Category Archives: Working Papers

12-16 Jun 2023, Centre Paul Langevin, Aussois The aim of the Summer school is to review some aspects of quantitative methods applied to economics and finance. Particular emphasis will be placed on methods that make use of massive or high-dimensional data … Continue reading →

by Mohammad Isleimeyyeh I develop and test a theoretical model to study the interaction between the commodity and stock markets. The article attempts to clarify the debate between the two conflicting empirical opinions about the effect of the financialization on … Continue reading →

by Ivar Ekeland, Edouard Jaeck, Delphine Lautier & Bertrand Villeneuve We model the dynamic behavior of spot and futures commodity prices with an infinite horizon rational expectations equilibrium model. A new type of proof of existence of the equilibrium is … Continue reading →

by Côme Huré, Huyên Pham, Achref Bachouch & Nicolas Langrené This paper presents several numerical applications of deep learning-based algorithms that have been analyzed in [Bachouch et al., 2018a]. Numerical and comparative tests using TensorFlow illustrate the performance of our … Continue reading →

by Côme Huré, Huyên Pham, Achref Bachouch & Nicolas Langrené This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming (DP). Differently from the classical approximate DP approach, we first approximate the optimal policy … Continue reading →

by Jordi Badosa, Emmanuel Gobet, Maxime Grangereau & Daeyoung Kim In this work, we derive a probabilistic forecast of the solar irradiance during a day at a given location, using a stochastic differential equation (SDE for short) model. We propose … Continue reading →

by René Aïd, Dylan Possamai & Nizar Touzi Despite the success of demand response programs in retail electricity markets in reducing average consumption, the literature shows failure to reduce the variance of consumers’ responses. This paper aims at designing demand … Continue reading →

by Charafeddine Mouzouni These notes are a transcription of the course ”Equations de HJB et extensions de la théorie classique du contrôle stochastique”, given by P.-L. Lions at the Collège de France in 2016/2017. The course contains a few developments … Continue reading →

by Edouard Jaeck & Delphine Lautier This article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern in the volatilities along the price curve in … Continue reading →

by Yves Achdou, Pierre-Noel Giraud, Jean-Michel Lasry & Pierre-Louis Lions A parcimonious long term model is proposed for a mining industry. Knowing the dynamics of the global reserve, the strategy of each production unit consists of an optimal control problems … Continue reading →

by Céline Grislain-Letrémy & Bertrand Villeneuve The industrialists are liable for any damage they cause to neighboring households. Consequently, households do not have to pay for the risk they create by locating in exposed areas. To contain their liabilities, the firm can … Continue reading →

by Céline Grislain-Letrémy & Bertrand Villeneuve This paper addresses the urbanization of areas exposed to natural disasters and studies its dependency on land-use and insurance policies. The risk-map paradox that we describe explains why an insurance system with simplistic maps … Continue reading →

par Henri Verdier & Charles Murciano  Cet article interroge l’actualité intellectuelle et légale des communs. Plus précisément, notre travail explore la notion de commun numérique (ou informationnel) et ses spécificités au regard du concept classique de communs en théorie économique. Les … Continue reading →

by Henri Verdier and Charles Murciano This paper addresses the current intellectual and legal status of the commons. Specifically, we explore the notion of the digital (or information) commons and its specificities with regard to the classic concept of the commons … Continue reading →

by Geir B. Asheim & Ivar Ekeland  The Chichilnisky criterion is an explicit social welfare function that satisfies compelling conditions of intergenerational equity. However, it is time inconsistent and has no optimal solution in the Ramsey model. By investigating stationary Markov equilibria in … Continue reading →

by Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of the pit must satisfy some mechanical constraints, in order not to … Continue reading →

by Anthony Lecavil, Nadia Oudjane & Francesco Russo We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law … Continue reading →

by Delphine Lautier, Franck Raynaud & Michel A. Robe We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North … Continue reading →

by Delphine Lautier, Julien Ling and Franck Raynaud We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are “external” to the commodity markets because they occurred in … Continue reading →

by René Aïd, Salvatore Federico, Huyên Pham & Bertrand Villeneuve We establish explicit socially optimal rules for an irreversible investment decision  with time-to-build and uncertainty. Assuming a price sensitive demand function  with a random intercept, we provide comparative statics and … Continue reading →