des moments}{equation.7.2.0.14}{}}
|
||||
\newlabel{eq:4@cref}{{[equation][14][7,2]7.2.14}{85}}
|
||||
\newlabel{eq:5}{{7.2.15}{85}{Test de distance minimale basé sur la fonction génératrice des moments}{equation.7.2.0.15}{}}
|
||||
\newlabel{eq:5@cref}{{[equation][15][7,2]7.2.15}{85}}
|
||||
\newlabel{eq:9}{{7.2.16}{85}{Test de distance minimale basé sur la fonction génératrice des moments}{equation.7.2.0.16}{}}
|
||||
\newlabel{eq:9@cref}{{[equation][16][7,2]7.2.16}{85}}
|
||||
\newlabel{eq:14}{{7.2.17}{86}{Test de distance minimale basé sur la fonction génératrice des moments}{equation.7.2.0.17}{}}
|
||||
\newlabel{eq:14@cref}{{[equation][17][7,2]7.2.17}{86}}
|
||||
\newlabel{eq:10}{{7.2.18}{86}{Test de distance minimale basé sur la fonction génératrice des moments}{equation.7.2.0.18}{}}
|
||||
\newlabel{eq:10@cref}{{[equation][18][7,2]7.2.18}{86}}
|
||||
\@setckpt{chapitre7}{
|
||||
\setcounter{page}{87}
|
||||
\setcounter{equation}{18}
|
||||
\setcounter{enumi}{2}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{7}
|
||||
\setcounter{section}{2}
|
||||
\setcounter{subsection}{3}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{105}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{26}
|
||||
\setcounter{Hfootnote}{1}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{82}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
File diff suppressed because it is too large
Load diff
|
|
@ -1,188 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{bingham2004risk}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {8}\IeC {\'E}valuation d'options}{87}{chapter.8}}
|
||||
\newlabel{chap:options}{{8}{87}{Évaluation d'options}{chapter.8}{}}
|
||||
\newlabel{chap:options@cref}{{[chapter][8][]8}{87}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {8.1}D\IeC {\'e}finitions}{87}{section.8.1}}
|
||||
\newlabel{sec:options}{{8.1}{87}{Définitions}{section.8.1}{}}
|
||||
\newlabel{sec:options@cref}{{[section][1][8]8.1}{87}}
|
||||
\newlabel{eq:callpayoff}{{8.1.1}{87}{Définitions}{equation.8.1.0.1}{}}
|
||||
\newlabel{eq:callpayoff@cref}{{[equation][1][8,1]8.1.1}{87}}
|
||||
\citation{black1973pricing}
|
||||
\newlabel{eq:reclamationcall}{{8.1.2}{88}{Définitions}{equation.8.1.0.2}{}}
|
||||
\newlabel{eq:reclamationcall@cref}{{[equation][2][8,1]8.1.2}{88}}
|
||||
\newlabel{eq:reclamationcallintlog}{{8.1.3}{88}{Définitions}{equation.8.1.0.3}{}}
|
||||
\newlabel{eq:reclamationcallintlog@cref}{{[equation][3][8,1]8.1.3}{88}}
|
||||
\newlabel{eq:pariteputcall}{{8.1.4}{88}{Définitions}{equation.8.1.0.4}{}}
|
||||
\newlabel{eq:pariteputcall@cref}{{[equation][4][8,1]8.1.4}{88}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.1.1}\IeC {\'E}quation martingale}{88}{subsection.8.1.1}}
|
||||
\newlabel{sec:equationmartingale}{{8.1.1}{88}{Équation martingale}{subsection.8.1.1}{}}
|
||||
\newlabel{sec:equationmartingale@cref}{{[subsection][1][8,1]8.1.1}{88}}
|
||||
\newlabel{eq:equationmartingale}{{8.1.5}{89}{Équation martingale}{equation.8.1.0.5}{}}
|
||||
\newlabel{eq:equationmartingale@cref}{{[equation][5][8,1]8.1.5}{89}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.1.2}Param\IeC {\`e}tres neutres au risque}{89}{subsection.8.1.2}}
|
||||
\newlabel{sec:GALrn}{{8.1.2}{89}{Paramètres neutres au risque}{subsection.8.1.2}{}}
|
||||
\newlabel{sec:GALrn@cref}{{[subsection][2][8,1]8.1.2}{89}}
|
||||
\newlabel{eq:martingaleGAL}{{8.1.6}{89}{Paramètres neutres au risque}{equation.8.1.0.6}{}}
|
||||
\newlabel{eq:martingaleGAL@cref}{{[equation][6][8,1]8.1.6}{89}}
|
||||
\newlabel{eq:omegaGAL}{{8.1.7}{89}{Paramètres neutres au risque}{equation.8.1.0.7}{}}
|
||||
\newlabel{eq:omegaGAL@cref}{{[equation][7][8,1]8.1.7}{89}}
|
||||
\newlabel{eq:inegaliteparamrn}{{8.1.8}{89}{Paramètres neutres au risque}{equation.8.1.0.8}{}}
|
||||
\newlabel{eq:inegaliteparamrn@cref}{{[equation][8][8,1]8.1.8}{89}}
|
||||
\newlabel{eq:fncaractGALrn}{{8.1.9}{89}{Paramètres neutres au risque}{equation.8.1.0.9}{}}
|
||||
\newlabel{eq:fncaractGALrn@cref}{{[equation][9][8,1]8.1.9}{89}}
|
||||
\citation{heston1993closed}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {8.2}Aper\IeC {\c c}u du mod\IeC {\`e}le de Black-Scholes}{90}{section.8.2}}
|
||||
\newlabel{sec:blackscholes}{{8.2}{90}{Aperçu du modèle de Black-Scholes}{section.8.2}{}}
|
||||
\newlabel{sec:blackscholes@cref}{{[section][2][8]8.2}{90}}
|
||||
\newlabel{eq:blackscholes}{{8.2.1}{90}{Aperçu du modèle de Black-Scholes}{equation.8.2.0.1}{}}
|
||||
\newlabel{eq:blackscholes@cref}{{[equation][1][8,2]8.2.1}{90}}
|
||||
\newlabel{eq:putblackscholes}{{8.2.2}{90}{Aperçu du modèle de Black-Scholes}{equation.8.2.0.2}{}}
|
||||
\newlabel{eq:putblackscholes@cref}{{[equation][2][8,2]8.2.2}{90}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {8.3}M\IeC {\'e}thodes d'\IeC {\'e}valuation pour options europ\IeC {\'e}ennes}{90}{section.8.3}}
|
||||
\newlabel{sec:methodesoptions}{{8.3}{90}{Méthodes d'évaluation pour options européennes}{section.8.3}{}}
|
||||
\newlabel{sec:methodesoptions@cref}{{[section][3][8]8.3}{90}}
|
||||
\citation{carr1999option}
|
||||
\citation{madan1998variance}
|
||||
\citation{epps2007pricing}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.3.1}M\IeC {\'e}thode de Heston}{91}{subsection.8.3.1}}
|
||||
\newlabel{sec:heston1993}{{8.3.1}{91}{Méthode de Heston}{subsection.8.3.1}{}}
|
||||
\newlabel{sec:heston1993@cref}{{[subsection][1][8,3]8.3.1}{91}}
|
||||
\newlabel{eq:PutHeston93-1}{{8.3.1}{91}{Méthode de Heston}{equation.8.3.0.1}{}}
|
||||
\newlabel{eq:PutHeston93-1@cref}{{[equation][1][8,3]8.3.1}{91}}
|
||||
\newlabel{eq:PutHeston93}{{8.3.2}{91}{Méthode de Heston}{equation.8.3.0.2}{}}
|
||||
\newlabel{eq:PutHeston93@cref}{{[equation][2][8,3]8.3.2}{91}}
|
||||
\newlabel{eq:mesureGHeston}{{8.3.3}{91}{Méthode de Heston}{equation.8.3.0.3}{}}
|
||||
\newlabel{eq:mesureGHeston@cref}{{[equation][3][8,3]8.3.3}{91}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.3.2}M\IeC {\'e}thode de Carr et Madan}{91}{subsection.8.3.2}}
|
||||
\newlabel{sec:carrmadanfftoptions}{{8.3.2}{91}{Méthode de Carr et Madan}{subsection.8.3.2}{}}
|
||||
\newlabel{sec:carrmadanfftoptions@cref}{{[subsection][2][8,3]8.3.2}{91}}
|
||||
\newlabel{eq:callamortiCarr}{{8.3.4}{91}{Méthode de Carr et Madan}{equation.8.3.0.4}{}}
|
||||
\newlabel{eq:callamortiCarr@cref}{{[equation][4][8,3]8.3.4}{91}}
|
||||
\citation{carr1999option}
|
||||
\newlabel{eq:fouriercallamortiCarr}{{8.3.6}{92}{Méthode de Carr et Madan}{equation.8.3.0.6}{}}
|
||||
\newlabel{eq:fouriercallamortiCarr@cref}{{[equation][6][8,3]8.3.6}{92}}
|
||||
\newlabel{eq:prixoptionCarr}{{8.3.7}{92}{Méthode de Carr et Madan}{equation.8.3.0.7}{}}
|
||||
\newlabel{eq:prixoptionCarr@cref}{{[equation][7][8,3]8.3.7}{92}}
|
||||
\newlabel{eq:prixoptionFFT}{{8.3.10}{92}{Méthode de Carr et Madan}{equation.8.3.0.10}{}}
|
||||
\newlabel{eq:prixoptionFFT@cref}{{[equation][10][8,3]8.3.10}{92}}
|
||||
\newlabel{eq:prixoptionFFTsimpson}{{8.3.11}{92}{Méthode de Carr et Madan}{equation.8.3.0.11}{}}
|
||||
\newlabel{eq:prixoptionFFTsimpson@cref}{{[equation][11][8,3]8.3.11}{92}}
|
||||
\citation{carr1999option}
|
||||
\citation{itkin2005pricing}
|
||||
\citation{epps2007pricing}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.3.3}Prix d'exercice hors du cours}{93}{subsection.8.3.3}}
|
||||
\newlabel{sec:outofmoneyfft}{{8.3.3}{93}{Prix d'exercice hors du cours}{subsection.8.3.3}{}}
|
||||
\newlabel{sec:outofmoneyfft@cref}{{[subsection][3][8,3]8.3.3}{93}}
|
||||
\newlabel{eq:prixoptionCarrOOM}{{8.3.12}{93}{Prix d'exercice hors du cours}{equation.8.3.0.12}{}}
|
||||
\newlabel{eq:prixoptionCarrOOM@cref}{{[equation][12][8,3]8.3.12}{93}}
|
||||
\newlabel{eq:prixoptionFFTsimpsonOOM}{{8.3.14}{93}{Prix d'exercice hors du cours}{equation.8.3.0.14}{}}
|
||||
\newlabel{eq:prixoptionFFTsimpsonOOM@cref}{{[equation][14][8,3]8.3.14}{93}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.3.4}Critique de la m\IeC {\'e}thode de Carr-Madan}{93}{subsection.8.3.4}}
|
||||
\newlabel{sec:critiquecarrmadanfft}{{8.3.4}{93}{Critique de la méthode de Carr-Madan}{subsection.8.3.4}{}}
|
||||
\newlabel{sec:critiquecarrmadanfft@cref}{{[subsection][4][8,3]8.3.4}{93}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.3.5}M\IeC {\'e}thode d\IeC {\textquoteright }Epps}{93}{subsection.8.3.5}}
|
||||
\newlabel{sec:epps2007}{{8.3.5}{93}{Méthode d’Epps}{subsection.8.3.5}{}}
|
||||
\newlabel{sec:epps2007@cref}{{[subsection][5][8,3]8.3.5}{93}}
|
||||
\newlabel{eq:putepps-1}{{8.3.15}{94}{Méthode d’Epps}{equation.8.3.0.15}{}}
|
||||
\newlabel{eq:putepps-1@cref}{{[equation][15][8,3]8.3.15}{94}}
|
||||
\newlabel{eq:putepps-resultat1}{{8.3.16}{94}{Méthode d’Epps}{equation.8.3.0.16}{}}
|
||||
\newlabel{eq:putepps-resultat1@cref}{{[equation][16][8,3]8.3.16}{94}}
|
||||
\newlabel{eq:fubini-integrale-a-EPPS}{{8.3.17}{94}{Méthode d’Epps}{equation.8.3.0.17}{}}
|
||||
\newlabel{eq:fubini-integrale-a-EPPS@cref}{{[equation][17][8,3]8.3.17}{94}}
|
||||
\newlabel{eq:PutEpps8.37}{{8.3.18}{94}{Méthode d’Epps}{equation.8.3.0.18}{}}
|
||||
\newlabel{eq:PutEpps8.37@cref}{{[equation][18][8,3]8.3.18}{94}}
|
||||
\citation{black1976pricing}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {8.4}Particularit\IeC {\'e}s}{95}{section.8.4}}
|
||||
\newlabel{sec:monnaiescontrats}{{8.4}{95}{Particularités}{section.8.4}{}}
|
||||
\newlabel{sec:monnaiescontrats@cref}{{[section][4][8]8.4}{95}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.4.1}Option sur actions avec dividendes}{95}{subsection.8.4.1}}
|
||||
\newlabel{sec:dividentoptions}{{8.4.1}{95}{Option sur actions avec dividendes}{subsection.8.4.1}{}}
|
||||
\newlabel{sec:dividentoptions@cref}{{[subsection][1][8,4]8.4.1}{95}}
|
||||
\newlabel{eq:prixinitialdividende}{{8.4.1}{95}{Option sur actions avec dividendes}{equation.8.4.0.1}{}}
|
||||
\newlabel{eq:prixinitialdividende@cref}{{[equation][1][8,4]8.4.1}{95}}
|
||||
\newlabel{eq:pricinitialdivcontinu}{{8.4.2}{95}{Option sur actions avec dividendes}{equation.8.4.0.2}{}}
|
||||
\newlabel{eq:pricinitialdivcontinu@cref}{{[equation][2][8,4]8.4.2}{95}}
|
||||
\@writefile{toc}{\contentsline {subsection}{\numberline {8.4.2}Options sur contrats \IeC {\`a} terme et taux de change}{95}{subsection.8.4.2}}
|
||||
\newlabel{sec:futureoptions}{{8.4.2}{95}{Options sur contrats à terme et taux de change}{subsection.8.4.2}{}}
|
||||
\newlabel{sec:futureoptions@cref}{{[subsection][2][8,4]8.4.2}{95}}
|
||||
\@setckpt{chapitre8}{
|
||||
\setcounter{page}{96}
|
||||
\setcounter{equation}{2}
|
||||
\setcounter{enumi}{4}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{2}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{8}
|
||||
\setcounter{section}{4}
|
||||
\setcounter{subsection}{2}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{114}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{30}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{96}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
15774
memoire/chapitre8.log
15774
memoire/chapitre8.log
File diff suppressed because it is too large
Load diff
|
|
@ -1,186 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\citation{buckle1995bayesian}
|
||||
\@writefile{lof}{\addvspace {10pt}}
|
||||
\@writefile{lot}{\addvspace {10pt}}
|
||||
\@writefile{toc}{\contentsline {chapter}{\chapternumberline {9}Exemple d'application}{97}{chapter.9}}
|
||||
\newlabel{chap:application}{{9}{97}{Exemple d'application}{chapter.9}{}}
|
||||
\newlabel{chap:application@cref}{{[chapter][9][]9}{97}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {9.1}Description des donn\IeC {\'e}es}{97}{section.9.1}}
|
||||
\newlabel{sec:analysepA}{{9.1}{97}{Description des données}{section.9.1}{}}
|
||||
\newlabel{sec:analysepA@cref}{{[section][1][9]9.1}{97}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.1}{\ignorespaces Statistiques d'ordre de l'\IeC {\'e}chantillon $R_1$\relax }}{97}{table.caption.29}}
|
||||
\newlabel{tab:statordreR1}{{9.1}{97}{Statistiques d'ordre de l'échantillon $R_1$\relax }{table.caption.29}{}}
