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A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
By Arash Fahim, Nizar Touzi & Xavier Warin (Cahier de la Chaire n°32) We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in Cheridito et al (2007), and show that it can be introduced naturally as a combination of … Continue reading
Familiarity Breeds Institutional Investment: Evidence from US Defined Benefit Pension Plans
by Christina Atanasova & Gilles Chemla (Cahier de la Chaire n°31) This paper provides new evidence that familiarity bias affects the portfolios ofinstitutional investors. Using a sample of large US defined-benefit pension plans for the period1992 to 2002, we show … Continue reading
The Ocean, Green Shipping and Sustainable Energy
Under the High Patronage of H.S.H Prince Albert II of Monaco The Ocean, Green Shipping and Sustainable Energy Institut Océanographique de Paris April 28, 2011- April 29, 2011 The symposium aims at fostering a global view of the ocean as … Continue reading
On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights
By D. Crisan, K. Manolarakis & N. Touzi (Cahier de la Chaire n°30) We propose a generic framework for the analysis of Monte Carlo simulation schemes of backward SDEs. The general results are used to re-visit the convergence of the … Continue reading
Stochastic Target Problems with Controlled Loss
By Bruno Bouchard, Romuald Elie & Nizar Touzi (Cahier de la Chaire n°29) We consider the problem of finding the minimal initial data of a controlled process which guarantees to reach a controlled target with a given probability of success or, … Continue reading
Privately Optimal Securitization and Publicly Suboptimal Risk Sharing
By Gilles Chemla & Christopher A. Hennessy (Cahier de la Chaire n°28) Privately informed owners securitizing assets signal positive information by retaining sufficient interest. Signaling provides social bene fits, allowing uninformed investors to insure without fearing adverse selection. Instead of signaling, owners … Continue reading
FDD – FiME Seminar at the Henri Poincaré Institute (IHP)
For the FiME – FDD Seminar at the Henri Poincaré Institute (IHP), please refer to the Google Calendar page and to the FiME Research Initiative website.
Discounting the Future: The Case of Climate Change
By Ivar Ekeland (Cahier de la Chaire n°27) According to the Stern Report on climate change, the course of the next fifty years is set: present policies will impact only in the very long term, fifty to two hundred years … Continue reading
Strategic Capacity Investment under Holdup Threats: The Role of Contract Length and Width
by Laure Durand-Viel & Bertrand Villeneuve (Cahier de la Chaire n°26) This article analyzes the impact of incomplete contracts’ length on investment in a bilateral relationship. The seller has the power to set the contract terms whereas the buyer decides … Continue reading
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
by Nazim Regnard and Jean-Michel Zakoïan (Cahier de la Chaire n°25) A novel GARCH(1,1) model, with coefficients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature of the model … Continue reading
A structural risk-neutral model of electricity
by René Aïd, Luciano Campi, Adrien Nguyen Huu and Nizar Touzi (Cahier de la Chaire n°24) The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying … Continue reading
The Chair and FIME Research Centre Annual Spring Conference
April 6, 2010 – Université Paris-Dauphine The 4th edition of a seminar dedicated to the presentation of research work realized in the context of the Chair Finance and Sustainable Development and of the Finance for the Energy Market Centre (FIME). … Continue reading
The Precautionary Principle and the Evaluation of Environmental Policies
by Olivier Guéant (Cahier de la Chaire n°23) This general readership article proposes an approach to evaluate what an economically and socially acceptable cost can be in the context of policies that aim at improving the environment. We stress the … Continue reading
Convenience Yield and Commodity Markets
by Delphine Lautier (Cahier de la Chaire n°22) This article explains the role of the convenience yield in the relationships linking spot and futures prices in commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices … Continue reading
Chair’s Winter Day Conference: « Carbon Markets, Carbon Tax and Climate Policy »
February 18, 2010 – Université Paris-Dauphine Speakers: Richard Sandor : Founder of the Chicago Climate Exchange (CCX), Research professor at the Kellogg Graduate School of Management at Northwestern University Michel Moreaux : Professor at Toulouse School of Economics, Founder and … Continue reading
Finance & Sustainable Development: Opposition or Partnership?
Available at www.amazon.fr Economic and financial considerations are often perceived as being antithetical to environmental concerns. Is it possible to reconcile economic development and growth with preservation of the planet and its resources? The authors of “Finance and Sustainable Development” … Continue reading
Sovereign Wealth Funds: A New Form of Capitalism?
October 4-5, 2010 – Columbia University This closed-door conference co-organized by the Sovereign Wealth Fund Research Initiative and the Committee on Global Thought at Columbia University explores how SWFs and long term investors can provide investment solutions that reduce the … Continue reading
Conference Overview – A Look To The World: “Finance and Sustainable Development: Opposition or Partnership?”
November 30 – December 1st, 2007 Organized jointly by Monaco Méditerranée Foundation and the Chair of Finance and Sustainable Development of the University of Paris Dauphine, support by Prince Albert II of Monaco Foundation. In public opinion and often, in … Continue reading
Cours du Professeur Ivar Ekeland
Cours du Professeur Ivar Ekeland Ce cours a été organisé par l’Ecole doctorale EDDIMO et la Chaire Finance et Développement Durable sur le thème “Prise de décision à très long terme: le cas du changement climatique” à l’Université Paris-Dauphine Première … Continue reading