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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

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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

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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

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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

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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

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Explicit investment rules with time-to-build and uncertainty

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

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The Impact of Hazardous Industrial Facilities on Housing Prices: A Comparison of Parametric and Semiparametric Hedonic Price Models

by Céline Grislain-Letrémy & Arthur Katossky The willingness of households to pay for prevention against industrial risks can be revealed by real estate markets. By using very rich microdata, we study housing prices in the vicinity of hazardous industries near three … Continue reading

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La comptabilité des émissions de carbone par enjeux – Définition, justification et comparaison avec les modèles existants

by Antoine Rose Les initiatives de comptabilité des émissions de carbone se sont multipliées au cours des dernières années, à mesure que la problématique du changement climatique s’est imposée. Pour chaque agent économique, la problématique climatique se traduit par des … Continue reading

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Natural Disasters: Exposure and Underinsurance

by Céline Grislain-Letrémy Insurance coverage for natural disasters remains low in many exposed areas. A limited supply of insurance is commonly identified as a primary causal factor in this low insurance coverage. The French overseas departments provide a rare natural … Continue reading

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Nouvelles modélisations économiques, un texte d’Ivar Ekeland

Publié dans Agathe Euzen, Laurence Eymard, Françoise Gaill (dirs). Le développement durable à découvert. CNRS Editions. 2013. La question du développement est au cœur de la théorie économique. Malthus (1766-1834) a clairement identifié les deux limites, que la nature pose à … Continue reading

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A new class of problems in the calculus of variations

by Ivar Ekeland, Yiming Long & Qinglong Zhou In economic theory, and in optimal control, it has been customary to discount future gains at a constant rate δ > 0 (…). That future gains should be discounted is well grounded … Continue reading

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Les Nouveaux Outils du Développement Durable

Conférence Les Nouveaux Outils du Développement Durable : Méthodes Quantitatives pour l’Economie et la Finance de l’Energie et des Ressources Naturelles Université Paris Dauphine – Salle Raymond Aron – 24 & 25 octobre 2013 L’objectif de cette conférence est de … Continue reading

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Faisabilité de l’apprentissage des paramètres d’un algorithme de trading sur des données réelles

par Sophie Laruelle Considérons qu’un trader ou un algorithme de trading interagissant avec les marchés durant les enchères continues puisse être modélisé par une procédure itérative ajustant le prix auquel il poste ses ordres à un rythme donné, (Laruelle, Lehalle … Continue reading

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Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis

by Aimé Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle & Pierre-Louis Lions This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogeneous traders. Offer and demand of liquidity drive price formation and traders anticipate future … Continue reading

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Skin in the Game and Moral Hazard

by Gilles Chemla & Christopher A. Hennessy What determines equilibrium securitization levels, and should they be regulated? To address these questions we develop a model where originators can exert unobservable effort to increase asset quality, subsequently having private information regarding … Continue reading

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Stratégie optimale de stockage de déchets radioactifs à vie longue sous contrainte de capacité

by Bertrand Villeneuve L’article modélise un programme de gestion de déchets nucléaires à haute activité. La physique du refroidissement permet d’entreposer un certain temps un colis chaud afin d’économiser le volume de stockage définitif : en effet, les colis plus … Continue reading

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The Ocean as a Global System

Available at www.amazon.fr The Ocean as a Global System: Economics and Governance of Fisheries and Energy Resources This book gathers together contributions from the Symposium “The Ocean: Green Shipping and Sustainable Energy”, held in Paris on 28-29 April 2011. The aim of … Continue reading

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A simple equilibrium model for a commodity market with spot trades and futures contracts

by Ivar Ekeland, Delphine Lautier & Bertrand Villeneuve We propose a simple model which offers a unified theoretical framework for the analysis of price and quantity relationships in commodity markets. We study the simultaneous equilibrium in the physical and futures … Continue reading

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The Economics of Sustainable Development

Available at www.amazon.fr This book brings together the lecture notes from the seminars held at the Finance and Sustainable Development Chair from 2007 to 2009. The first part is concerned with climate change policies, with particular emphasis on the relevance … Continue reading

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Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift

by Romuald ELIE & Gilles-Edouard ESPINOSA Considering a positive portfolio diffusion X with negative drift, we investigate optimal stopping problems of the form (…) This paper unifies optimal selling rules observed by [5] for quadratic absolute distance criteria with bang-bang … Continue reading

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