G. Benedetti, L. Campi à paraître dans SIAM Journal on Optimization and Control Juin 2012
Archives
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Juin
Multivariate utility maximization with proportional transaction costs and random endowment
in Publications
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Juin
No arbitrage of the second kind for high production regime in discrete time production-investment models with proportional transaction costs
in Publications
B. Bouchard, A. Nguyen Huu à paraître dans Mathematical Finance Juin 2012
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Juin
Variance Optimal hedging for continuous time additive processes and applications
in Publications
S. Goutte, N. Oudjane, F. Russo à paraître dans Journal of Computational Finance Juin 2012
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Juin
A Principal-Agent Problem for Emissions' Reduction
in Rapports
RR-FiME-12-06 Giuseppe Benedetti We analyze a principal-agent problem between the state (principal) and a firm (agent) which produces carbon emissions. In particular, the aim of the state is to motivate ...
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Avr
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
in Publications
N. Regnard, J.-M. Zakoïan à paraître dans Energy Economics Avril 2012 Plus d'infos.
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Mar
Competition and environmental policies in an electricity sector
in Publications
C. Chaton, M.-L. Guillerminet révision pour Enery Economics Mars 2012
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Mar
Proposal for a simple mechanism to encourage capital investment in electricity generation capacity: illusion or reality?
in Publications
C. Chaton, F. Hermon, V. Pignon à paraître dans OPEC Energy Review Mars 2012
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Mar
Real Asset Valuation under imperfect competition: Can we forget About Market Fundamentals?
in Publications
C.Chaton, L. Durand-Viel révision pour Journal of Economics and Management Strategy Mars 2012
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Fév
On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII process
in Rapports
RR-FiME-12-05 Stéphane GOUTTE, Nadia OUDJANE, Francesco RUSSO Given a process with independent increments X (not necessarily a martingale) and a large class of square integrable r.v. H = f(XT ), ...
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Fév
Optimal Liquidity Management and Hedging in the Presence
in Rapports
Stéphane Villeneuve, Xavier Warin In this paper, we develop a dynamic model that captures the interaction between a firm's cash reserves, the risk management policy and the profitability of a ...
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