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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
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
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
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
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)
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
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
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
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
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
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
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/
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
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
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
Mean Field Games and Related Topics (3)
June 10-12 2015, Paris (Institut Henri Poincare) The meeting will be a continuation of the workshops on Mean Fields Games and Related Topics, held in Rome (May 12-13 2011) and Padova (September 4-6 2013). Further information on the Conference website The … Continue reading
Some PDE Methods in Mean Field Games Theory
A Course by Professor Alessio Porretta From March 9th to April 16th 2015 Institut Henri Poincaré (IHP), Paris Mean field games theory was initiated by J.-M. Lasry and P.-L. Lions since 2006 in order to describe control processes with large number … Continue reading
Opening Conference of the Thematic Semester on “Commodity Derivatives Markets: Industrial Organization, Regulation and Financialization”
26-27 March 2015 – Institut Henri Poincaré (IHP), Paris To launch the thematic semester, the opening conference will aim to show the state of the art and especially to identify new research problems. Special emphasis will be given to the … Continue reading
Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices
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
Integration of commodity derivative markets: Has it gone too far?
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