Author Archives: admin

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 →

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 →

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 →

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 →

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 →

. 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 →

. by Christian Franck & Jean-Michel Zakoïan This paper introduces the concept of risk parameter in conditional volatility models of the form ǫt = σt(θ0)ηt and develops statistical procedures to estimate this parameter. For a given risk measure r, the risk parameter is expressed … Continue reading →

by Olivier Guéant, Roger Guesnerie & Jean-Michel Lasry This article discusses the discount rate to be used in projects that aimed at preserving the environment. The model has two di§erent goods, one is the usual consumption good whose production may … Continue reading →

by Adrien Nguyen Huu We study the situation of an investor-producer who can trade on a financial market in continuous time and can transform some assets into others by means of a discrete time production system, in order to price … Continue reading →

by Céline Grislain-Letrémy & Bertrand Villeneuve Uncontrolled urbanization in exposed areas increases the cost of natural and industrial disas- ters. In the case of industrial risks, these land use externalities are directly exerted on the firm which is liable for … Continue reading →

by Olivier Guéant, Charles-Albert Lehalle & Joaquin Fernandez Tapia This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or … Continue reading →

by Olivier Guéant, Charles-Albert Lehalle & Joaquin Fernandez Tapia Market makers have to continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask … Continue reading →

by Olivier Guéant This paper presents recent results from Mean Field Game theory underlying the intro- duction of common noise that imposes to incorporate the distribution of the agents as a state variable. Starting from the usual mean field games … Continue reading →

By Ludovic Moreau Stochastic Target Problems with Controlled Loss in Jump Diffusion Models In this paper, we consider a mixed diffusion version of the stochastic target problem introduced in [3]. This consists in finding the minimum initial value of a … Continue reading →