|
||||
\newlabel{tab:statordreR1@cref}{{[table][1][9]9.1}{97}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.1}{\ignorespaces Repr\IeC {\'e}sentation en s\IeC {\'e}rie chronologique de l'\IeC {\'e}chantillon $R_1$\relax }}{98}{figure.caption.28}}
|
||||
\newlabel{fig:seriechronoR1}{{9.1}{98}{Représentation en série chronologique de l'échantillon $R_1$\relax }{figure.caption.28}{}}
|
||||
\newlabel{fig:seriechronoR1@cref}{{[figure][1][9]9.1}{98}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.2}{\ignorespaces Valeurs relatives aux premiers moments de l'\IeC {\'e}chantillon $R_1$\relax }}{98}{table.caption.30}}
|
||||
\newlabel{tab:statmomentsR1}{{9.2}{98}{Valeurs relatives aux premiers moments de l'échantillon $R_1$\relax }{table.caption.30}{}}
|
||||
\newlabel{tab:statmomentsR1@cref}{{[table][2][9]9.2}{98}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.3}{\ignorespaces Test de normalit\IeC {\'e} d'Epps-Pulley pour $R_1$\relax }}{98}{table.caption.32}}
|
||||
\newlabel{tab:eppspulleyR1}{{9.3}{98}{Test de normalité d'Epps-Pulley pour $R_1$\relax }{table.caption.32}{}}
|
||||
\newlabel{tab:eppspulleyR1@cref}{{[table][3][9]9.3}{98}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.2}{\ignorespaces Distribution de la variable al\IeC {\'e}atoire $R_1$\relax }}{99}{figure.caption.31}}
|
||||
\newlabel{fig:distributionR1}{{9.2}{99}{Distribution de la variable aléatoire $R_1$\relax }{figure.caption.31}{}}
|
||||
\newlabel{fig:distributionR1@cref}{{[figure][2][9]9.2}{99}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {9.2}Estimation}{99}{section.9.2}}
|
||||
\newlabel{sec:estimation}{{9.2}{99}{Estimation}{section.9.2}{}}
|
||||
\newlabel{sec:estimation@cref}{{[section][2][9]9.2}{99}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.3}{\ignorespaces Graphique Quantile-Quantile\relax }}{100}{figure.caption.33}}
|
||||
\newlabel{fig:qqplotR1}{{9.3}{100}{Graphique Quantile-Quantile\relax }{figure.caption.33}{}}
|
||||
\newlabel{fig:qqplotR1@cref}{{[figure][3][9]9.3}{100}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.4}{\ignorespaces Param\IeC {\`e}tres $\theta _1$ de la premi\IeC {\`e}re optimisation\relax }}{100}{table.caption.34}}
|
||||
\newlabel{tab:premiereoptimR1}{{9.4}{100}{Paramètres $\theta _1$ de la première optimisation\relax }{table.caption.34}{}}
|
||||
\newlabel{tab:premiereoptimR1@cref}{{[table][4][9]9.4}{100}}
|
||||
\newlabel{eq:vcov1gaussR1}{{9.2.1}{100}{Estimation}{equation.9.2.0.1}{}}
|
||||
\newlabel{eq:vcov1gaussR1@cref}{{[equation][1][9,2]9.2.1}{100}}
|
||||
\newlabel{eq:vcov1eeR1}{{9.2.2}{100}{Estimation}{equation.9.2.0.2}{}}
|
||||
\newlabel{eq:vcov1eeR1@cref}{{[equation][2][9,2]9.2.2}{100}}
|
||||
\newlabel{eq:vcov1eemodR1}{{9.2.3}{101}{Estimation}{equation.9.2.0.3}{}}
|
||||
\newlabel{eq:vcov1eemodR1@cref}{{[equation][3][9,2]9.2.3}{101}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.5}{\ignorespaces Param\IeC {\`e}tres $\theta _1$ de la premi\IeC {\`e}re optimisation\relax }}{102}{table.caption.35}}
|
||||
\newlabel{tab:secondeoptimR1}{{9.5}{102}{Paramètres $\theta _1$ de la première optimisation\relax }{table.caption.35}{}}
|
||||
\newlabel{tab:secondeoptimR1@cref}{{[table][5][9]9.5}{102}}
|
||||
\newlabel{eq:vcov1gmmR1}{{9.2.4}{102}{Estimation}{equation.9.2.0.4}{}}
|
||||
\newlabel{eq:vcov1gmmR1@cref}{{[equation][4][9,2]9.2.4}{102}}
|
||||
\newlabel{eq:matvcov2R1-gauss}{{9.2.5}{102}{Estimation}{equation.9.2.0.5}{}}
|
||||
\newlabel{eq:matvcov2R1-gauss@cref}{{[equation][5][9,2]9.2.5}{102}}
|
||||
\newlabel{eq:matvcov2R1-ee}{{9.2.6}{102}{Estimation}{equation.9.2.0.6}{}}
|
||||
\newlabel{eq:matvcov2R1-ee@cref}{{[equation][6][9,2]9.2.6}{102}}
|
||||
\newlabel{eq:matvcov2R1-eemod}{{9.2.7}{102}{Estimation}{equation.9.2.0.7}{}}
|
||||
\newlabel{eq:matvcov2R1-eemod@cref}{{[equation][7][9,2]9.2.7}{102}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.6}{\ignorespaces Param\IeC {\`e}tres des donn\IeC {\'e}es $R_1$\relax }}{103}{table.caption.36}}
|
||||
\newlabel{tab:parametresdonneesorigineR1}{{9.6}{103}{Paramètres des données $R_1$\relax }{table.caption.36}{}}
|
||||
\newlabel{tab:parametresdonneesorigineR1@cref}{{[table][6][9]9.6}{103}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {9.3}Approximation}{104}{section.9.3}}
|
||||
\newlabel{sec:approximationR1}{{9.3}{104}{Approximation}{section.9.3}{}}
|
||||
\newlabel{sec:approximationR1@cref}{{[section][3][9]9.3}{104}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.4}{\ignorespaces \IeC {\'E}quation du point de selle pour $r=0.01$\relax }}{104}{figure.caption.37}}
|
||||
\newlabel{fig:equationptselle0.01R1}{{9.4}{104}{Équation du point de selle pour $r=0.01$\relax }{figure.caption.37}{}}
|
||||
\newlabel{fig:equationptselle0.01R1@cref}{{[figure][4][9]9.4}{104}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.7}{\ignorespaces Approximation de la densit\IeC {\'e} de $R_1$\relax }}{104}{table.caption.38}}
|
||||
\newlabel{tab:approximationdensiteR1}{{9.7}{104}{Approximation de la densité de $R_1$\relax }{table.caption.38}{}}
|
||||
\newlabel{tab:approximationdensiteR1@cref}{{[table][7][9]9.7}{104}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.8}{\ignorespaces Approximation de la fonction de r\IeC {\'e}partition de $R_1$\relax }}{105}{table.caption.39}}
|
||||
\newlabel{tab:approximationrepartR1}{{9.8}{105}{Approximation de la fonction de répartition de $R_1$\relax }{table.caption.39}{}}
|
||||
\newlabel{tab:approximationrepartR1@cref}{{[table][8][9]9.8}{105}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {9.4}Graphiques}{105}{section.9.4}}
|
||||
\newlabel{sec:graphiques}{{9.4}{105}{Graphiques}{section.9.4}{}}
|
||||
\newlabel{sec:graphiques@cref}{{[section][4][9]9.4}{105}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.9}{\ignorespaces Courbes de densit\IeC {\'e}\relax }}{105}{table.caption.40}}
|
||||
\newlabel{tab:courbesdensite}{{9.9}{105}{Courbes de densité\relax }{table.caption.40}{}}
|
||||
\newlabel{tab:courbesdensite@cref}{{[table][9][9]9.9}{105}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.10}{\ignorespaces Valeur de l'int\IeC {\'e}grale de l'approximation de la densit\IeC {\'e} par la m\IeC {\'e}thode du point de selle \relax }}{105}{table.caption.41}}
|
||||
\newlabel{tab:intapproxpointselleR1}{{9.10}{105}{Valeur de l'intégrale de l'approximation de la densité par la méthode du point de selle \relax }{table.caption.41}{}}
|
||||
\newlabel{tab:intapproxpointselleR1@cref}{{[table][10][9]9.10}{105}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.5}{\ignorespaces Densit\IeC {\'e} de $R_1^{*}$ selon la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{106}{figure.caption.42}}
|
||||
\newlabel{fig:densite1R1}{{9.5}{106}{Densité de $R_1^{*}$ selon la méthode des moments généralisée\relax }{figure.caption.42}{}}
|
||||
\newlabel{fig:densite1R1@cref}{{[figure][5][9]9.5}{106}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.6}{\ignorespaces Densit\IeC {\'e} de $R_1^{*}$ selon la m\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale\relax }}{107}{figure.caption.43}}
|
||||
\newlabel{fig:densite3R1}{{9.6}{107}{Densité de $R_1^{*}$ selon la méthode de l'équation d'estimation optimale\relax }{figure.caption.43}{}}
|
||||
\newlabel{fig:densite3R1@cref}{{[figure][6][9]9.6}{107}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {9.5}Tests statistiques}{108}{section.9.5}}
|
||||
\newlabel{sec:tests-statistiques}{{9.5}{108}{Tests statistiques}{section.9.5}{}}
|
||||
\newlabel{sec:tests-statistiques@cref}{{[section][5][9]9.5}{108}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.11}{\ignorespaces Test du $\chi ^2$\relax }}{108}{table.caption.44}}
|
||||
\newlabel{tab:testchi2R1}{{9.11}{108}{Test du $\chi ^2$\relax }{table.caption.44}{}}
|
||||
\newlabel{tab:testchi2R1@cref}{{[table][11][9]9.11}{108}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.12}{\ignorespaces Test de Kolmogorov-Smirnov\relax }}{108}{table.caption.45}}
|
||||
\newlabel{tab:testKSR1}{{9.12}{108}{Test de Kolmogorov-Smirnov\relax }{table.caption.45}{}}
|
||||
\newlabel{tab:testKSR1@cref}{{[table][12][9]9.12}{108}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.13}{\ignorespaces Test de distance minimale bas\IeC {\'e} sur la fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments\relax }}{109}{table.caption.46}}
|
||||
\newlabel{tab:testDMR1}{{9.13}{109}{Test de distance minimale basé sur la fonction génératrice des moments\relax }{table.caption.46}{}}
|
||||
\newlabel{tab:testDMR1@cref}{{[table][13][9]9.13}{109}}
|
||||
\@writefile{toc}{\contentsline {section}{\numberline {9.6}\IeC {\'E}valuation d'options}{109}{section.9.6}}
|
||||
\newlabel{sec:evaluation-doptions}{{9.6}{109}{Évaluation d'options}{section.9.6}{}}
|
||||
\newlabel{sec:evaluation-doptions@cref}{{[section][6][9]9.6}{109}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.14}{\ignorespaces Caract\IeC {\'e}ristiques de l'option\relax }}{109}{table.caption.47}}
|
||||
\newlabel{tab:caracteristiqueoptionR1}{{9.14}{109}{Caractéristiques de l'option\relax }{table.caption.47}{}}
|
||||
\newlabel{tab:caracteristiqueoptionR1@cref}{{[table][14][9]9.14}{109}}
|
||||
\@writefile{lot}{\contentsline {table}{\numberline {9.15}{\ignorespaces Param\IeC {\`e}tres neutres au risque\relax }}{109}{table.caption.48}}
|
||||
\newlabel{tab:paramrisqueneutreR1}{{9.15}{109}{Paramètres neutres au risque\relax }{table.caption.48}{}}
|
||||
\newlabel{tab:paramrisqueneutreR1@cref}{{[table][15][9]9.15}{109}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.7}{\ignorespaces Prix de l'option selon les param\IeC {\`e}tres estim\IeC {\'e}s avec la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{110}{figure.caption.49}}
|
||||
\newlabel{fig:prix1R1-1}{{9.7}{110}{Prix de l'option selon les paramètres estimés avec la méthode des moments généralisée\relax }{figure.caption.49}{}}
|
||||
\newlabel{fig:prix1R1-1@cref}{{[figure][7][9]9.7}{110}}
|
||||
\@writefile{lof}{\contentsline {figure}{\numberline {9.8}{\ignorespaces Prix de l'option selon les param\IeC {\`e}tres estim\IeC {\'e}s avec la m\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale\relax }}{111}{figure.caption.50}}
|
||||
\newlabel{fig:prix1R1-3}{{9.8}{111}{Prix de l'option selon les paramètres estimés avec la méthode de l'équation d'estimation optimale\relax }{figure.caption.50}{}}
|
||||
\newlabel{fig:prix1R1-3@cref}{{[figure][8][9]9.8}{111}}
|
||||
\@setckpt{chapitre9}{
|
||||
\setcounter{page}{112}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{4}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{9}
|
||||
\setcounter{section}{6}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{130}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{8}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{15}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{30}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{103}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
17870
memoire/chapitre9.log
17870
memoire/chapitre9.log
File diff suppressed because it is too large
Load diff
|
|
@ -1,80 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{toc}{\contentsline {chapter}{Conclusion}{113}{section*.52}}
|
||||
\@setckpt{conclusion}{
|
||||
\setcounter{page}{114}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{4}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{9}
|
||||
\setcounter{section}{6}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{132}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{8}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{15}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{30}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{104}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,80 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{toc}{\contentsline {chapter}{Contrat de partage}{137}{section*.64}}
|
||||
\@setckpt{deed}{
|
||||
\setcounter{page}{138}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{2}
