Actualités

Actualités

Labour Standards and Migration: do Labour Conditions Matter ?

Mardi | 2009-10-13 Rémi BAZILLIER – Yasser Moullan – Thierry BAUDASSE We study in this paper the interactions between migration rates and the level of labourstandards. We use an augmented version of the Grogger and Hanson (2008) model, addingthe level of working conditions into the specification. Our hypothesis is that the differentialof working conditions may be a complementary determinant of migration. In a first time, wetest the influence of labour standards in countries of origin using a database on emigrationrates […]

Pricing the CBOT T-Bonds Futures

Mardi | 2009-05-19 Ramzi BEN-ABDALLAH – Hatem BEN-AMEUR – libre The aim of this paper is to investigate the pricing of the Chicago Board ofTrade Treasury-Bond futures. The difficulty to price it arises from its multipleinter-dependent embedded delivery options, which can be exercised at varioustimes and dates during the delivery month. We consider a general Markov diffusionprocess model for stochastic interest rates and propose a pricing algorithmthat can handle all the delivery rules embedded in the CBOT T-bond futures.Our procedure […]