On s'intéresse dans cette thèse à la couverture des produits dérivés dans des marchés incomplets. L'approche choisie peut se voir comme une extension des travaux de M. Schweizer sur la minimisation locale du risque quadratique. En effet, tout en restant dans le cadre de la modélisation des actifs par des semimartingales, notre méthode consiste à remplacer le critère de risque quadratique par un critère de risque plus général, sous la forme d'une fonctionnelle convexe du coût local. Nous obtenons d'abord des résultats d'existence, d'unicité et de caractérisation des stratégies optimales dans un marché sans friction, en temps discret et en temps continu. Puis nous explicitons ces stratégies dans le cadre de modèles de diffusion avec et sans sauts. Nous étendons également notre méthode au cas où la liquidité n'est plus infinie. Enfin nous montrons par le biais de simulations numériques les effets du choix de la fonctionnelle de risque sur la constitution du portefeuille optimal. / This thesis deals with the issue of hedging contingent claims in incomplete markets. The way we tackle this issue may be seen as an extension of M. Schweizer's work on quadratic local risk-minimization. Indeed, while still modelling assets as semimartingales, our method relies on the introduction of a convex function of the local costs to assess risk, thus relaxing the quadratic assumption. The results we obtain are existence and uniqueness results first and characterizations of optimal strategies in a frictionless market, both in discrete and continuous time settings. We then make those strategies explicit by using diffusion models with and without jumps. We further extend our approach in the case when liquidity is given through a stochastic supply curve. Finally we show the effect of the choice of different risk functions on the optimal portfolio by numerically solving the optimality equations.

Desenvolvemos novos resultados da teoria dos espaços FS e DFS (espaços de Fréchet-Schwartz e seus duais) e os empregamos ao estudo da seguinte questão: quando certas propriedades de regularidade de um operador diferencial parcial linear (entre fibrados vetoriais Gevrey sobre uma variedade Gevrey) implicam resolubilidade, no sentido de ultradistribuições, do operador transposto? Estudamos esta questão para uma classe de operadores abstratos que contém os operadores diferenciais parciais lineares com coeficientes Gevrey usuais, mas também certas classes de operadores pseudo-diferenciais em variedades compactas, além de certos tipos de operadores de ordem infinita. Neste contexto, obtemos uma nova demonstração de um resultado global em variedades compactas (em que hipoelipticidade Gevrey global de um operador implica resolubilidade global de seu transposto), assim como alguns resultados no caso não-compacto relacionados à propriedade de não-confinamento de singularidades. Na sequência apresentamos algumas aplicações concretas, em particular para operadores de Hörmander, operadores de força constante e sistemas localmente integráveis de campos vetoriais. Analisamos ainda algumas instâncias de uma conjectura levantada em um artigo recente de F. Malaspina e F. Nicola (2014), a qual afirma que, para certos complexos diferenciais naturalmente associados a estruturas localmente integráveis, resolubilidade local no sentido de ultradistribuições (perto de um ponto, em um grau fixado) implica resolubilidade local no sentido de distribuições. Estabelecemos a validade desta conjectura quando o fibrado estrutural cotangente é gerado pelo diferencial de uma única integral primeira. / We develop new techniques in the setting of FS and DFS spaces (Fréchet-Schwartz spaces and their strong duals) and apply them to the study of the following question: when regularity properties of a general linear differential operator (between Gevrey vector bundles over a Gevrey manifold) imply solvability of its transpose in the sense of ultradistributions? This question is studied for a class of abstract operators that encompasses the usual partial differential operators with Gevrey coefficients, but also some flavors of pseudodifferential operators on compact manifolds and some classes of operators with infinite order. In this setting, we obtain a new proof of a global result on compact manifolds (global Gevrey hypoellipticity of the operator implying global solvability of the transpose), as well as some results in the non-compact case by means of the so-called property of non-confinement of singularities. We then move to some concrete applications, especially for Hörmander operators, operators of constant strength and locally integrable systems of vector fields. We also analyze some instances of a conjecture stated in a recent paper of F. Malaspina and F. Nicola (2014), which asserts that, in differential complexes naturally arising from locally integrable structures, local solvability in the sense of ultradistributions (near a point, in some fixed degree) implies local solvability in the sense of distributions. We establish the validity of the conjecture when the cotangent structure bundle is spanned by the differential of a single first integral.

