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This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on...

One of the most common issues studied in finance is that of an economic unit who aims at maximizing his expected lifetime utility from consumption and/or terminal wealth, by an effective asset-liability management. In this book, we revisit this theme and focuses on two categories of economic agents: the individual and institutional investors. The first part of this manuscript addresses the individual asset allocation decision at retirement. One establishes the utility of life annuities to build investment strategies able to guarantee future consumption and an eventual bequest. The second part...