Category Archives: Working Papers

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 →

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 →

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 →

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 →

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 →

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 →

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 →

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 →

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 →

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 →