Desenvolvemos novos resultados da teoria dos espaços FS e DFS (espaços de Fréchet-Schwartz e seus duais) e os empregamos ao estudo da seguinte questão: quando certas propriedades de regularidade de um operador diferencial parcial linear (entre fibrados vetoriais Gevrey sobre uma variedade Gevrey) implicam resolubilidade, no sentido de ultradistribuições, do operador transposto? Estudamos esta questão para uma classe de operadores abstratos que contém os operadores diferenciais parciais lineares com coeficientes Gevrey usuais, mas também certas classes de operadores pseudo-diferenciais em variedades compactas, além de certos tipos de operadores de ordem infinita. Neste contexto, obtemos uma nova demonstração de um resultado global em variedades compactas (em que hipoelipticidade Gevrey global de um operador implica resolubilidade global de seu transposto), assim como alguns resultados no caso não-compacto relacionados à propriedade de não-confinamento de singularidades. Na sequência apresentamos algumas aplicações concretas, em particular para operadores de Hörmander, operadores de força constante e sistemas localmente integráveis de campos vetoriais. Analisamos ainda algumas instâncias de uma conjectura levantada em um artigo recente de F. Malaspina e F. Nicola (2014), a qual afirma que, para certos complexos diferenciais naturalmente associados a estruturas localmente integráveis, resolubilidade local no sentido de ultradistribuições (perto de um ponto, em um grau fixado) implica resolubilidade local no sentido de distribuições. Estabelecemos a validade desta conjectura quando o fibrado estrutural cotangente é gerado pelo diferencial de uma única integral primeira. / We develop new techniques in the setting of FS and DFS spaces (Fréchet-Schwartz spaces and their strong duals) and apply them to the study of the following question: when regularity properties of a general linear differential operator (between Gevrey vector bundles over a Gevrey manifold) imply solvability of its transpose in the sense of ultradistributions? This question is studied for a class of abstract operators that encompasses the usual partial differential operators with Gevrey coefficients, but also some flavors of pseudodifferential operators on compact manifolds and some classes of operators with infinite order. In this setting, we obtain a new proof of a global result on compact manifolds (global Gevrey hypoellipticity of the operator implying global solvability of the transpose), as well as some results in the non-compact case by means of the so-called property of non-confinement of singularities. We then move to some concrete applications, especially for Hörmander operators, operators of constant strength and locally integrable systems of vector fields. We also analyze some instances of a conjecture stated in a recent paper of F. Malaspina and F. Nicola (2014), which asserts that, in differential complexes naturally arising from locally integrable structures, local solvability in the sense of ultradistributions (near a point, in some fixed degree) implies local solvability in the sense of distributions. We establish the validity of the conjecture when the cotangent structure bundle is spanned by the differential of a single first integral.

This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying uncertainty on the related contingent claims. Afterwards, we deal with the PBS model, a new model to price European options. The seminal idea is to distinguish the market volatility with respect to the parameter used by traders for hedging. We assume the former constant, while the latter volatility being an erroneous subjective estimation of the former. We prove that this model anticipates a bid-ask spread and a smiled implied volatility curve. Major properties of this model are the existence of closed formulae for prices, the impact of the underlying drift and an efficient calibration strategy. The second part deals with the models described by partial differential equations. Linear and non-linear PDEs are examined separately. In the first case, we show some interesting relations between the error and wavelets theories. When non-linear PDEs are concerned, we study the sensitivity of the solution using error theory. Except when exact solution exists, two possible approaches are detailed: first, we analyze the sensitivity obtained by taking "derivatives" of the discrete governing equations. Then, we study the PDEs solved by the sensitivity of the theoretical solutions. In both cases, we show that sharp and bias solve linear PDE depending on the solution of the former PDE itself and we suggest algorithms to evaluate numerically the sensitivities. Finally, the third part is devoted to stochastic partial differential equations. Our analysis is split into two chapters. First, we study the transmission of an uncertainty, present on starting conditions, on the solution of SPDE. Then, we analyze the impact of a perturbation of the functional terms of SPDE and the coefficient of the related Green function. In both cases, we show that the sharp and bias verify linear SPDE depending on the solution of the former SPDE itself

Cette thèse est consacrée à l'étude des applications de la théorie des erreurs par formes de Dirichlet. Notre travail se divise en trois parties. La première analyse les modèles gouvernés par une équation différentielle stochastique. Après un court chapitre technique, un modèle innovant pour les carnets d’ordres est proposé. Nous considérons que le spread bid-ask n'est pas un défaut, mais plutôt une propriété intrinsèque du marché. L'incertitude est portée par le mouvement Brownien qui conduit l'actif. Nous montrons que l'évolution des spread peut être évaluée grâce à des formules fermées et nous étudions l'impact de l'incertitude du sous-jacent sur les produits dérivés. En suite, nous introduisons le modèle PBS pour le pricing des options européennes. L'idée novatrice est de distinguer la volatilité du marché par rapport au paramètre utilisé par les traders pour se couvrir. Nous assumons la première constante, alors que le deuxième devient une estimation subjective et erronée de la première. Nous prouvons