|
||||
\setcounter{enumii}{2}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{-1}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{3}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{156}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{1}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{63}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{3}
|
||||
\setcounter{Item}{35}
|
||||
\setcounter{Hfootnote}{3}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{135}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
1022
memoire/deed.log
1022
memoire/deed.log
File diff suppressed because it is too large
Load diff
|
|
@ -1,122 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\providecommand*{\memsetcounter}[2]{}
|
||||
\catcode `:\active
|
||||
\catcode `;\active
|
||||
\catcode `!\active
|
||||
\catcode `?\active
|
||||
\providecommand\HyperFirstAtBeginDocument{\AtBeginDocument}
|
||||
\HyperFirstAtBeginDocument{\ifx\hyper@anchor\@undefined
|
||||
\global\let\oldcontentsline\contentsline
|
||||
\gdef\contentsline#1#2#3#4{\oldcontentsline{#1}{#2}{#3}}
|
||||
\global\let\oldnewlabel\newlabel
|
||||
\gdef\newlabel#1#2{\newlabelxx{#1}#2}
|
||||
\gdef\newlabelxx#1#2#3#4#5#6{\oldnewlabel{#1}{{#2}{#3}}}
|
||||
\AtEndDocument{\ifx\hyper@anchor\@undefined
|
||||
\let\contentsline\oldcontentsline
|
||||
\let\newlabel\oldnewlabel
|
||||
\fi}
|
||||
\fi}
|
||||
\global\let\hyper@last\relax
|
||||
\gdef\HyperFirstAtBeginDocument#1{#1}
|
||||
\providecommand\HyField@AuxAddToFields[1]{}
|
||||
\providecommand\HyField@AuxAddToCoFields[2]{}
|
||||
\bibstyle{plainnatmod}
|
||||
\select@language{french}
|
||||
\@writefile{toc}{\select@language{french}}
|
||||
\@writefile{lof}{\select@language{french}}
|
||||
\@writefile{lot}{\select@language{french}}
|
||||
\select@language{french}
|
||||
\@writefile{toc}{\select@language{french}}
|
||||
\@writefile{lof}{\select@language{french}}
|
||||
\@writefile{lot}{\select@language{french}}
|
||||
\@input{resume.aux}
|
||||
\@input{abstract.aux}
|
||||
\@writefile{toc}{\contentsline {chapter}{Table des mati{\`e}res}{vii}{section*.5}}
|
||||
\citation{madan1990variance}
|
||||
\@writefile{toc}{\contentsline {chapter}{Liste des tableaux}{xi}{section*.6}}
|
||||
\citation{mitchell1916critique}
|
||||
\@writefile{toc}{\contentsline {chapter}{Liste des figures}{xiii}{section*.7}}
|
||||
\@input{remerciements.aux}
|
||||
\@input{introduction.aux}
|
||||
\@input{chapitre1.aux}
|
||||
\@input{chapitre2.aux}
|
||||
\@input{chapitre3.aux}
|
||||
\@input{chapitre4.aux}
|
||||
\@input{chapitre5.aux}
|
||||
\@input{chapitre6.aux}
|
||||
\@input{chapitre7.aux}
|
||||
\@input{chapitre8.aux}
|
||||
\@input{chapitre9.aux}
|
||||
\@input{conclusion.aux}
|
||||
\@input{annexe1.aux}
|
||||
\@input{annexe2.aux}
|
||||
\@input{annexe3.aux}
|
||||
\bibdata{memoire}
|
||||
\bibcite{abramowitz1965handbook}{{1}{1965}{{Abramowitz et Stegun}}{{}}}
|
||||
\bibcite{applebaum2004levy}{{2}{2004}{{Applebaum}}{{}}}
|
||||
\bibcite{bachelier1900theorie}{{3}{1900}{{Bachelier}}{{}}}
|
||||
\bibcite{barndorff2001levy}{{4}{2001}{{Barndorff-Nielsen et~al.}}{{Barndorff-Nielsen, Mikosch, et Resnick}}}
|
||||
\bibcite{berkson1980minimum}{{5}{1980}{{Berkson}}{{}}}
|
||||
\bibcite{bingham2004risk}{{6}{2004}{{Bingham et Kiesel}}{{}}}
|
||||
\bibcite{black1976pricing}{{7}{1976}{{Black}}{{}}}
|
||||
\bibcite{black1973pricing}{{8}{1973}{{Black et Scholes}}{{}}}
|
||||
\bibcite{buckle1995bayesian}{{9}{1995}{{Buckle}}{{}}}
|
||||
\bibcite{butler2007saddlepoint}{{10}{2007}{{Butler}}{{}}}
|
||||
\bibcite{carr1999option}{{11}{1999}{{Carr et Madan}}{{}}}
|
||||
\bibcite{crowder1986consistency}{{12}{1986}{{Crowder}}{{}}}
|
||||
\bibcite{crowder1987linear}{{13}{1987}{{Crowder}}{{}}}
|
||||
\@writefile{toc}{\contentsline {chapter}{Bibliographie}{131}{section*.62}}
|
||||
\bibcite{daniels1954saddlepoint}{{14}{1954}{{Daniels}}{{}}}
|
||||
\bibcite{derman1996modelrisk}{{15}{1996}{{Derman}}{{}}}
|
||||
\bibcite{dodge2004statistique}{{16}{2004}{{Dodge}}{{}}}
|
||||
\bibcite{epps2007pricing}{{17}{2007}{{Epps}}{{}}}
|
||||
\bibcite{epps1983test}{{18}{1983}{{Epps et Pulley}}{{}}}
|
||||
\bibcite{everitt2006cambridge}{{19}{2006}{{Everitt et Skrondal}}{{}}}
|
||||
\bibcite{fama1993common}{{20}{1993}{{Fama et French}}{{}}}
|
||||
\bibcite{feuerverger1981efficiency}{{21}{1981}{{Feuerverger et McDunnough}}{{}}}
|
||||
\bibcite{fox1986large}{{22}{1986}{{Fox et Taqqu}}{{}}}
|
||||
\bibcite{gil1951note}{{23}{1951}{{Gil-Pelaez}}{{}}}
|
||||
\bibcite{gourieroux1989statistique}{{24}{1989}{{Gourieroux et Monfort}}{{}}}
|
||||
\bibcite{hall2005generalized}{{25}{2005}{{Hall}}{{}}}
|
||||
\bibcite{hamilton1994time}{{26}{1994}{{Hamilton}}{{}}}
|
||||
\bibcite{hansen1982large}{{27}{1982}{{Hansen}}{{}}}
|
||||
\bibcite{henze1990approximation}{{28}{1990}{{Henze}}{{}}}
|
||||
\bibcite{heston1993closed}{{29}{1993}{{Heston}}{{}}}
|
||||
\bibcite{hinkley1977estimation}{{30}{1977}{{Hinkley et Revankar}}{{}}}
|
||||
\bibcite{hogg1978introduction}{{31}{1978}{{Hogg et Craig}}{{}}}
|
||||
\bibcite{itkin2005pricing}{{32}{2005}{{Itkin}}{{}}}
|
||||
\bibcite{kotz2001laplace}{{33}{2001}{{Kotz et~al.}}{{Kotz, Kozubowski, et Podg{\'o}rski}}}
|
||||
\bibcite{KOUTROUVELIS01011980}{{34}{1980}{{Koutrouvelis}}{{}}}
|
||||
\bibcite{kozubowski1999class}{{35}{1999}{{Kozubowski et Podg{\'o}rski}}{{}}}
|
||||
\bibcite{kozubowski2001asymmetric}{{36}{2001}{{Kozubowski et Podg{\'o}rski}}{{}}}
|
||||
\bibcite{kyprianou2007introductory}{{37}{2007}{{Kyprianou}}{{}}}
|
||||
\bibcite{lugannani1980saddle}{{38}{1980}{{Lugannani et Rice}}{{}}}
|
||||
\bibcite{lukacs1960characteristic}{{39}{1960}{{Lukacs}}{{}}}
|
||||
\bibcite{luong1987minimum}{{40}{1987}{{Luong et Thompson}}{{}}}
|
||||
\bibcite{madan1990variance}{{41}{1990}{{Madan et Seneta}}{{}}}
|
||||
\bibcite{madan1998variance}{{42}{1998}{{Madan et~al.}}{{Madan, Carr, et Chang}}}
|
||||
\bibcite{mandelbrot1963variation}{{43}{1963}{{Mandelbrot}}{{}}}
|
||||
\bibcite{merton1976option}{{44}{1976}{{Merton}}{{}}}
|
||||
\bibcite{mitchell1916critique}{{45}{1916}{{Mitchell}}{{}}}
|
||||
\bibcite{newey1994large}{{46}{1994}{{Newey et McFadden}}{{}}}
|
||||
\bibcite{newey1987hypothesis}{{47}{1987}{{Newey et West}}{{}}}
|
||||
\bibcite{praetz1972distribution}{{48}{1972}{{Praetz}}{{}}}
|
||||
\bibcite{press1967compound}{{49}{1967}{{Press}}{{}}}
|
||||
\bibcite{sato1999levy}{{50}{1999}{{Sato}}{{}}}
|
||||
\bibcite{schoutens2003levy}{{51}{2003}{{Schoutens}}{{}}}
|
||||
\bibcite{RpackageVarianceGamma}{{52}{2012}{{Scott et Dong}}{{}}}
|
||||
\bibcite{seneta2004fitting}{{53}{2004}{{Seneta}}{{}}}
|
||||
\bibcite{shapiro1965analysis}{{54}{1965}{{Shapiro et Wilk}}{{}}}
|
||||
\bibcite{shephard1991characteristic}{{55}{1991}{{Shephard}}{{}}}
|
||||
\bibcite{spiegel1999schaum}{{56}{1999}{{Spiegel et Liu}}{{}}}
|
||||
\bibcite{stuart1987kendall}{{57}{1987}{{Stuart et Ord}}{{}}}
|
||||
\bibcite{teschl2004topics}{{58}{2004}{{Teschl}}{{}}}
|
||||
\bibcite{walterlevy}{{59}{}{{Walter}}{{}}}
|
||||
\bibcite{wang2003evaluating}{{60}{2003}{{Wang et~al.}}{{Wang, Tsang, et Marsaglia}}}
|
||||
\bibcite{wendel1961non}{{61}{1961}{{Wendel}}{{}}}
|
||||
\bibcite{wolfowitz1957minimum}{{62}{1957}{{Wolfowitz}}{{}}}
|
||||
\bibcite{wooldridge2001econometric}{{63}{2001}{{Wooldridge}}{{}}}
|
||||
\@input{deed.aux}
|
||||
\memsetcounter{lastsheet}{155}
|
||||
\memsetcounter{lastpage}{137}
|
||||
|
|
@ -1,367 +0,0 @@
|
|||
\begin{thebibliography}{63}
|
||||
\providecommand{\natexlab}[1]{#1}
|
||||
\providecommand{\url}[1]{\texttt{#1}}
|
||||
\expandafter\ifx\csname urlstyle\endcsname\relax
|
||||
\providecommand{\doi}[1]{doi: #1}\else
|
||||
\providecommand{\doi}{doi: \begingroup \urlstyle{rm}\Url}\fi
|
||||
|
||||
\bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook}
|
||||
Milton Abramowitz et Irene~A Stegun.
|
||||
\newblock \emph{Handbook of mathematical functions: with formulas, graphs, and
|
||||
mathematical tables}, volume~55.
|
||||
\newblock Dover publications, 1965.
|
||||
|
||||
\bibitem[Applebaum(2004)]{applebaum2004levy}
|
||||
David Applebaum.
|
||||
\newblock L{\'e}vy processes: From probability to finance and quantum groups.
|
||||
\newblock \emph{Notices of the AMS}, 51\penalty0 (11):\penalty0 1336--1347,
|
||||
2004.
|
||||
|
||||
\bibitem[Bachelier(1900)]{bachelier1900theorie}
|
||||
Louis Bachelier.
|
||||
\newblock \emph{Th{\'e}orie de la sp{\'e}culation}.
|
||||
\newblock Gauthier-Villars, 1900.
|
||||
|
||||
\bibitem[Barndorff-Nielsen et~al.(2001)Barndorff-Nielsen, Mikosch, et
|
||||
Resnick]{barndorff2001levy}
|
||||
O.E.E. Barndorff-Nielsen, T.E. Mikosch, et S.I.E. Resnick.
|
||||
\newblock \emph{L{\'e}vy Processes: Theory and Applications}.
|
||||
\newblock Birkhäuser, 2001.
|
||||
\newblock ISBN 9780817641672.
|
||||
\newblock URL \url{http://books.google.ca/books?id=ExpTdTauXMwC}.
|
||||
|
||||
\bibitem[Berkson(1980)]{berkson1980minimum}
|
||||
Joseph Berkson.
|
||||
\newblock Minimum chi-square, not maximum likelihood!
|
||||
\newblock \emph{The Annals of Statistics}, pages 457--487, 1980.
|
||||
|
||||
\bibitem[Bingham et Kiesel(2004)]{bingham2004risk}
|
||||
Nicholas~H Bingham et R{\"u}diger Kiesel.
|
||||
\newblock \emph{Risk-neutral valuation: Pricing and hedging of financial
|
||||
derivatives}.
|
||||
\newblock Springer, 2004.
|
||||
|
||||
\bibitem[Black(1976)]{black1976pricing}
|
||||
Fischer Black.
|
||||
\newblock The pricing of commodity contracts.
|
||||
\newblock \emph{Journal of financial economics}, 3\penalty0 (1):\penalty0
|
||||
167--179, 1976.
|
||||
|
||||
\bibitem[Black et Scholes(1973)]{black1973pricing}
|
||||
Fischer Black et Myron Scholes.
|
||||
\newblock The pricing of options and corporate liabilities.
|
||||
\newblock \emph{The journal of political economy}, pages 637--654, 1973.
|
||||
|
||||
\bibitem[Buckle(1995)]{buckle1995bayesian}
|
||||
DJ~Buckle.
|
||||
\newblock Bayesian inference for stable distributions.
|
||||
\newblock \emph{Journal of the American Statistical Association}, 90\penalty0
|
||||
(430):\penalty0 605--613, 1995.
|
||||
|
||||
\bibitem[Butler(2007)]{butler2007saddlepoint}
|
||||
Ronald~W Butler.
|
||||
\newblock \emph{Saddlepoint approximations with applications}, volume~22.
|
||||
\newblock Cambridge University Press, 2007.
|
||||
|
||||
\bibitem[Carr et Madan(1999)]{carr1999option}
|
||||
Peter Carr et Dilip Madan.
|
||||
\newblock Option valuation using the fast fourier transform.
|
||||
\newblock \emph{Journal of Computational Finance}, 2\penalty0 (4):\penalty0
|
||||
61--73, 1999.
|
||||
|
||||
\bibitem[Crowder(1986)]{crowder1986consistency}
|
||||
Martin Crowder.
|
||||
\newblock On consistency and inconsistency of estimating equations.
|
||||
\newblock \emph{Econometric Theory}, pages 305--330, 1986.
|
||||
|
||||
\bibitem[Crowder(1987)]{crowder1987linear}
|
||||
Martin Crowder.
|
||||
\newblock On linear and quadratic estimating functions.
|
||||
\newblock \emph{Biometrika}, 74\penalty0 (3):\penalty0 591--597, 1987.
|
||||
|
||||
\bibitem[Daniels(1954)]{daniels1954saddlepoint}
|
||||
Henry~E Daniels.
|
||||
\newblock Saddlepoint approximations in statistics.
|
||||
\newblock \emph{The Annals of Mathematical Statistics}, pages 631--650, 1954.
|
||||
|
||||
\bibitem[Derman(1996)]{derman1996modelrisk}
|
||||
Emanuel Derman.
|
||||
\newblock Model risk.
|
||||
\newblock Technical report, Goldman Sachs, 1996.
|
||||
|
||||
\bibitem[Dodge(2004)]{dodge2004statistique}
|
||||
Yadolah Dodge.
|
||||
\newblock \emph{Statistique: dictionnaire encyclop{\'e}dique}.
|
||||
\newblock Springer Verlag France, 2004.
|
||||
|
||||
\bibitem[Epps(2007)]{epps2007pricing}
|
||||
Thomas~W Epps.
|
||||
\newblock \emph{Pricing derivative securities}.
|
||||
\newblock World Scientific Publishing Company Incorporated, 2007.
|
||||
|
||||
\bibitem[Epps et Pulley(1983)]{epps1983test}
|
||||
Thomas~W Epps et Lawrence~B Pulley.
|
||||
\newblock A test for normality based on the empirical characteristic function.
