Archives

G. Benedetti, L. Campi à paraître dans SIAM Journal on Optimization and Control Juin 2012  

B. Bouchard, A. Nguyen Huu à paraître dans Mathematical Finance Juin 2012

S. Goutte, N. Oudjane, F. Russo à paraître dans Journal of Computational Finance Juin 2012

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 the firm to reduce those emissions as much as possible by structuring an appropriate incentive policy. We allow for two different kinds of incentives: a \negative" one, typically represented by a fee to pay at a given time T if emissions are too high; and a \positive" one, in the form of continuous-time Read more [...]

N. Regnard, J.-M. Zakoïan à paraître dans Energy Economics Avril 2012 Plus d'infos.

C. Chaton, M.-L. Guillerminet révision pour Enery Economics Mars 2012

C. Chaton, F. Hermon, V. Pignon à paraître dans OPEC Energy Review Mars 2012

C.Chaton, L. Durand-Viel révision pour Journal of Economics and Management Strategy Mars 2012

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 ), f being the Fourier transform of a finite measure μ, we provide explicit Kunita-Watanabe and Föllmer-Schweizer decompositions. The representation is expressed by means of two significant maps: the expectation and derivative operators related to the characteristics of X. We also provide an explicit expression Read more [...]

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 nonpredictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash- flow stream. The firm has a non-predictable growth opportunity to expand its operation size by paying a sunk cost. When the opportunity is available, the firm can finance it either Read more [...]