que ce modèle prévoit un spread bid-ask et un smile de volatilité. Les propriétés plus intéressantes de ce modèle sont l’existence de formules fermés pour le pricing, l'impact de la dérive du sous-jacent et une efficace stratégie de calibration. La seconde partie s'intéresse aux modèles décrit par une équation aux dérivées partielles. Les cas linéaire et non-linéaire sont analysés séparément. Dans le premier nous montrons des relations intéressantes entre la théorie des erreurs et celui des ondelettes. Dans le cas non-linéaire nous étudions la sensibilité des solutions à l’aide de la théorie des erreurs. Sauf dans le cas d’une solution exacte, il y a deux approches possibles : on peut d’abord discrétiser l’EDP et étudier la sensibilité du problème discrétisé, soit démontrer que les sensibilités théoriques vérifient des EDP. Les deux cas sont étudiés, et nous prouvons que les sharp et le biais sont solutions d’EDP linéaires dépendantes de la solution de l’EDP originaire et nous proposons des algorithmes pour évaluer numériquement les sensibilités. Enfin, la troisième partie est dédiée aux équations stochastiques aux dérivées partielles. Notre analyse se divise en deux chapitres. D’abord nous étudions la transmission de l’incertitude, présente dans la condition initiale, à la solution de l’EDPS. En suite, nous analysons l'impact d'une perturbation dans les termes fonctionnelles de l’EDPS et dans le coefficient de la fonction de Green associée. Dans le deux cas, nous prouvons que le sharp et le biais sont solutions de deux EDPS linéaires dépendantes de la solution de l’EDPS originaire / This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying uncertainty on the related contingent claims. Afterwards, we deal with the PBS model, a new model to price European options. The seminal idea is to distinguish the market volatility with respect to the parameter used by traders for hedging. We assume the former constant, while the latter volatility being an erroneous subjective estimation of the former. We prove that this model anticipates a bid-ask spread and a smiled implied volatility curve. Major properties of this model are the existence of closed formulae for prices, the impact of the underlying drift and an efficient calibration strategy. The second part deals with the models described by partial differential equations. Linear and non-linear PDEs are examined separately. In the first case, we show some interesting relations between the error and wavelets theories. When non-linear PDEs are concerned, we study the sensitivity of the solution using error theory. Except when exact solution exists, two possible approaches are detailed: first, we analyze the sensitivity obtained by taking “derivatives” of the discrete governing equations. Then, we study the PDEs solved by the sensitivity of the theoretical solutions. In both cases, we show that sharp and bias solve linear PDE depending on the solution of the former PDE itself and we suggest algorithms to evaluate numerically the sensitivities. Finally, the third part is devoted to stochastic partial differential equations. Our analysis is split into two chapters. First, we study the transmission of an uncertainty, present on starting conditions, on the solution of SPDE. Then, we analyze the impact of a perturbation of the functional terms of SPDE and the coefficient of the related Green function. In both cases, we show that the sharp and bias verify linear SPDE depending on the solution of the former SPDE itself / Questa tesi é dedicata allo studio delle applicazioni della teoria degli errori tramite forme di Dirichlet, il nostro lavoro si divide in tre parti. Nella prima vengono studiati i modelli descritti da un’equazione differenziale stocastica: dopo un breve capitolo con risultati tecnici viene descritto un modello innovativo per i libri d’ordini. La presenza dei differenziali denarolettera viene considerata non come un’imperfezione, bensi una proprietà intrinseca dei mercati. L’incertezza viene descritta come un rumore sul moto Browniano sottostante all’azione; dimostriamo che l’evoluzione di questi differenziali puó essere valutata attraverso formule chiuse e stimiamo l’impatto dell’incertezza del sottostante sui prodotti derivati. In seguito proponiamo un nuovo modello, chiamato PBS, per il prezzaggio delle opzioni di tipo europeo: l’idea innovativa consiste nel distinguere la volatilità di mercato dal parametro usato dai trader per la copertura. Noi supponiamo la prima constante, mentre il secondo diventa una stima soggettiva ed erronea della prima. Dimostriamo che questo modello prevede dei differenziali lettera-denaro e uno smile di volatilità implicita. Le maggiori proprietà di questo modello sono l’esistenza di formule chiuse per il princing, l’impatto del drift del sottostante e un’efficace strategia per la calibrazione. La seconda parte è dedicata allo studio dei modelli descritti da delle equazioni alle derivate perziali. I casi lineare e non-lineare sono trattati separatamente. Nel primo caso mostriamo interessanti relazioni tra la teoria degli errori e quella delle wavelets. Nel caso delle EDP non-lineari studiamo la sensibilità della soluzione usando la teoria degli errori. Due possibili approcci esistono, salvo quando la soluzione è esplicita. Possiamo prima discretizzare il problema e studiare la sensibilità delle equazioni discretizzate, oppure possiamo dimostrare che le sensibilità teoriche verificano, a loro volta, delle EDP dipendenti dalla soluzione della EDP iniziale. Entrambi gli approcci sono descritti e vengono proposti degli algoritmi per valutare le sensibilità numericamente. Infine, la terza parte è dedicata ai modelli descritti da un’equazione stocastica alle derivate parziali. La nostra analisi é divisa in due capitoli. Nel primo viene studiato l’impatto di un’incertezza, presente nella condizione iniziale, sulla soluzione dell’EDPS, nella seconda si analizzano gli impatti di una perturbazione dei termini funzionali dell’EDPS del coefficiente della funzione di Green associata. In entrambi i casi dimostriamo che lo sharp e la discrepanza sono soluzioni di due EDPS lineari dipendenti dalla soluzione dell’EDPS iniziale