Author Archives: admin

Thematic Semester “Statistics for Energy Markets”

The large-scale development of renewable energy production prompts us to rethink the structure of the modelling of pricing processes and how we conceive financial risks in the energy markets. Because this development accentuates the impact on market prices of global … Continue reading

Posted in Conferences | Leave a comment

HJB Equations and Extensions of Classical Stochastic Control Theory

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

Posted in Working Papers | Leave a comment

Mean Field Games and Related Topics #4

Chiostro di S. Pietro in Vincoli, Rome June 14-16, 2017 Mean field games theory describes the equilibria in strategic interactions of a large number of rational agents. In the recent years, this research area has been rapidly spreading in several … Continue reading

Posted in Conferences | Leave a comment

PDE and Probability Methods for Interactions

Sophia Antipolis (France) – March 30-31, 2017 The conference PDE and Probability Methods for Interactions will be held at Inria, on the French Riviera, March 30-31, 2017. The goal of this conference is to exchange ideas on new trends in PDE … Continue reading

Posted in Conferences | Leave a comment

Volatility in electricity derivative markets: the Samuelson effect revisited

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

Posted in Working Papers | Leave a comment

A Long-Term Mathematical Model for Mining Industries

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

Posted in Working Papers | Leave a comment

Negotiated Red Zones Around Hazardous Plants

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

Posted in Working Papers | Leave a comment

Natural Disasters, Land-Use, and Insurance

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

Posted in Working Papers | Leave a comment

StOpt: A New Stochastic Optimization Library

The STochastic OPTimization library (StOpt)   was developped at OSIRIS department at EDF R&D  and used in some operational projects as an open source project. The StOpt library aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. A … Continue reading

Posted in Non classé | Leave a comment

Jeux à champ moyen – Bilan et perspectives

par Pierre-Louis Lions 16 juin 2016, Abbaye des Vaux de Cernay Présentation donnée dans le cadre des journées ateliers FiME à l’Abbaye des Vaux de Cernay. Lien vers la video (vimeo)  

Posted in Conferences | Leave a comment

Journées ateliers FiME

Abbaye des Vaux de Cernay 16-17 juin 2016 L’objectif de ces deux journées était de faire le point sur les travaux conduits au sein de l’IdR FiME, les résultats déjà obtenus et les perspectives de développement de ces travaux. Les travaux … Continue reading

Posted in Conferences | Leave a comment

Micro-finance et lutte contre la pauvreté: le rapport annuel de la Fondation Grameen – Crédit Agricole

Au 31 décembre 2015, la Fondation est active dans 27 pays en développement parmi les plus pauvres, auprès de 59 institutions de microfinance ou entreprises de social business. Les institutions de microcrédit partenaires de la Fondation comptent 3,3 millions d’emprunteurs … Continue reading

Posted in Non classé | Leave a comment

Macrofinancial models for long-term asset returns

A lecture by Jean-Paul Renne (Université de Lausanne) July 7-8, Institut Henri Poincaré This lecture offers an extensive study of macro-founded asset pricing models which explicitly integrate the role of key macroeconomic variables (revenue growth, inflation and uncertainty). One of … Continue reading

Posted in Seminar | Leave a comment

Les communs numériques : éléments d’économie politique

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

Posted in Working Papers | Leave a comment

The digital commons: a political and economic game-changer

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

Posted in Working Papers | Leave a comment

Resource Conservation Across Generations in a Ramsey-Chichilnisky Model

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

Posted in Working Papers | Leave a comment

Thematic Semester on “Commodity Derivatives Markets: Industrial Organization, Regulation and Financialization”

Information related to the thematic semester on « Commodity Derivatives Markets » and the closing conference to be held in Paris on November 6th can be found on the following website: http://thematicsemester.com/  

Posted in Conferences | Leave a comment

Optimal Pits and Optimal Transportation

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

Posted in Working Papers | Leave a comment

Thematic Semester on “Commodity Derivatives Markets:
Industrial Organization, Regulation and Financialization”

This project aims to examine recent developments in commodity derivatives markets. The changed industrial organization and the financialization of these markets are major phenomena, both of which call for changes in regulation. Organized from March to November 2015, the thematic … Continue reading

Posted in Conferences | Leave a comment

Probabilistic Representation of a Class of Non Conservative Nonlinear Partial Differential Equations

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

Posted in Working Papers | Leave a comment