New Information Response Functions.

We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future values of the process. This methodology allows to take into account qualitative or quantitative information, either on the innovation or on the future responses, as well as informations on filters. We show, among other results, that our approach encompasses several standard methodologies found in the literature, such as the orthogonalization of shocks (Sims (1980)), the "structural" identification of shocks (Blanchard and Quah (1989)), the "generalized" impulse responses (Pesaran and Shin (1998)) or the impulse vectors (Uhlig (2005)).Impulse response functions ; innovation ; new information.

Taking into account extreme events in European option pricing.

According to traditional option pricing models,1 financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we compare the option prices obtained from the standard Black and Scholes model with those resulting from our model. We show that the traditional model leads to an overvaluation of at-the-money options, which are the most traded options, while the less liquid in-the-money and out-of-the-money options are undervalued.

Required Capital for Long-Run Risks

National audienceOne of the objectives of the recent microprudential regulation is to separate the computation of required capital for short-run and long-run risks. This paper provides a coherent framework to define, compute, and update these components. The approach is developed in greater details in the context of the transition to low-carbon economies. A numerical example is given

Lumen shape reconstruction using a soft robotic balloon catheter and electrical impedance tomography

Incorrectly sized balloon catheters can lead to increased post-surgical complications, yet even with preoperative imaging, correct selection remains a challenge. With limited feedback during surgery, it is difficult to verify correct deployment. We propose the use of integrated impedance measurements and Electrical Impedance Tomography (EIT) imaging to assess the deformation of the balloon and determine the size and shape of the surrounding lumen. Previous work using single impedance measurements, or pressure data and analytical models, whilst demonstrating high sizing accuracy, have assumed a circular cross section. Here we extend these methods by adding a multitude of electrodes to detect elliptical and occluded lumen and obtain EIT images to localise deformations. Using a 14 Fr (5.3 mm) catheter as an example, numerical simulations were performed to find the optimal electrode configuration of two rings of 8 electrodes spaced 10 mm apart. The simulations predicted that the maximum detectable aspect ratio decreased from 0.9 for a 14mm balloon to 0.5 at 30mm. The sizing and ellipticity detection results were verified experimentally. A prototype robotic balloon catheter was constructed to automatically inflate a compliant balloon while simultaneously recording EIT and pressure data. Data were collected in experiments replicating stenotic vessels with an elliptical and asymmetrical profile, and the widening of a lumen during angioplasty. After calibration, the system was able to correctly localise the occlusion and detect aspect ratios of 0.75. EIT images further localised the occlusion and visualised the dilation of the lumen during balloon inflation