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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
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