|
||||
\newblock \emph{Biometrika}, 70\penalty0 (3):\penalty0 723--726, 1983.
|
||||
|
||||
\bibitem[Everitt et Skrondal(2006)]{everitt2006cambridge}
|
||||
Brian Everitt et Anders Skrondal.
|
||||
\newblock \emph{The Cambridge dictionary of statistics}, volume~4.
|
||||
\newblock Cambridge University Press Cambridge, 2006.
|
||||
|
||||
\bibitem[Fama et French(1993)]{fama1993common}
|
||||
Eugene~F Fama et Kenneth~R French.
|
||||
\newblock Common risk factors in the returns on stocks and bonds.
|
||||
\newblock \emph{Journal of financial economics}, 33\penalty0 (1):\penalty0
|
||||
3--56, 1993.
|
||||
|
||||
\bibitem[Feuerverger et McDunnough(1981)]{feuerverger1981efficiency}
|
||||
Andrey Feuerverger et Philip McDunnough.
|
||||
\newblock On the efficiency of empirical characteristic function procedures.
|
||||
\newblock \emph{Journal of the Royal Statistical Society. Series B
|
||||
(Methodological)}, pages 20--27, 1981.
|
||||
|
||||
\bibitem[Fox et Taqqu(1986)]{fox1986large}
|
||||
Robert Fox et Murad~S Taqqu.
|
||||
\newblock Large-sample properties of parameter estimates for strongly dependent
|
||||
stationary gaussian time series.
|
||||
\newblock \emph{The Annals of Statistics}, 14\penalty0 (2):\penalty0 517--532,
|
||||
1986.
|
||||
|
||||
\bibitem[Gil-Pelaez(1951)]{gil1951note}
|
||||
J~Gil-Pelaez.
|
||||
\newblock Note on the inversion theorem.
|
||||
\newblock \emph{Biometrika}, 38\penalty0 (3-4):\penalty0 481--482, 1951.
|
||||
|
||||
\bibitem[Gourieroux et Monfort(1989)]{gourieroux1989statistique}
|
||||
Christian Gourieroux et Alain Monfort.
|
||||
\newblock \emph{Statistique et mod{\`e}les {\'e}conom{\'e}triques: Notions
|
||||
g{\'e}n{\'e}rales, estimation, pr{\'e}vision, algorithmes}, volume~1.
|
||||
\newblock Economica, 1989.
|
||||
|
||||
\bibitem[Hall(2005)]{hall2005generalized}
|
||||
Alastair~R Hall.
|
||||
\newblock \emph{Generalized method of moments}.
|
||||
\newblock Oxford University Press Oxford, 2005.
|
||||
|
||||
\bibitem[Hamilton(1994)]{hamilton1994time}
|
||||
James~Douglas Hamilton.
|
||||
\newblock \emph{Time series analysis}, volume~2.
|
||||
\newblock Cambridge Univ Press, 1994.
|
||||
|
||||
\bibitem[Hansen(1982)]{hansen1982large}
|
||||
Lars~Peter Hansen.
|
||||
\newblock Large sample properties of generalized method of moments estimators.
|
||||
\newblock \emph{Econometrica: Journal of the Econometric Society}, pages
|
||||
1029--1054, 1982.
|
||||
|
||||
\bibitem[Henze(1990)]{henze1990approximation}
|
||||
N~Henze.
|
||||
\newblock An approximation to the limit distribution of the epps-pulley test
|
||||
statistic for normality.
|
||||
\newblock \emph{Metrika}, 37\penalty0 (1):\penalty0 7--18, 1990.
|
||||
|
||||
\bibitem[Heston(1993)]{heston1993closed}
|
||||
Steven~L Heston.
|
||||
\newblock A closed-form solution for options with stochastic volatility with
|
||||
applications to bond and currency options.
|
||||
\newblock \emph{Review of financial studies}, 6\penalty0 (2):\penalty0
|
||||
327--343, 1993.
|
||||
|
||||
\bibitem[Hinkley et Revankar(1977)]{hinkley1977estimation}
|
||||
David~V Hinkley et Nagesh~S Revankar.
|
||||
\newblock Estimation of the pareto law from underreported data: A further
|
||||
analysis.
|
||||
\newblock \emph{Journal of Econometrics}, 5\penalty0 (1):\penalty0 1--11, 1977.
|
||||
|
||||
\bibitem[Hogg et Craig(1978)]{hogg1978introduction}
|
||||
R.V. Hogg et A.T. Craig.
|
||||
\newblock \emph{Introduction to mathematical statistics}.
|
||||
\newblock Macmillan, 1978.
|
||||
\newblock ISBN 9780029789902.
|
||||
\newblock URL \url{http://books.google.ca/books?id=OZYQAQAAIAAJ}.
|
||||
|
||||
\bibitem[Itkin(2005)]{itkin2005pricing}
|
||||
Andrey Itkin.
|
||||
\newblock Pricing options with vg model using fft.
|
||||
\newblock \emph{arXiv preprint physics/0503137}, 2005.
|
||||
|
||||
\bibitem[Kotz et~al.(2001)Kotz, Kozubowski, et Podg{\'o}rski]{kotz2001laplace}
|
||||
S.~Kotz, T.J. Kozubowski, et K.~Podg{\'o}rski.
|
||||
\newblock \emph{The Laplace Distribution and Generalizations: A Revisit With
|
||||
Applications to Communications, Exonomics, Engineering, and Finance}.
|
||||
\newblock Progress in Mathematics Series. Birkh{\"a}user, 2001.
|
||||
\newblock ISBN 9780817641665.
|
||||
\newblock URL \url{http://books.google.ca/books?id=cb8B07hwULUC}.
|
||||
|
||||
\bibitem[Koutrouvelis(1980)]{KOUTROUVELIS01011980}
|
||||
I.~A. Koutrouvelis.
|
||||
\newblock A goodness-of-fit test of simple hypotheses based on the empirical
|
||||
characteristic function.
|
||||
\newblock \emph{Biometrika}, 67\penalty0 (1):\penalty0 238--240, 1980.
|
||||
\newblock \doi{10.1093/biomet/67.1.238}.
|
||||
\newblock URL \url{http://biomet.oxfordjournals.org/content/67/1/238.abstract}.
|
||||
|
||||
\bibitem[Kozubowski et Podg{\'o}rski(1999)]{kozubowski1999class}
|
||||
Tomasz~J Kozubowski et Krzysztof Podg{\'o}rski.
|
||||
\newblock A class of asymmetric distributions.
|
||||
\newblock \emph{Actuarial Research Clearing House}, 1:\penalty0 113--134, 1999.
|
||||
|
||||
\bibitem[Kozubowski et Podg{\'o}rski(2001)]{kozubowski2001asymmetric}
|
||||
Tomasz~J Kozubowski et Krzysztof Podg{\'o}rski.
|
||||
\newblock Asymmetric laplace laws and modeling financial data.
|
||||
\newblock \emph{Mathematical and computer modelling}, 34\penalty0 (9):\penalty0
|
||||
1003--1021, 2001.
|
||||
|
||||
\bibitem[Kyprianou(2007)]{kyprianou2007introductory}
|
||||
Andreas~E Kyprianou.
|
||||
\newblock \emph{Introductory lectures on fluctuations of L{\'e}vy processes
|
||||
with applications}.
|
||||
\newblock Springer, 2007.
|
||||
|
||||
\bibitem[Lugannani et Rice(1980)]{lugannani1980saddle}
|
||||
Robert Lugannani et Stephen Rice.
|
||||
\newblock Saddle point approximation for the distribution of the sum of
|
||||
independent random variables.
|
||||
\newblock \emph{Advances in applied probability}, pages 475--490, 1980.
|
||||
|
||||
\bibitem[Lukacs(1960)]{lukacs1960characteristic}
|
||||
Eugene Lukacs.
|
||||
\newblock \emph{Characteristic functions}, volume~4.
|
||||
\newblock Griffin London, 1960.
|
||||
|
||||
\bibitem[Luong et Thompson(1987)]{luong1987minimum}
|
||||
A~Luong et ME~Thompson.
|
||||
\newblock Minimum-distance methods based on quadratic distances for transforms.
|
||||
\newblock \emph{Canadian Journal of Statistics}, 15\penalty0 (3):\penalty0
|
||||
239--251, 1987.
|
||||
|
||||
\bibitem[Madan et Seneta(1990)]{madan1990variance}
|
||||
Dilip~B Madan et Eugene Seneta.
|
||||
\newblock The variance gamma (vg) model for share market returns.
|
||||
\newblock \emph{Journal of business}, pages 511--524, 1990.
|
||||
|
||||
\bibitem[Madan et~al.(1998)Madan, Carr, et Chang]{madan1998variance}
|
||||
Dilip~B Madan, Peter~P Carr, et Eric~C Chang.
|
||||
\newblock The variance gamma process and option pricing.
|
||||
\newblock \emph{European Finance Review}, 2\penalty0 (1):\penalty0 79--105,
|
||||
1998.
|
||||
|
||||
\bibitem[Mandelbrot(1963)]{mandelbrot1963variation}
|
||||
B.~Mandelbrot.
|
||||
\newblock The variation of certain speculative prices.
|
||||
\newblock \emph{Journal of business}, pages 394--419, 1963.
|
||||
|
||||
\bibitem[Merton(1976)]{merton1976option}
|
||||
Robert~C Merton.
|
||||
\newblock Option pricing when underlying stock returns are discontinuous.
|
||||
\newblock \emph{Journal of financial economics}, 3\penalty0 (1):\penalty0
|
||||
125--144, 1976.
|
||||
|
||||
\bibitem[Mitchell(1916)]{mitchell1916critique}
|
||||
Wesley~C Mitchell.
|
||||
\newblock A critique of index numbers of the prices of stocks.
|
||||
\newblock \emph{The Journal of Political Economy}, pages 625--693, 1916.
|
||||
|
||||
\bibitem[Newey et McFadden(1994)]{newey1994large}
|
||||
Whitney~K Newey et Daniel McFadden.
|
||||
\newblock Large sample estimation and hypothesis testing.
|
||||
\newblock \emph{Handbook of econometrics}, 4:\penalty0 2111--2245, 1994.
|
||||
|
||||
\bibitem[Newey et West(1987)]{newey1987hypothesis}
|
||||
Whitney~K Newey et Kenneth~D West.
|
||||
\newblock Hypothesis testing with efficient method of moments estimation.
|
||||
\newblock \emph{International Economic Review}, 28\penalty0 (3):\penalty0
|
||||
777--787, 1987.
|
||||
|
||||
\bibitem[Praetz(1972)]{praetz1972distribution}
|
||||
Peter~D Praetz.
|
||||
\newblock The distribution of share price changes.
|
||||
\newblock \emph{Journal of business}, pages 49--55, 1972.
|
||||
|
||||
\bibitem[Press(1967)]{press1967compound}
|
||||
S~James Press.
|
||||
\newblock A compound events model for security prices.
|
||||
\newblock \emph{Journal of Business}, pages 317--335, 1967.
|
||||
|
||||
\bibitem[Sato(1999)]{sato1999levy}
|
||||
K.~Sato.
|
||||
\newblock \emph{L{\'e}vy Processes and Infinitely Divisible Distributions}.
|
||||
\newblock Cambridge Studies in Advanced Mathematics. Cambridge University
|
||||
Press, 1999.
|
||||
\newblock ISBN 9780521553025.
|
||||
\newblock URL \url{http://books.google.ca/books?id=CwT5BNG0-owC}.
|
||||
|
||||
\bibitem[Schoutens(2003)]{schoutens2003levy}
|
||||
Wim Schoutens.
|
||||
\newblock \emph{L{\'e}vy processes in Finance}.
|
||||
\newblock Wiley, 2003.
|
||||
|
||||
\bibitem[Scott et Dong(2012)]{RpackageVarianceGamma}
|
||||
David Scott et Christine~Yang Dong.
|
||||
\newblock \emph{VarianceGamma: The Variance Gamma Distribution}, 2012.
|
||||
\newblock URL \url{http://CRAN.R-project.org/package=VarianceGamma}.
|
||||
\newblock R package version 0.3-1.
|
||||
|
||||
\bibitem[Seneta(2004)]{seneta2004fitting}
|
||||
Eugene Seneta.
|
||||
\newblock Fitting the variance-gamma model to financial data.
|
||||
\newblock \emph{Journal of Applied Probability}, pages 177--187, 2004.
|
||||
|
||||
\bibitem[Shapiro et Wilk(1965)]{shapiro1965analysis}
|
||||
Samuel~Sanford Shapiro et Martin~B Wilk.
|
||||
\newblock An analysis of variance test for normality (complete samples).
|
||||
\newblock \emph{Biometrika}, 52\penalty0 (3/4):\penalty0 591--611, 1965.
|
||||
|
||||
\bibitem[Shephard(1991)]{shephard1991characteristic}
|
||||
Neil~G Shephard.
|
||||
\newblock From characteristic function to distribution function: a simple
|
||||
framework for the theory.
|
||||
\newblock \emph{Econometric Theory}, 7\penalty0 (04):\penalty0 519--529, 1991.
|
||||
|
||||
\bibitem[Spiegel et Liu(1999)]{spiegel1999schaum}
|
||||
Murray~R Spiegel et John Liu.
|
||||
\newblock \emph{Schaum's mathematical handbook of formulas and tables}, volume
|
||||
1000.
|
||||
\newblock McGraw-Hill, 1999.
|
||||
|
||||
\bibitem[Stuart et Ord(1987)]{stuart1987kendall}
|
||||
Alan Stuart et J~Keith Ord.
|
||||
\newblock \emph{Kendall’s advanced theory of statistics, Vol. 1}.
|
||||
\newblock Oxford University Press, New York, 1987.
|
||||
|
||||
\bibitem[Teschl(2004)]{teschl2004topics}
|
||||
Gerald Teschl.
|
||||
\newblock Topics in real and functional analysis.
|
||||
\newblock \emph{unpublished, available online at
|
||||
\url{http://www.mat.univie.ac.at/\~gerald}}, 2004.
|
||||
|
||||
\bibitem[Walter()]{walterlevy}
|
||||
Christian Walter.
|
||||
\newblock Levy-stability-under-addition and fractal structure of markets:
|
||||
imlications for the actuaries and emphasized axamination of matif national
|
||||
contract.
|
||||
|
||||
\bibitem[Wang et~al.(2003)Wang, Tsang, et Marsaglia]{wang2003evaluating}
|
||||
Jingbo Wang, Wai~Wan Tsang, et George Marsaglia.
|
||||
\newblock Evaluating kolmogorov's distribution.
|
||||
\newblock \emph{Journal of Statistical Software}, 8\penalty0 (18):\penalty0
|
||||
1--4, 2003.
|
||||
|
||||
\bibitem[Wendel(1961)]{wendel1961non}
|
||||
JG~Wendel.
|
||||
\newblock The non-absolute convergence of gil-pelaez'inversion integral.
|
||||
\newblock \emph{The Annals of Mathematical Statistics}, 32\penalty0
|
||||
(1):\penalty0 338--339, 1961.
|
||||
|
||||
\bibitem[Wolfowitz(1957)]{wolfowitz1957minimum}
|
||||
Jacob Wolfowitz.
|
||||
\newblock The minimum distance method.
|
||||
\newblock \emph{The Annals of Mathematical Statistics}, pages 75--88, 1957.
|
||||
|
||||
\bibitem[Wooldridge(2001)]{wooldridge2001econometric}
|
||||
Jeffrey~M Wooldridge.
