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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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Exact replication under Delta constraints
by Jean-François Chassagneux, Romuald Elie & Idris Kharroubi This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding super-replication price of a given claim … Continue reading
Economic growth and sustainable development: how should we discount the future?
by Qinglong Zhou, Ivar Ekeland, Yiming Long In 1987, the Brundtland Commission famously defined sustainable development as “developmentthat meets the needs of the present without compromising the needs of the future”. This paper is concerned with translating this definition in the … Continue reading
The Flood Issue: Uniform Insurance and Collective Prevention with Risk Externalities
by Céline Grislain-Letrémy & Sabine Lemoyne de Forges Prevention policies against flood, such as dams or levees, are commonly designed by local jurisdictions and for most they exert externalities on neighboring jurisdictions. Each jurisdiction chooses its collective prevention effort depending … Continue reading
Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis
. by Delphine Lautier & Franck Raynaud This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk tio appear in. Relying on daily futures returns covering a 12-year period, we examine cross- … Continue reading