Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "2736"
  #_source: array:26 [
    "id" => "2736"
    "slug" => "the-valuation-of-nature-link-bonds-with-exchange-rate-risk"
    "yearMonth" => "2001-01"
    "year" => "2001"
    "title" => "The Valuation of Nature-link Bonds with Exchange Rate Risk"
    "description" => "PONCET, P. et VAUGIRARD, V.E. (2001). The Valuation of Nature-link Bonds with Exchange Rate Risk. <i>Journal of Economics and Finance</i>, pp. 293-307."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "VAUGIRARD V.E."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "293-307"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Nous proposons une approche d'arbitrage pour évaluer des obligations liées à un risque naturel comportant en outre un risque de change. Elle utilise le changement de numéraire dit "Forward-neutre" et revient à calculer les distributions de différents temps de passage de mouvements Browniens driftés. Selon que les taux sont déterministes ou stochastiques, on obtient des formules fermées ou on procède à des simulations. En général, le risque naturel est plus important que le risque de change."
      "en" => "We develop an arbitrage approach to pricing insurance bonds bearing currency risk. It implements the technique of forward-neutral change of numeraire and computes first-passage-time distributions of drifted Brownian notions. Closed-form solutions are derived or simulations are performed depending on whether interest rates are deterministic or not. Nature risk is in general more significant than currency risk."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-24T09:22:04.000Z"
    "docTitle" => "The Valuation of Nature-link Bonds with Exchange Rate Risk"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, VAUGIRARD V.E."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, VAUGIRARD V.E.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2001</span>"
    "keywordList" => ""
    "docPreview" => "<b>The Valuation of Nature-link Bonds with Exchange Rate Risk</b><br><span>2001-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">The Valuation of Nature-link Bonds with Exchange Rate Risk</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.178643
  +"parent": null
}