|
||||
\newblock \emph{Econometric analysis of cross section and panel data}.
|
||||
\newblock MIT press, 2001.
|
||||
|
||||
\end{thebibliography}
|
||||
|
|
@ -1,68 +0,0 @@
|
|||
This is BibTeX, Version 0.99d (TeX Live 2012/Debian)
|
||||
Capacity: max_strings=35307, hash_size=35307, hash_prime=30011
|
||||
The top-level auxiliary file: gabarit-maitrise.aux
|
||||
The style file: plainnatmod.bst
|
||||
A level-1 auxiliary file: resume.aux
|
||||
A level-1 auxiliary file: abstract.aux
|
||||
A level-1 auxiliary file: remerciements.aux
|
||||
A level-1 auxiliary file: introduction.aux
|
||||
A level-1 auxiliary file: chapitre1.aux
|
||||
A level-1 auxiliary file: chapitre2.aux
|
||||
A level-1 auxiliary file: chapitre3.aux
|
||||
A level-1 auxiliary file: chapitre4.aux
|
||||
A level-1 auxiliary file: chapitre5.aux
|
||||
A level-1 auxiliary file: chapitre6.aux
|
||||
A level-1 auxiliary file: chapitre7.aux
|
||||
A level-1 auxiliary file: chapitre8.aux
|
||||
A level-1 auxiliary file: chapitre9.aux
|
||||
A level-1 auxiliary file: conclusion.aux
|
||||
A level-1 auxiliary file: annexe1.aux
|
||||
A level-1 auxiliary file: annexe2.aux
|
||||
A level-1 auxiliary file: annexe3.aux
|
||||
A level-1 auxiliary file: deed.aux
|
||||
Database file #1: memoire.bib
|
||||
Warning--empty booktitle in walterlevy
|
||||
Warning--empty year in walterlevy
|
||||
Warning--empty year in walterlevy
|
||||
You've used 63 entries,
|
||||
2773 wiz_defined-function locations,
|
||||
974 strings with 13683 characters,
|
||||
and the built_in function-call counts, 25492 in all, are:
|
||||
= -- 2374
|
||||
> -- 963
|
||||
< -- 80
|
||||
+ -- 345
|
||||
- -- 282
|
||||
* -- 1720
|
||||
:= -- 3843
|
||||
add.period$ -- 201
|
||||
call.type$ -- 63
|
||||
change.case$ -- 263
|
||||
chr.to.int$ -- 63
|
||||
cite$ -- 129
|
||||
duplicate$ -- 1378
|
||||
empty$ -- 2363
|
||||
format.name$ -- 391
|
||||
if$ -- 5467
|
||||
int.to.chr$ -- 1
|
||||
int.to.str$ -- 1
|
||||
missing$ -- 81
|
||||
newline$ -- 333
|
||||
num.names$ -- 252
|
||||
pop$ -- 596
|
||||
preamble$ -- 1
|
||||
purify$ -- 220
|
||||
quote$ -- 0
|
||||
skip$ -- 1041
|
||||
stack$ -- 0
|
||||
substring$ -- 1124
|
||||
swap$ -- 192
|
||||
text.length$ -- 21
|
||||
text.prefix$ -- 0
|
||||
top$ -- 0
|
||||
type$ -- 593
|
||||
warning$ -- 3
|
||||
while$ -- 278
|
||||
width$ -- 0
|
||||
write$ -- 830
|
||||
(There were 3 warnings)
|
||||
|
|
@ -1,30 +0,0 @@
|
|||
\select@language {french}
|
||||
\select@language {french}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {1.1}{\ignorespaces Mod\IeC {\`e}le de Bachelier: probabilit\IeC {\'e} compos\IeC {\'e}e\relax }}{8}{figure.caption.12}
|
||||
\contentsline {figure}{\numberline {1.2}{\ignorespaces Distribution des rendements annuels de 40 titres boursiers, de 1890 \IeC {\`a} 1915, Table XVIII de \cite {mitchell1916critique}\relax }}{10}{figure.caption.13}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {2.1}{\ignorespaces Premier incr\IeC {\'e}ment d'un processus subordonn\IeC {\'e}\relax }}{23}{figure.caption.16}
|
||||
\contentsline {figure}{\numberline {2.2}{\ignorespaces Simulation d'un processus de Wiener subordonn\IeC {\'e} par un processus gamma\relax }}{24}{figure.caption.17}
|
||||
\contentsline {figure}{\numberline {2.3}{\ignorespaces Fonction de densit\IeC {\'e} de la distribution Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e avec diff\IeC {\'e}rents param\IeC {\`e}tres: $GAL(y;\theta ,\sigma ,\kappa ,\tau )$\relax }}{31}{figure.caption.19}
|
||||
\contentsline {figure}{\numberline {2.4}{\ignorespaces Histogramme et estimateur de densit\IeC {\'e} par noyau de 2500 r\IeC {\'e}alisations de la variable al\IeC {\'e}atoire $Y\sim GAL(\theta =0,\sigma =1,\kappa =2,\tau =1)$\relax }}{34}{figure.caption.20}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {3.1}{\ignorespaces Probabilit\IeC {\'e} \IeC {\`a} l'extr\IeC {\'e}mit\IeC {\'e} du support\relax }}{40}{figure.caption.23}
|
||||
\contentsline {figure}{\numberline {3.2}{\ignorespaces Distribution normale tronqu\IeC {\'e}e \IeC {\`a} $w_0$\relax }}{41}{figure.caption.24}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {figure}{\numberline {9.1}{\ignorespaces Repr\IeC {\'e}sentation en s\IeC {\'e}rie chronologique de l'\IeC {\'e}chantillon $R_1$\relax }}{98}{figure.caption.28}
|
||||
\contentsline {figure}{\numberline {9.2}{\ignorespaces Distribution de la variable al\IeC {\'e}atoire $R_1$\relax }}{99}{figure.caption.31}
|
||||
\contentsline {figure}{\numberline {9.3}{\ignorespaces Graphique Quantile-Quantile\relax }}{100}{figure.caption.33}
|
||||
\contentsline {figure}{\numberline {9.4}{\ignorespaces \IeC {\'E}quation du point de selle pour $r=0.01$\relax }}{104}{figure.caption.37}
|
||||
\contentsline {figure}{\numberline {9.5}{\ignorespaces Densit\IeC {\'e} de $R_1^{*}$ selon la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{106}{figure.caption.42}
|
||||
\contentsline {figure}{\numberline {9.6}{\ignorespaces Densit\IeC {\'e} de $R_1^{*}$ selon la m\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale\relax }}{107}{figure.caption.43}
|
||||
\contentsline {figure}{\numberline {9.7}{\ignorespaces Prix de l'option selon les param\IeC {\`e}tres estim\IeC {\'e}s avec la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{110}{figure.caption.49}
|
||||
\contentsline {figure}{\numberline {9.8}{\ignorespaces Prix de l'option selon les param\IeC {\`e}tres estim\IeC {\'e}s avec la m\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale\relax }}{111}{figure.caption.50}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
File diff suppressed because it is too large
Load diff
|
|
@ -1,38 +0,0 @@
|
|||
\select@language {french}
|
||||
\select@language {french}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {1.1}{\ignorespaces Domaine et r\IeC {\^o}le des param\IeC {\`e}tres de la distribution L stable de Mandelbrot\relax }}{12}{table.caption.14}
|
||||
\contentsline {table}{\numberline {1.2}{\ignorespaces Respect des conditions \IeC {\'e}mises par Madan et Seneta pour les diff\IeC {\'e}rents mod\IeC {\`e}les pr\IeC {\'e}sent\IeC {\'e}s\relax }}{17}{table.caption.15}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {2.1}{\ignorespaces Domaine et r\IeC {\^o}le des param\IeC {\`e}tres de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{30}{table.caption.18}
|
||||
\contentsline {table}{\numberline {2.2}{\ignorespaces Cas sp\IeC {\'e}ciaux de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{35}{table.caption.21}
|
||||
\contentsline {table}{\numberline {2.3}{\ignorespaces Changements de param\IeC {\'e}trisation\relax }}{37}{table.caption.22}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {4.1}{\ignorespaces Tests d'hypoth\IeC {\`e}se param\IeC {\'e}triques pour la m\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e\relax }}{63}{table.caption.25}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {5.1}{\ignorespaces M\IeC {\'e}thodes d'estimation repr\IeC {\'e}sentables par la forme quadratique \textup {\hbox {\mathsurround \z@ \normalfont (\ignorespaces \ref {eq:generalquad}\unskip \@@italiccorr )}} \relax }}{67}{table.caption.26}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {6.1}{\ignorespaces Contraintes lin\IeC {\'e}aires pour les cas particuliers de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e $GAL(\theta ,\sigma ,\mu ,\tau )$\relax }}{77}{table.caption.27}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {9.1}{\ignorespaces Statistiques d'ordre de l'\IeC {\'e}chantillon $R_1$\relax }}{97}{table.caption.29}
|
||||
\contentsline {table}{\numberline {9.2}{\ignorespaces Valeurs relatives aux premiers moments de l'\IeC {\'e}chantillon $R_1$\relax }}{98}{table.caption.30}
|
||||
\contentsline {table}{\numberline {9.3}{\ignorespaces Test de normalit\IeC {\'e} d'Epps-Pulley pour $R_1$\relax }}{98}{table.caption.32}
|
||||
\contentsline {table}{\numberline {9.4}{\ignorespaces Param\IeC {\`e}tres $\theta _1$ de la premi\IeC {\`e}re optimisation\relax }}{100}{table.caption.34}
|
||||
\contentsline {table}{\numberline {9.5}{\ignorespaces Param\IeC {\`e}tres $\theta _1$ de la premi\IeC {\`e}re optimisation\relax }}{102}{table.caption.35}
|
||||
\contentsline {table}{\numberline {9.6}{\ignorespaces Param\IeC {\`e}tres des donn\IeC {\'e}es $R_1$\relax }}{103}{table.caption.36}
|
||||
\contentsline {table}{\numberline {9.7}{\ignorespaces Approximation de la densit\IeC {\'e} de $R_1$\relax }}{104}{table.caption.38}
|
||||
\contentsline {table}{\numberline {9.8}{\ignorespaces Approximation de la fonction de r\IeC {\'e}partition de $R_1$\relax }}{105}{table.caption.39}
|
||||
\contentsline {table}{\numberline {9.9}{\ignorespaces Courbes de densit\IeC {\'e}\relax }}{105}{table.caption.40}
|
||||
\contentsline {table}{\numberline {9.10}{\ignorespaces Valeur de l'int\IeC {\'e}grale de l'approximation de la densit\IeC {\'e} par la m\IeC {\'e}thode du point de selle \relax }}{105}{table.caption.41}
|
||||
\contentsline {table}{\numberline {9.11}{\ignorespaces Test du $\chi ^2$\relax }}{108}{table.caption.44}
|
||||
\contentsline {table}{\numberline {9.12}{\ignorespaces Test de Kolmogorov-Smirnov\relax }}{108}{table.caption.45}
|
||||
\contentsline {table}{\numberline {9.13}{\ignorespaces Test de distance minimale bas\IeC {\'e} sur la fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments\relax }}{109}{table.caption.46}
|
||||
\contentsline {table}{\numberline {9.14}{\ignorespaces Caract\IeC {\'e}ristiques de l'option\relax }}{109}{table.caption.47}
|
||||
\contentsline {table}{\numberline {9.15}{\ignorespaces Param\IeC {\`e}tres neutres au risque\relax }}{109}{table.caption.48}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\addvspace {10pt}
|
||||
\contentsline {table}{\numberline {C.1}{\ignorespaces Prix du titre Abbey National (penny sterling) du 31 juillet au 8 octobre 1991\relax }}{129}{table.caption.60}
|
||||
|
|
@ -1,135 +0,0 @@
|
|||
\BOOKMARK [0][-]{section*.2}{R\351sum\351}{}% 1
|
||||
\BOOKMARK [0][-]{section*.4}{Abstract}{}% 2
|
||||
\BOOKMARK [0][-]{section*.5}{Table des mati\350res}{}% 3
|
||||
\BOOKMARK [0][-]{section*.6}{Liste des tableaux}{}% 4
|
||||
\BOOKMARK [0][-]{section*.7}{Liste des figures}{}% 5
|
||||
\BOOKMARK [0][-]{section*.9}{Remerciements}{}% 6
|
||||
\BOOKMARK [0][-]{section*.11}{Introduction}{}% 7
|
||||
\BOOKMARK [0][-]{chapter.1}{Les mod\350les de rendements financiers}{}% 8
|
||||
\BOOKMARK [1][-]{section.1.1}{L'utilisation de mod\350les en finance}{chapter.1}% 9
|
||||
\BOOKMARK [2][-]{subsection.1.1.1}{Diff\351rents types de mod\350les}{section.1.1}% 10
|
||||
\BOOKMARK [2][-]{subsection.1.1.2}{Le risque de mod\351lisation}{section.1.1}% 11
|
||||
\BOOKMARK [1][-]{section.1.2}{Les rendements financiers}{chapter.1}% 12
|
||||
\BOOKMARK [2][-]{subsection.1.2.1}{D\351finitions et notations}{section.1.2}% 13
