Author Archives: admin
Finite difference methods for a continuous-time heterogeneous agent model with recursive utility
by Yves Achdou & Qing Tang Comment les préférences de long terme des ménages influencent-elles l’accumulation de richesse et l’équilibre macroéconomique ? Cet article apporte une réponse en étudiant un modèle d’agents hétérogènes de type Aiyagari dans lequel les ménages … Continue reading
Continuous-Time Heterogeneous Agent Models with Recursive Utility and Preference for Late Resolution
by Yves Achdou & Qing Tang Les modèles à agents hétérogènes sont devenus un outil incontournable de la macroéconomie moderne pour analyser les inégalités, l’épargne et les effets des politiques économiques. Dans cet article, Yves Achdou et Qing Tang franchissent … Continue reading
Workshop « Mean field games and mean field control in economics »
16-17 décembre 2025 à l’Institut Henri Poincaré à Paris We are now twenty years after the formulation of a general mathematical theory of mean field games, which induced itslef a growing interest in mean field control from mathematicians. Most of … Continue reading
The MATS Summer School on Agricultural Finance
June 30 – July 4 2025, Centre Paul Langevin, Aussois The aim of the summer school is to contribute to the development of research on the economic and financial implications of agricultural transitions, through the training of young researchers, with a dual focus … Continue reading
NYU-Princeton Workshop on Future Electricity Grids and Energy Markets with Decarbonization
22-23 January 2025 at NYU Tandon, New York The event aims to bring together academics and practitioners from France and the US to discuss current and future electricity production as power grids transition toward predominantly renewable and nuclear energy sources … Continue reading
MATS Intern Seminar – July 18th, 2024
Venue : Université Paris Dauphine – PSL Place du Maréchal de Lattre de Tassigny Paris 16e Program
MATS Seminar Spring 2024
MATS Seminar // 15 May 2024 // Collège de France The MATS Seminar was held at Collège de France (11 place Marcelin Berthelot, Paris) on May 15, 2024.
The Fime Lab Summer School on Big Data & Finance
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
Renouvellements de la Chaire FDD et du laboratoire FiME
Nous avons le plaisir d’annoncer le renouvellement de la Chaire FDD et de l’Initiative de Recherche « Laboratoire FiME », à partir du 1er janvier 2022 et pour 5 années supplémentaires. Ce renouvellement a été rendu possible par le soutien … Continue reading
Applications of Mean Field Games From Models to Practice
November 16-19, 2021, IMSI, Chicago The paradigm of Mean Field Games (MFG) has become a major connection between distributed decision-making and stochastic modeling. Starting out in the stochastic control literature, it is gaining rapid adoption across a range of industries. The … Continue reading
Journées-ateliers du Laboratoire FiME
22-23 septembre, 2021, EDF Lab, Palaiseau Des « Journées-ateliers » du laboratoire FiME ont eu lieu les 22 et 23 septembre dans les locaux d’EDF à Palaiseau et ont réuni environ 70 personnes sur deux jours.
Summer school on Distributed Control: Decentralization and Incentives
June 14-18, 2021, CIRM (Luminy, France) We are living in an era of technology explosion. While resources, products and information become increasingly accessible to common users, the individuals nowadays are more aware than ever of their own right, and more capable … Continue reading
The Role of Financial Investors in Commodity Futures Risk Premium
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
Sur la méthode de l’économie
by Pierre-Noël Giraud Cet article propose de reprendre certains aspects du débat épistémologique et méthodologique sur l’économie à la lumière d’une description pragmatique, inspirée de la sociologie des sciences, de la manière dont « ça fonctionne » et plus précisément … Continue reading
Évolution de l’emploi nomade et sédentaire dans une politique de transition énergétique : l’exemple du scénario négaWatt
by Philippe Frocrain, Charles Gallais & Pierre-Noël Giraud Nous utilisons une méthode entrée-sortie pour évaluer l’effet sur l’emploi du scenario negaWatt, en nous fondant sur les plus récentes évaluations par Quirion (2017) du choc de demande qu’il engendre. Nous mesurons, … Continue reading
Le ratio réserves prouvées / production annuelle des commodités minérales : Faits stylisés et micro-fondation
by Pierre-Noël GIRAUD, Pierre FLECKINGER & Yosri SAKLY La crainte d’une pénurie de matières premières minérales, qui sont issues de ressources naturelles dites « épuisables », ressurgit périodiquement. L’indicateur de rareté généralement utilisé est le ratio : Réserves prouvées mesurées … Continue reading
The joint dynamics of spot and futures commodity prices
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
Conference on Commodities, Volatility, and Risk Management The Impacts of Trade Restrictions, Market Imperfections, and Green Finance
13-15 May 2019, Université Paris-Dauphine The conference will cover commodity pricing and risk management, viewed through the prisms of market imperfections and environmental concerns. The main focus is on agricultural and energy markets, with specific themes intended to shine light … Continue reading
Deep neural networks algorithms for stochastic control problems on finite horizon, part II: numerical applications
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
Deep neural networks algorithms for stochastic control problems on finite horizon, part I: convergence analysis
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