|
||||
\BOOKMARK [2][-]{subsection.1.2.2}{Rendements cumul\351s}{section.1.2}% 14
|
||||
\BOOKMARK [2][-]{subsection.1.2.3}{Donn\351es disponibles}{section.1.2}% 15
|
||||
\BOOKMARK [1][-]{section.1.3}{Les premiers mod\350les}{chapter.1}% 16
|
||||
\BOOKMARK [2][-]{subsection.1.3.1}{Le mod\350le de Bachelier}{section.1.3}% 17
|
||||
\BOOKMARK [2][-]{subsection.1.3.2}{Proposition de Mandelbrot}{section.1.3}% 18
|
||||
\BOOKMARK [2][-]{subsection.1.3.3}{Le mod\350le de Press}{section.1.3}% 19
|
||||
\BOOKMARK [2][-]{subsection.1.3.4}{Le mod\350le de Praetz}{section.1.3}% 20
|
||||
\BOOKMARK [1][-]{section.1.4}{Conditions essentielles de Madan et Seneta}{chapter.1}% 21
|
||||
\BOOKMARK [0][-]{chapter.2}{La distribution de Laplace asym\351trique g\351n\351ralis\351e}{}% 22
|
||||
\BOOKMARK [1][-]{section.2.1}{Le processus de Laplace}{chapter.2}% 23
|
||||
\BOOKMARK [2][-]{subsection.2.1.1}{Le processus gamma}{section.2.1}% 24
|
||||
\BOOKMARK [2][-]{subsection.2.1.2}{Le processus de Wiener}{section.2.1}% 25
|
||||
\BOOKMARK [2][-]{subsection.2.1.3}{Le processus de Laplace est un processus subordonn\351}{section.2.1}% 26
|
||||
\BOOKMARK [1][-]{section.2.2}{Distribution de Laplace asym\351trique g\351n\351ralis\351e}{chapter.2}% 27
|
||||
\BOOKMARK [2][-]{subsection.2.2.1}{Fonction caract\351ristique}{section.2.2}% 28
|
||||
\BOOKMARK [2][-]{subsection.2.2.2}{Invariance d'\351chelle}{section.2.2}% 29
|
||||
\BOOKMARK [2][-]{subsection.2.2.3}{Fonctions g\351n\351ratrices}{section.2.2}% 30
|
||||
\BOOKMARK [2][-]{subsection.2.2.4}{Moments et r\364le des param\350tres}{section.2.2}% 31
|
||||
\BOOKMARK [2][-]{subsection.2.2.5}{Changement d'\351chelle et de localisation}{section.2.2}% 32
|
||||
\BOOKMARK [2][-]{subsection.2.2.6}{Repr\351sentation alternative et simulation}{section.2.2}% 33
|
||||
\BOOKMARK [2][-]{subsection.2.2.7}{Fonction de Bessel et densit\351}{section.2.2}% 34
|
||||
\BOOKMARK [1][-]{section.2.3}{Cas particuliers}{chapter.2}% 35
|
||||
\BOOKMARK [2][-]{subsection.2.3.1}{Distribution de Laplace asym\351trique}{section.2.3}% 36
|
||||
\BOOKMARK [1][-]{section.2.4}{Relation avec le mod\350le de madan1990variance}{chapter.2}% 37
|
||||
\BOOKMARK [0][-]{chapter.3}{Approximation de la densit\351 et de la fonction de r\351partition}{}% 38
|
||||
\BOOKMARK [1][-]{section.3.1}{L'approximation de Laplace}{chapter.3}% 39
|
||||
\BOOKMARK [1][-]{section.3.2}{L'approximation de Temme}{chapter.3}% 40
|
||||
\BOOKMARK [1][-]{section.3.3}{La m\351thode du point de selle}{chapter.3}% 41
|
||||
\BOOKMARK [2][-]{subsection.3.3.1}{Approximation de la densit\351}{section.3.3}% 42
|
||||
\BOOKMARK [2][-]{subsection.3.3.2}{Unicit\351 du point de selle}{section.3.3}% 43
|
||||
\BOOKMARK [2][-]{subsection.3.3.3}{Approximation de la fonction de r\351partition}{section.3.3}% 44
|
||||
\BOOKMARK [2][-]{subsection.3.3.4}{Quelques propri\351t\351s des approximations}{section.3.3}% 45
|
||||
\BOOKMARK [1][-]{section.3.4}{Application de la m\351thode du point de selle}{chapter.3}% 46
|
||||
\BOOKMARK [2][-]{subsection.3.4.1}{Approximation de la densit\351}{section.3.4}% 47
|
||||
\BOOKMARK [2][-]{subsection.3.4.2}{Approximation de la fonction de r\351partition}{section.3.4}% 48
|
||||
\BOOKMARK [0][-]{chapter.4}{M\351thode des moments g\351n\351ralis\351e}{}% 49
|
||||
\BOOKMARK [1][-]{section.4.1}{Introduction}{chapter.4}% 50
|
||||
\BOOKMARK [2][-]{subsection.4.1.1}{M\351thode classique des moments}{section.4.1}% 51
|
||||
\BOOKMARK [1][-]{section.4.2}{M\351thode des moments g\351n\351ralis\351e}{chapter.4}% 52
|
||||
\BOOKMARK [2][-]{subsection.4.2.1}{D\351finition}{section.4.2}% 53
|
||||
\BOOKMARK [2][-]{subsection.4.2.2}{Convergence}{section.4.2}% 54
|
||||
\BOOKMARK [2][-]{subsection.4.2.3}{Matrice de pond\351ration optimale}{section.4.2}% 55
|
||||
\BOOKMARK [2][-]{subsection.4.2.4}{M\351thode des moments g\351n\351ralis\351e it\351rative}{section.4.2}% 56
|
||||
\BOOKMARK [2][-]{subsection.4.2.5}{Distribution asymptotique des estimateurs}{section.4.2}% 57
|
||||
\BOOKMARK [1][-]{section.4.3}{Estimation sous contraintes}{chapter.4}% 58
|
||||
\BOOKMARK [2][-]{subsection.4.3.1}{Distribution asymptotique des estimateurs contraints}{section.4.3}% 59
|
||||
\BOOKMARK [1][-]{section.4.4}{Tests d'hypoth\350ses param\351triques}{chapter.4}% 60
|
||||
\BOOKMARK [2][-]{subsection.4.4.1}{Test de Wald}{section.4.4}% 61
|
||||
\BOOKMARK [2][-]{subsection.4.4.2}{Test du multiplicateur de Lagrange}{section.4.4}% 62
|
||||
\BOOKMARK [2][-]{subsection.4.4.3}{Test bas\351 sur la statistique de m\351trique de distance}{section.4.4}% 63
|
||||
\BOOKMARK [2][-]{subsection.4.4.4}{En r\351sum\351}{section.4.4}% 64
|
||||
\BOOKMARK [0][-]{chapter.5}{M\351thode de l'\351quation d'estimation optimale}{}% 65
|
||||
\BOOKMARK [1][-]{section.5.1}{\311quation d'estimation optimale}{chapter.5}% 66
|
||||
\BOOKMARK [1][-]{section.5.2}{\311quation d'estimation optimale modifi\351e}{chapter.5}% 67
|
||||
\BOOKMARK [0][-]{chapter.6}{Estimation des param\350tres de la distribution de Laplace asym\351trique g\351n\351ralis\351e}{}% 68
|
||||
\BOOKMARK [1][-]{section.6.1}{Vecteur de param\350tres initiaux}{chapter.6}% 69
|
||||
\BOOKMARK [1][-]{section.6.2}{M\351thode des moments g\351n\351ralis\351e}{chapter.6}% 70
|
||||
\BOOKMARK [2][-]{subsection.6.2.1}{Matrice de pond\351ration optimale}{section.6.2}% 71
|
||||
\BOOKMARK [2][-]{subsection.6.2.2}{Variance-covariance des param\350tres}{section.6.2}% 72
|
||||
\BOOKMARK [2][-]{subsection.6.2.3}{Contraintes lin\351aires}{section.6.2}% 73
|
||||
\BOOKMARK [1][-]{section.6.3}{M\351thode de l'\351quation d'estimation optimale}{chapter.6}% 74
|
||||
\BOOKMARK [0][-]{chapter.7}{Tests statistiques}{}% 75
|
||||
\BOOKMARK [1][-]{section.7.1}{Test de normalit\351}{chapter.7}% 76
|
||||
\BOOKMARK [2][-]{subsection.7.1.1}{Test de Shapiro-Wilk}{section.7.1}% 77
|
||||
\BOOKMARK [2][-]{subsection.7.1.2}{Test d\220Epps-Pulley}{section.7.1}% 78
|
||||
\BOOKMARK [1][-]{section.7.2}{Tests d'ad\351quation}{chapter.7}% 79
|
||||
\BOOKMARK [2][-]{subsection.7.2.1}{Test 2 de Pearson}{section.7.2}% 80
|
||||
\BOOKMARK [2][-]{subsection.7.2.2}{Test de Kolmogorov-Smirnov}{section.7.2}% 81
|
||||
\BOOKMARK [2][-]{subsection.7.2.3}{Test de distance minimale bas\351 sur la fonction g\351n\351ratrice des moments}{section.7.2}% 82
|
||||
\BOOKMARK [0][-]{chapter.8}{\311valuation d'options}{}% 83
|
||||
\BOOKMARK [1][-]{section.8.1}{D\351finitions}{chapter.8}% 84
|
||||
\BOOKMARK [2][-]{subsection.8.1.1}{\311quation martingale}{section.8.1}% 85
|
||||
\BOOKMARK [2][-]{subsection.8.1.2}{Param\350tres neutres au risque}{section.8.1}% 86
|
||||
\BOOKMARK [1][-]{section.8.2}{Aper\347u du mod\350le de Black-Scholes}{chapter.8}% 87
|
||||
\BOOKMARK [1][-]{section.8.3}{M\351thodes d'\351valuation pour options europ\351ennes}{chapter.8}% 88
|
||||
\BOOKMARK [2][-]{subsection.8.3.1}{M\351thode de Heston}{section.8.3}% 89
|
||||
\BOOKMARK [2][-]{subsection.8.3.2}{M\351thode de Carr et Madan}{section.8.3}% 90
|
||||
\BOOKMARK [2][-]{subsection.8.3.3}{Prix d'exercice hors du cours}{section.8.3}% 91
|
||||
\BOOKMARK [2][-]{subsection.8.3.4}{Critique de la m\351thode de Carr-Madan}{section.8.3}% 92
|
||||
\BOOKMARK [2][-]{subsection.8.3.5}{M\351thode d\220Epps}{section.8.3}% 93
|
||||
\BOOKMARK [1][-]{section.8.4}{Particularit\351s}{chapter.8}% 94
|
||||
\BOOKMARK [2][-]{subsection.8.4.1}{Option sur actions avec dividendes}{section.8.4}% 95
|
||||
\BOOKMARK [2][-]{subsection.8.4.2}{Options sur contrats \340 terme et taux de change}{section.8.4}% 96
|
||||
\BOOKMARK [0][-]{chapter.9}{Exemple d'application}{}% 97
|
||||
\BOOKMARK [1][-]{section.9.1}{Description des donn\351es}{chapter.9}% 98
|
||||
\BOOKMARK [1][-]{section.9.2}{Estimation}{chapter.9}% 99
|
||||
\BOOKMARK [1][-]{section.9.3}{Approximation}{chapter.9}% 100
|
||||
\BOOKMARK [1][-]{section.9.4}{Graphiques}{chapter.9}% 101
|
||||
\BOOKMARK [1][-]{section.9.5}{Tests statistiques}{chapter.9}% 102
|
||||
\BOOKMARK [1][-]{section.9.6}{\311valuation d'options}{chapter.9}% 103
|
||||
\BOOKMARK [0][-]{section*.52}{Conclusion}{}% 104
|
||||
\BOOKMARK [0][-]{appendix.A}{\311l\351ments de th\351orie des probabilit\351s}{}% 105
|
||||
\BOOKMARK [1][-]{section.A.1}{D\351finitions de base}{appendix.A}% 106
|
||||
\BOOKMARK [1][-]{section.A.2}{Transform\351es d'une variable al\351atoire}{appendix.A}% 107
|
||||
\BOOKMARK [2][-]{subsection.A.2.1}{La fonction caract\351ristique}{section.A.2}% 108
|
||||
\BOOKMARK [3][-]{section*.53}{Transform\351e de Fourier}{subsection.A.2.1}% 109
|
||||
\BOOKMARK [3][-]{section*.54}{D\351finition}{subsection.A.2.1}% 110
|
||||
\BOOKMARK [3][-]{section*.55}{Les moments}{subsection.A.2.1}% 111
|
||||
\BOOKMARK [2][-]{subsection.A.2.2}{Inversion de la fonction caract\351ristique}{section.A.2}% 112
|
||||
\BOOKMARK [3][-]{section*.56}{La densit\351}{subsection.A.2.2}% 113
|
||||
\BOOKMARK [3][-]{section*.57}{La fonction de r\351partition}{subsection.A.2.2}% 114
|
||||
\BOOKMARK [2][-]{subsection.A.2.3}{La fonction g\351n\351ratrice des moments}{section.A.2}% 115
|
||||
\BOOKMARK [2][-]{subsection.A.2.4}{La fonction g\351n\351ratrice des cumulants}{section.A.2}% 116
|
||||
\BOOKMARK [2][-]{subsection.A.2.5}{La transform\351e d'Esscher}{section.A.2}% 117
|
||||
\BOOKMARK [1][-]{section.A.3}{La transform\351e de Fourier rapide}{appendix.A}% 118
|
||||
\BOOKMARK [1][-]{section.A.4}{Processus de L\351vy}{appendix.A}% 119
|
||||
\BOOKMARK [2][-]{subsection.A.4.1}{D\351finition et propri\351t\351s}{section.A.4}% 120
|
||||
\BOOKMARK [3][-]{section*.58}{Repr\351sentation de L\351vy-Khintchine}{subsection.A.4.1}% 121
|
||||
\BOOKMARK [3][-]{section*.59}{Repr\351sentation de L\351vy-It\364}{subsection.A.4.1}% 122
|
||||
\BOOKMARK [2][-]{subsection.A.4.2}{Processus subordonn\351}{section.A.4}% 123
|
||||
\BOOKMARK [1][-]{section.A.5}{Th\351or\350mes d'int\351gration}{appendix.A}% 124
|
||||
\BOOKMARK [2][-]{subsection.A.5.1}{Th\351or\350me de convergence domin\351e de Lebesgue}{section.A.5}% 125
|
||||
\BOOKMARK [2][-]{subsection.A.5.2}{Th\351or\350me de Fubini}{section.A.5}% 126
|
||||
\BOOKMARK [0][-]{appendix.B}{\311l\351ments de statistique math\351matique}{}% 127
|
||||
\BOOKMARK [1][-]{section.B.1}{Loi faible des grands nombres}{appendix.B}% 128
|
||||
\BOOKMARK [1][-]{section.B.2}{Th\351or\350me central limite}{appendix.B}% 129
|
||||
\BOOKMARK [2][-]{subsection.B.2.1}{Cas univari\351}{section.B.2}% 130
|
||||
\BOOKMARK [2][-]{subsection.B.2.2}{Cas multivari\351}{section.B.2}% 131
|
||||
\BOOKMARK [1][-]{section.B.3}{M\351thode delta multivari\351e}{appendix.B}% 132
|
||||
\BOOKMARK [0][-]{appendix.C}{Donn\351es}{}% 133
|
||||
\BOOKMARK [0][-]{section*.62}{Bibliographie}{}% 134
|
||||
\BOOKMARK [0][-]{section*.64}{Contrat de partage}{}% 135
|
||||
Binary file not shown.
|
|
@ -1,137 +0,0 @@
|
|||
\select@language {french}
|
||||
\select@language {french}
|
||||
\contentsline {chapter}{R\IeC {\'e}sum\IeC {\'e}}{iii}{section*.2}
|
||||
\contentsline {chapter}{Abstract}{v}{section*.4}
|
||||
\contentsline {chapter}{Table des mati{\`e}res}{vii}{section*.5}
|
||||
\contentsline {chapter}{Liste des tableaux}{xi}{section*.6}
|
||||
\contentsline {chapter}{Liste des figures}{xiii}{section*.7}
|
||||
\contentsline {chapter}{Remerciements}{xvii}{section*.9}
|
||||
\contentsline {chapter}{Introduction}{1}{section*.11}
|
||||
\contentsline {chapter}{\chapternumberline {1}Les mod\IeC {\`e}les de rendements financiers}{3}{chapter.1}
|
||||
\contentsline {section}{\numberline {1.1}L'utilisation de mod\IeC {\`e}les en finance}{3}{section.1.1}
|
||||
\contentsline {subsection}{\numberline {1.1.1}Diff\IeC {\'e}rents types de mod\IeC {\`e}les}{3}{subsection.1.1.1}
|
||||
\contentsline {subsection}{\numberline {1.1.2}Le risque de mod\IeC {\'e}lisation}{4}{subsection.1.1.2}
|
||||
\contentsline {section}{\numberline {1.2}Les rendements financiers}{5}{section.1.2}
|
||||
\contentsline {subsection}{\numberline {1.2.1}D\IeC {\'e}finitions et notations}{5}{subsection.1.2.1}
|
||||
\contentsline {subsection}{\numberline {1.2.2}Rendements cumul\IeC {\'e}s}{7}{subsection.1.2.2}
|
||||
\contentsline {subsection}{\numberline {1.2.3}Donn\IeC {\'e}es disponibles}{8}{subsection.1.2.3}
|
||||
\contentsline {section}{\numberline {1.3}Les premiers mod\IeC {\`e}les}{8}{section.1.3}
|
||||
\contentsline {subsection}{\numberline {1.3.1}Le mod\IeC {\`e}le de Bachelier}{8}{subsection.1.3.1}
|
||||
\contentsline {subsection}{\numberline {1.3.2}Proposition de Mandelbrot}{11}{subsection.1.3.2}
|
||||
\contentsline {subsection}{\numberline {1.3.3}Le mod\IeC {\`e}le de Press}{12}{subsection.1.3.3}
|
||||
\contentsline {subsection}{\numberline {1.3.4}Le mod\IeC {\`e}le de Praetz}{15}{subsection.1.3.4}
|
||||
\contentsline {section}{\numberline {1.4}Conditions essentielles de Madan et Seneta}{16}{section.1.4}
|
||||
\contentsline {chapter}{\chapternumberline {2}La distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{19}{chapter.2}
|
||||
\contentsline {section}{\numberline {2.1}Le processus de Laplace}{19}{section.2.1}
|
||||
\contentsline {subsection}{\numberline {2.1.1}Le processus gamma}{20}{subsection.2.1.1}
|
||||
\contentsline {subsection}{\numberline {2.1.2}Le processus de Wiener}{21}{subsection.2.1.2}
|
||||
\contentsline {subsection}{\numberline {2.1.3}Le processus de Laplace est un processus subordonn\IeC {\'e}}{22}{subsection.2.1.3}
|
||||
\contentsline {section}{\numberline {2.2}Distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{25}{section.2.2}
|
||||
\contentsline {subsection}{\numberline {2.2.1}Fonction caract\IeC {\'e}ristique}{25}{subsection.2.2.1}
|
||||
\contentsline {subsection}{\numberline {2.2.2}Invariance d'\IeC {\'e}chelle}{26}{subsection.2.2.2}
|
||||
\contentsline {subsection}{\numberline {2.2.3}Fonctions g\IeC {\'e}n\IeC {\'e}ratrices}{28}{subsection.2.2.3}
|
||||
\contentsline {subsection}{\numberline {2.2.4}Moments et r\IeC {\^o}le des param\IeC {\`e}tres}{28}{subsection.2.2.4}
|
||||
\contentsline {subsection}{\numberline {2.2.5}Changement d'\IeC {\'e}chelle et de localisation}{30}{subsection.2.2.5}
|
||||
\contentsline {subsection}{\numberline {2.2.6}Repr\IeC {\'e}sentation alternative et simulation}{32}{subsection.2.2.6}
|
||||
\contentsline {subsection}{\numberline {2.2.7}Fonction de Bessel et densit\IeC {\'e}}{33}{subsection.2.2.7}
|
||||
\contentsline {section}{\numberline {2.3}Cas particuliers}{35}{section.2.3}
|
||||
\contentsline {subsection}{\numberline {2.3.1}Distribution de Laplace asym\IeC {\'e}trique}{35}{subsection.2.3.1}
|
||||
\contentsline {section}{\numberline {2.4}Relation avec le mod\IeC {\`e}le de \cite {madan1990variance}}{37}{section.2.4}
|
||||
\contentsline {chapter}{\chapternumberline {3}Approximation de la densit\IeC {\'e} et de la fonction de r\IeC {\'e}partition}{39}{chapter.3}
|
||||
\contentsline {section}{\numberline {3.1}L'approximation de Laplace}{39}{section.3.1}
|
||||
\contentsline {section}{\numberline {3.2}L'approximation de Temme}{41}{section.3.2}
|
||||
\contentsline {section}{\numberline {3.3}La m\IeC {\'e}thode du point de selle}{42}{section.3.3}
|
||||
\contentsline {subsection}{\numberline {3.3.1}Approximation de la densit\IeC {\'e}}{42}{subsection.3.3.1}
|
||||
\contentsline {subsection}{\numberline {3.3.2}Unicit\IeC {\'e} du point de selle}{44}{subsection.3.3.2}
|
||||
\contentsline {subsection}{\numberline {3.3.3}Approximation de la fonction de r\IeC {\'e}partition}{44}{subsection.3.3.3}
|
||||
\contentsline {subsection}{\numberline {3.3.4}Quelques propri\IeC {\'e}t\IeC {\'e}s des approximations}{45}{subsection.3.3.4}
|
||||
\contentsline {section}{\numberline {3.4}Application de la m\IeC {\'e}thode du point de selle}{46}{section.3.4}
|
||||
\contentsline {subsection}{\numberline {3.4.1}Approximation de la densit\IeC {\'e}}{46}{subsection.3.4.1}
|
||||
\contentsline {subsection}{\numberline {3.4.2}Approximation de la fonction de r\IeC {\'e}partition}{47}{subsection.3.4.2}
|
||||
\contentsline {chapter}{\chapternumberline {4}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{49}{chapter.4}
|
||||
\contentsline {section}{\numberline {4.1}Introduction}{49}{section.4.1}
|
||||
\contentsline {subsection}{\numberline {4.1.1}M\IeC {\'e}thode classique des moments}{50}{subsection.4.1.1}
|
||||
\contentsline {section}{\numberline {4.2}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{50}{section.4.2}
|
||||
\contentsline {subsection}{\numberline {4.2.1}D\IeC {\'e}finition}{51}{subsection.4.2.1}
|
||||
\contentsline {subsection}{\numberline {4.2.2}Convergence}{52}{subsection.4.2.2}
|
||||
\contentsline {subsection}{\numberline {4.2.3}Matrice de pond\IeC {\'e}ration optimale}{53}{subsection.4.2.3}
|
||||
\contentsline {subsection}{\numberline {4.2.4}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e it\IeC {\'e}rative}{55}{subsection.4.2.4}
|
||||
\contentsline {subsection}{\numberline {4.2.5}Distribution asymptotique des estimateurs}{55}{subsection.4.2.5}
|
||||
\contentsline {section}{\numberline {4.3}Estimation sous contraintes}{58}{section.4.3}
|
||||
\contentsline {subsection}{\numberline {4.3.1}Distribution asymptotique des estimateurs contraints}{59}{subsection.4.3.1}
|
||||
\contentsline {section}{\numberline {4.4}Tests d'hypoth\IeC {\`e}ses param\IeC {\'e}triques}{61}{section.4.4}
|
||||
\contentsline {subsection}{\numberline {4.4.1}Test de Wald}{61}{subsection.4.4.1}
|
||||
\contentsline {subsection}{\numberline {4.4.2}Test du multiplicateur de Lagrange}{62}{subsection.4.4.2}
|
||||
\contentsline {subsection}{\numberline {4.4.3}Test bas\IeC {\'e} sur la statistique de m\IeC {\'e}trique de distance}{63}{subsection.4.4.3}
|
||||
\contentsline {subsection}{\numberline {4.4.4}En r\IeC {\'e}sum\IeC {\'e}}{63}{subsection.4.4.4}
|
||||
\contentsline {chapter}{\chapternumberline {5}M\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale}{65}{chapter.5}
|
||||
\contentsline {section}{\numberline {5.1}\IeC {\'E}quation d'estimation optimale}{67}{section.5.1}
|
||||
\contentsline {section}{\numberline {5.2}\IeC {\'E}quation d'estimation optimale modifi\IeC {\'e}e}{70}{section.5.2}
|
||||
\contentsline {chapter}{\chapternumberline {6}Estimation des param\IeC {\`e}tres de la distribution de Laplace asym\IeC {\'e}trique g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{73}{chapter.6}
|
||||
\contentsline {section}{\numberline {6.1}Vecteur de param\IeC {\`e}tres initiaux}{73}{section.6.1}
|
||||
\contentsline {section}{\numberline {6.2}M\IeC {\'e}thode des moments g\IeC {\'e}n\IeC {\'e}ralis\IeC {\'e}e}{74}{section.6.2}
|
||||
\contentsline {subsection}{\numberline {6.2.1}Matrice de pond\IeC {\'e}ration optimale}{75}{subsection.6.2.1}
|
||||
\contentsline {subsection}{\numberline {6.2.2}Variance-covariance des param\IeC {\`e}tres}{76}{subsection.6.2.2}
|
||||
\contentsline {subsection}{\numberline {6.2.3}Contraintes lin\IeC {\'e}aires}{77}{subsection.6.2.3}
|
||||
\contentsline {section}{\numberline {6.3}M\IeC {\'e}thode de l'\IeC {\'e}quation d'estimation optimale}{78}{section.6.3}
|
||||
\contentsline {chapter}{\chapternumberline {7}Tests statistiques}{81}{chapter.7}
|
||||
\contentsline {section}{\numberline {7.1}Test de normalit\IeC {\'e}}{81}{section.7.1}
|
||||
\contentsline {subsection}{\numberline {7.1.1}Test de Shapiro-Wilk}{81}{subsection.7.1.1}
|
||||
\contentsline {subsection}{\numberline {7.1.2}Test d\IeC {\textquoteright }Epps-Pulley}{82}{subsection.7.1.2}
|
||||
\contentsline {section}{\numberline {7.2}Tests d'ad\IeC {\'e}quation}{82}{section.7.2}
|
||||
\contentsline {subsection}{\numberline {7.2.1}Test $\chi ^2$ de Pearson}{83}{subsection.7.2.1}
|
||||
\contentsline {subsection}{\numberline {7.2.2}Test de Kolmogorov-Smirnov}{84}{subsection.7.2.2}
|
||||
\contentsline {subsection}{\numberline {7.2.3}Test de distance minimale bas\IeC {\'e} sur la fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments}{85}{subsection.7.2.3}
|
||||
\contentsline {chapter}{\chapternumberline {8}\IeC {\'E}valuation d'options}{87}{chapter.8}
|
||||
\contentsline {section}{\numberline {8.1}D\IeC {\'e}finitions}{87}{section.8.1}
|
||||
\contentsline {subsection}{\numberline {8.1.1}\IeC {\'E}quation martingale}{88}{subsection.8.1.1}
|
||||
\contentsline {subsection}{\numberline {8.1.2}Param\IeC {\`e}tres neutres au risque}{89}{subsection.8.1.2}
|
||||
\contentsline {section}{\numberline {8.2}Aper\IeC {\c c}u du mod\IeC {\`e}le de Black-Scholes}{90}{section.8.2}
|
||||
\contentsline {section}{\numberline {8.3}M\IeC {\'e}thodes d'\IeC {\'e}valuation pour options europ\IeC {\'e}ennes}{90}{section.8.3}
|
||||
\contentsline {subsection}{\numberline {8.3.1}M\IeC {\'e}thode de Heston}{91}{subsection.8.3.1}
|
||||
\contentsline {subsection}{\numberline {8.3.2}M\IeC {\'e}thode de Carr et Madan}{91}{subsection.8.3.2}
|
||||
\contentsline {subsection}{\numberline {8.3.3}Prix d'exercice hors du cours}{93}{subsection.8.3.3}
|
||||
\contentsline {subsection}{\numberline {8.3.4}Critique de la m\IeC {\'e}thode de Carr-Madan}{93}{subsection.8.3.4}
|
||||
\contentsline {subsection}{\numberline {8.3.5}M\IeC {\'e}thode d\IeC {\textquoteright }Epps}{93}{subsection.8.3.5}
|
||||
\contentsline {section}{\numberline {8.4}Particularit\IeC {\'e}s}{95}{section.8.4}
|
||||
\contentsline {subsection}{\numberline {8.4.1}Option sur actions avec dividendes}{95}{subsection.8.4.1}
|
||||
\contentsline {subsection}{\numberline {8.4.2}Options sur contrats \IeC {\`a} terme et taux de change}{95}{subsection.8.4.2}
|
||||
\contentsline {chapter}{\chapternumberline {9}Exemple d'application}{97}{chapter.9}
|
||||
\contentsline {section}{\numberline {9.1}Description des donn\IeC {\'e}es}{97}{section.9.1}
|
||||
\contentsline {section}{\numberline {9.2}Estimation}{99}{section.9.2}
|
||||
\contentsline {section}{\numberline {9.3}Approximation}{104}{section.9.3}
|
||||
\contentsline {section}{\numberline {9.4}Graphiques}{105}{section.9.4}
|
||||
\contentsline {section}{\numberline {9.5}Tests statistiques}{108}{section.9.5}
|
||||
\contentsline {section}{\numberline {9.6}\IeC {\'E}valuation d'options}{109}{section.9.6}
|
||||
\contentsline {chapter}{Conclusion}{113}{section*.52}
|
||||
\contentsline {appendix}{\chapternumberline {A}\IeC {\'E}l\IeC {\'e}ments de th\IeC {\'e}orie des probabilit\IeC {\'e}s}{115}{appendix.A}
|
||||
\contentsline {section}{\numberline {A.1}D\IeC {\'e}finitions de base}{115}{section.A.1}
|
||||
\contentsline {section}{\numberline {A.2}Transform\IeC {\'e}es d'une variable al\IeC {\'e}atoire}{116}{section.A.2}
|
||||
\contentsline {subsection}{\numberline {A.2.1}La fonction caract\IeC {\'e}ristique}{116}{subsection.A.2.1}
|
||||
\contentsline {subsubsection}{Transform\IeC {\'e}e de Fourier}{116}{section*.53}
|
||||
\contentsline {subsubsection}{D\IeC {\'e}finition}{116}{section*.54}
|
||||
\contentsline {subsubsection}{Les moments}{117}{section*.55}
|
||||
\contentsline {subsection}{\numberline {A.2.2}Inversion de la fonction caract\IeC {\'e}ristique}{117}{subsection.A.2.2}
|
||||
\contentsline {subsubsection}{La densit\IeC {\'e}}{117}{section*.56}
|
||||
\contentsline {subsubsection}{La fonction de r\IeC {\'e}partition}{117}{section*.57}
|
||||
\contentsline {subsection}{\numberline {A.2.3}La fonction g\IeC {\'e}n\IeC {\'e}ratrice des moments}{118}{subsection.A.2.3}
|
||||
\contentsline {subsection}{\numberline {A.2.4}La fonction g\IeC {\'e}n\IeC {\'e}ratrice des cumulants}{119}{subsection.A.2.4}
|
||||
\contentsline {subsection}{\numberline {A.2.5}La transform\IeC {\'e}e d'Esscher}{120}{subsection.A.2.5}
|
||||
\contentsline {section}{\numberline {A.3}La transform\IeC {\'e}e de Fourier rapide}{120}{section.A.3}
|
||||
\contentsline {section}{\numberline {A.4}Processus de L\IeC {\'e}vy}{121}{section.A.4}
|
||||
\contentsline {subsection}{\numberline {A.4.1}D\IeC {\'e}finition et propri\IeC {\'e}t\IeC {\'e}s}{121}{subsection.A.4.1}
|
||||
\contentsline {subsubsection}{Repr\IeC {\'e}sentation de L\IeC {\'e}vy-Khintchine}{122}{section*.58}
|
||||
\contentsline {subsubsection}{Repr\IeC {\'e}sentation de L\IeC {\'e}vy-It\IeC {\^o}}{122}{section*.59}
|
||||
\contentsline {subsection}{\numberline {A.4.2}Processus subordonn\IeC {\'e}}{123}{subsection.A.4.2}
|
||||
\contentsline {section}{\numberline {A.5}Th\IeC {\'e}or\IeC {\`e}mes d'int\IeC {\'e}gration}{123}{section.A.5}
|
||||
\contentsline {subsection}{\numberline {A.5.1}Th\IeC {\'e}or\IeC {\`e}me de convergence domin\IeC {\'e}e de Lebesgue}{124}{subsection.A.5.1}
|
||||
\contentsline {subsection}{\numberline {A.5.2}Th\IeC {\'e}or\IeC {\`e}me de Fubini}{124}{subsection.A.5.2}
|
||||
\contentsline {appendix}{\chapternumberline {B}\IeC {\'E}l\IeC {\'e}ments de statistique math\IeC {\'e}matique}{125}{appendix.B}
|
||||
\contentsline {section}{\numberline {B.1}Loi faible des grands nombres}{125}{section.B.1}
|
||||
\contentsline {section}{\numberline {B.2}Th\IeC {\'e}or\IeC {\`e}me central limite}{125}{section.B.2}
|
||||
\contentsline {subsection}{\numberline {B.2.1}Cas univari\IeC {\'e}}{126}{subsection.B.2.1}
|
||||
\contentsline {subsection}{\numberline {B.2.2}Cas multivari\IeC {\'e}}{126}{subsection.B.2.2}
|
||||
\contentsline {section}{\numberline {B.3}M\IeC {\'e}thode delta multivari\IeC {\'e}e}{127}{section.B.3}
|
||||
\contentsline {appendix}{\chapternumberline {C}Donn\IeC {\'e}es}{129}{appendix.C}
|
||||
\contentsline {chapter}{Bibliographie}{131}{section*.62}
|
||||
\contentsline {chapter}{Contrat de partage}{137}{section*.64}
|
||||
|
|
@ -1,80 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{toc}{\contentsline {chapter}{Introduction}{1}{section*.11}}
|
||||
\@setckpt{introduction}{
|
||||
\setcounter{page}{3}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{0}
|
||||
\setcounter{enumii}{0}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{0}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{21}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{0}
|
||||
\setcounter{Item}{0}
|
||||
\setcounter{Hfootnote}{0}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{7}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
File diff suppressed because it is too large
Load diff
|
|
@ -1,80 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{toc}{\contentsline {chapter}{Remerciements}{xvii}{section*.9}}
|
||||
\@setckpt{remerciements}{
|
||||
\setcounter{page}{18}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{0}
|
||||
\setcounter{enumii}{0}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{0}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{18}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{0}
|
||||
\setcounter{Item}{0}
|
||||
\setcounter{Hfootnote}{0}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{6}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
File diff suppressed because it is too large
Load diff
|
|
@ -1,80 +0,0 @@
|
|||
\relax
|
||||
\providecommand\hyper@newdestlabel[2]{}
|
||||
\@writefile{toc}{\contentsline {chapter}{R\IeC {\'e}sum\IeC {\'e}}{iii}{section*.2}}
|
||||
\@setckpt{resume}{
|
||||
\setcounter{page}{4}
|
||||
\setcounter{equation}{0}
|
||||
\setcounter{enumi}{0}
|
||||
\setcounter{enumii}{0}
|
||||
\setcounter{enumiii}{0}
|
||||
\setcounter{enumiv}{0}
|
||||
\setcounter{footnote}{0}
|
||||
\setcounter{mpfootnote}{0}
|
||||
\setcounter{@memmarkcntra}{0}
|
||||
\setcounter{storedpagenumber}{1}
|
||||
\setcounter{book}{0}
|
||||
\setcounter{part}{0}
|
||||
\setcounter{chapter}{0}
|
||||
\setcounter{section}{0}
|
||||
\setcounter{subsection}{0}
|
||||
\setcounter{subsubsection}{0}
|
||||
\setcounter{paragraph}{0}
|
||||
\setcounter{subparagraph}{0}
|
||||
\setcounter{@ppsavesec}{0}
|
||||
\setcounter{@ppsaveapp}{0}
|
||||
\setcounter{vslineno}{0}
|
||||
\setcounter{poemline}{0}
|
||||
\setcounter{modulo@vs}{0}
|
||||
\setcounter{memfvsline}{0}
|
||||
\setcounter{verse}{0}
|
||||
\setcounter{chrsinstr}{0}
|
||||
\setcounter{poem}{0}
|
||||
\setcounter{newflo@tctr}{4}
|
||||
\setcounter{@contsubnum}{0}
|
||||
\setcounter{maxsecnumdepth}{2}
|
||||
\setcounter{sidefootnote}{0}
|
||||
\setcounter{pagenote}{0}
|
||||
\setcounter{pagenoteshadow}{0}
|
||||
\setcounter{memfbvline}{0}
|
||||
\setcounter{bvlinectr}{0}
|
||||
\setcounter{cp@cntr}{0}
|
||||
\setcounter{ism@mctr}{0}
|
||||
\setcounter{xsm@mctr}{0}
|
||||
\setcounter{csm@mctr}{0}
|
||||
\setcounter{ksm@mctr}{0}
|
||||
\setcounter{xksm@mctr}{0}
|
||||
\setcounter{cksm@mctr}{0}
|
||||
\setcounter{msm@mctr}{0}
|
||||
\setcounter{xmsm@mctr}{0}
|
||||
\setcounter{cmsm@mctr}{0}
|
||||
\setcounter{bsm@mctr}{0}
|
||||
\setcounter{workm@mctr}{0}
|
||||
\setcounter{sheetsequence}{4}
|
||||
\setcounter{lastsheet}{155}
|
||||
\setcounter{lastpage}{137}
|
||||
\setcounter{figure}{0}
|
||||
\setcounter{lofdepth}{1}
|
||||
\setcounter{table}{0}
|
||||
\setcounter{lotdepth}{1}
|
||||
\setcounter{NAT@ctr}{0}
|
||||
\setcounter{nprt@mantissa@digitsbefore}{0}
|
||||
\setcounter{nprt@mantissa@digitsafter}{0}
|
||||
\setcounter{nprt@exponent@digitsbefore}{0}
|
||||
\setcounter{nprt@exponent@digitsafter}{0}
|
||||
\setcounter{nprt@digitsfirstblock}{0}
|
||||
\setcounter{nprt@blockcnt}{0}
|
||||
\setcounter{nprt@cntprint}{0}
|
||||
\setcounter{parentequation}{0}
|
||||
\setcounter{thmt@dummyctr}{0}
|
||||
\setcounter{Item}{0}
|
||||
\setcounter{Hfootnote}{0}
|
||||
\setcounter{memhycontfloat}{0}
|
||||
\setcounter{Hpagenote}{0}
|
||||
\setcounter{bookmark@seq@number}{1}
|
||||
\setcounter{ContinuedFloat}{0}
|
||||
\setcounter{app@runs}{1}
|
||||
\setcounter{pspicture}{0}
|
||||
\setcounter{section@level}{0}
|
||||
\setcounter{theo}{0}
|
||||
\setcounter{hypothese}{0}
|
||||
}
|
||||
|
|
@ -1,22 +0,0 @@
|
|||
\relax
|
||||
\catcode`:\active
|
||||
\catcode`;\active
|
||||
\catcode`!\active
|
||||
\catcode`?\active
|
||||
\citation{kotz2001laplace}
|
||||
\citation{hall2005generalized}
|
||||
\bibstyle{plain}
|
||||
\bibdata{biblio}
|
||||
\bibcite{epps2007pricing}{1}
|
||||
\bibcite{hall2005generalized}{2}
|
||||
\bibcite{kotz2001laplace}{3}
|
||||
\bibcite{madan1990variance}{4}
|
||||
\citation{epps2007pricing}
|
||||
\citation{madan1990variance}
|
||||
\select@language{french}
|
||||
\@writefile{toc}{\select@language{french}}
|
||||
\@writefile{lof}{\select@language{french}}
|
||||
\@writefile{lot}{\select@language{french}}
|
||||
\pgfsyspdfmark {pgfid1}{1780200}{797160}
|
||||
\newlabel{eq:defvarY-GAL}{{}{2}}
|
||||
\newlabel{eq:inversionfncaract}{{}{2}}
|
||||
|
|
@ -1,24 +0,0 @@
|
|||
\begin{thebibliography}{1}
|
||||
|
||||
\bibitem{epps2007pricing}
|
||||
T.W. Epps.
|
||||
\newblock {\em Pricing Derivative Securities}.
|
||||
\newblock World Scientific Publishing Company Pte. Limited, 2007.
|
||||
|
||||
\bibitem{hall2005generalized}
|
||||
A.R. Hall.
|
||||
\newblock {\em Generalized Method of Moments}.
|
||||
\newblock Advanced Texts in Econometrics. OUP Oxford, 2005.
|
||||
|
||||
\bibitem{kotz2001laplace}
|
||||
S.~Kotz, T.J. Kozubowski, and K.~Podg{\'o}rski.
|
||||
\newblock {\em The Laplace Distribution and Generalizations: A Revisit with
|
||||
Applications to Communications, Economics, Engineering, and Finance}.
|
||||
\newblock Birkh{\"a}user, 2001.
|
||||
|
||||
\bibitem{madan1990variance}
|
||||
Dilip~B Madan and Eugene Seneta.
|
||||
\newblock The variance gamma (vg) model for share market returns.
|
||||
\newblock {\em Journal of business}, pages 511--524, 1990.
|
||||
|
||||
\end{thebibliography}
|
||||
|
|
@ -1,46 +0,0 @@
|
|||
This is BibTeX, Version 0.99d (TeX Live 2012/Debian)
|
||||
Capacity: max_strings=35307, hash_size=35307, hash_prime=30011
|
||||
The top-level auxiliary file: poster_landscape.aux
|
||||
The style file: plain.bst
|
||||
Database file #1: biblio.bib
|
||||
You've used 4 entries,
|
||||
2118 wiz_defined-function locations,
|
||||
520 strings with 4571 characters,
|
||||
and the built_in function-call counts, 1172 in all, are:
|
||||
= -- 113
|
||||
> -- 45
|
||||
< -- 1
|
||||
+ -- 20
|
||||
- -- 14
|
||||
* -- 59
|
||||
:= -- 199
|
||||
add.period$ -- 13
|
||||
call.type$ -- 4
|
||||
change.case$ -- 16
|
||||
chr.to.int$ -- 0
|
||||
cite$ -- 4
|
||||
duplicate$ -- 56
|
||||
empty$ -- 99
|
||||
format.name$ -- 14
|
||||
if$ -- 252
|
||||
int.to.chr$ -- 0
|
||||
int.to.str$ -- 4
|
||||
missing$ -- 7
|
||||
newline$ -- 23
|
||||
num.names$ -- 8
|
||||
pop$ -- 29
|
||||
preamble$ -- 1
|
||||
purify$ -- 15
|
||||
quote$ -- 0
|
||||
skip$ -- 38
|
||||
stack$ -- 0
|
||||
substring$ -- 54
|
||||
swap$ -- 13
|
||||
text.length$ -- 1
|
||||
text.prefix$ -- 0
|
||||
top$ -- 0
|
||||
type$ -- 10
|
||||
warning$ -- 0
|
||||
while$ -- 11
|
||||
width$ -- 5
|
||||
write$ -- 44
|
||||
File diff suppressed because it is too large
Load diff
|
|
@ -1,22 +0,0 @@
|
|||
\relax
|
||||
\catcode`:\active
|
||||
\catcode`;\active
|
||||
\catcode`!\active
|
||||
\catcode`?\active
|
||||
\citation{kotz2001laplace}
|
||||
\citation{madan1990variance}
|
||||
\bibstyle{plain}
|
||||
\bibdata{biblio}
|
||||
\bibcite{epps2007pricing}{1}
|
||||
\bibcite{hall2005generalized}{2}
|
||||
\bibcite{kotz2001laplace}{3}
|
||||
\bibcite{madan1990variance}{4}
|
||||
\citation{epps2007pricing}
|
||||
\citation{hall2005generalized}
|
||||
\select@language{french}
|
||||
\@writefile{toc}{\select@language{french}}
|
||||
\@writefile{lof}{\select@language{french}}
|
||||
\@writefile{lot}{\select@language{french}}
|
||||
\pgfsyspdfmark {pgfid1}{1757794}{774754}
|
||||
\newlabel{eq:defvarY-GAL}{{}{2}}
|
||||
\newlabel{eq:inversionfncaract}{{}{2}}
|
||||
|
|
@ -1,24 +0,0 @@
|
|||
\begin{thebibliography}{1}
|
||||
|
||||
\bibitem{epps2007pricing}
|
||||
T.W. Epps.
|
||||
\newblock {\em Pricing Derivative Securities}.
|
||||
\newblock World Scientific Publishing Company Pte. Limited, 2007.
|
||||
|
||||
\bibitem{hall2005generalized}
|
||||
A.R. Hall.
|
||||
\newblock {\em Generalized Method of Moments}.
|
||||
\newblock Advanced Texts in Econometrics. OUP Oxford, 2005.
|
||||
|
||||
\bibitem{kotz2001laplace}
|
||||
S.~Kotz, T.J. Kozubowski, and K.~Podg{\'o}rski.
|
||||
\newblock {\em The Laplace Distribution and Generalizations: A Revisit with
|
||||
Applications to Communications, Economics, Engineering, and Finance}.
|
||||
\newblock Birkh{\"a}user, 2001.
|
||||
|
||||
\bibitem{madan1990variance}
|
||||
Dilip~B Madan and Eugene Seneta.
|
||||
\newblock The variance gamma (vg) model for share market returns.
|
||||
\newblock {\em Journal of business}, pages 511--524, 1990.
|
||||
|
||||
\end{thebibliography}
|
||||
|
|
@ -1,46 +0,0 @@
|
|||
This is BibTeX, Version 0.99d (TeX Live 2012/Debian)
|
||||
Capacity: max_strings=35307, hash_size=35307, hash_prime=30011
|
||||
The top-level auxiliary file: poster_portrait.aux
|
||||
The style file: plain.bst
|
||||
Database file #1: biblio.bib
|
||||
You've used 4 entries,
|
||||
2118 wiz_defined-function locations,
|
||||
520 strings with 4569 characters,
|
||||
and the built_in function-call counts, 1172 in all, are:
|
||||
= -- 113
|
||||
> -- 45
|
||||
< -- 1
|
||||
+ -- 20
|
||||
- -- 14
|
||||
* -- 59
|
||||
:= -- 199
|
||||
add.period$ -- 13
|
||||
call.type$ -- 4
|
||||
change.case$ -- 16
|
||||
chr.to.int$ -- 0
|
||||
cite$ -- 4
|
||||
duplicate$ -- 56
|
||||
empty$ -- 99
|
||||
format.name$ -- 14
|
||||
if$ -- 252
|
||||
int.to.chr$ -- 0
|
||||
int.to.str$ -- 4
|
||||
missing$ -- 7
|
||||
newline$ -- 23
|
||||
num.names$ -- 8
|
||||
pop$ -- 29
|
||||
preamble$ -- 1
|
||||
purify$ -- 15
|
||||
quote$ -- 0
|
||||
skip$ -- 38
|
||||
stack$ -- 0
|
||||
substring$ -- 54
|
||||
swap$ -- 13
|
||||
text.length$ -- 1
|
||||
text.prefix$ -- 0
|
||||
top$ -- 0
|
||||
type$ -- 10
|
||||
warning$ -- 0
|
||||
while$ -- 11
|
||||
width$ -- 5
|
||||
write$ -- 44
|
||||
File diff suppressed because it is too large
Load diff
Loading…
Reference in a new issue