B. Bouchard, R. Elie, C. Imbert SIAM Journal on Control and Optimization 48, pp. 3501-3531 - Février 2010 Plus d'infos.
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1
Feb
Privatization and Governance Regulation in Frontier Emerging Markets: the Case of Romania
in Reports
Gilles Chemla Adrian Pop Diana Pop We investigate the link between the regulation of control transactions and the institutional and corporate features of public companies, by analyzing the massive delisting ...
1
Jan
Strategic Capacity Investment under Holdup Threats: the Role of Contract Length and Width
in Reports
Laure Durand-Viel Bertrand Villeneuve 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 ...
1
Jan
Competition and Environmental Policies in an Electricity Sector
in Reports
Corinne Chaton Marie-Laure Guillerminet In this paper, we study the impact of competition and environmental policy (feed-in tari¤s vs. the EU ETS) on investment, CO2 emissions and welfare in an ...
1
Dec
Stochastic Target Problems with Controlled Loss
in Publications
B. Bouchard, R. Elie, N. Touzi SIAM Journal on Control and Optimization 48(5), pp 3123-3150 - Décembre 2009 Plus d'infos.
1
Dec
Option hedging under liquidity costs
in Publications
U. Cetin, M. Soner, N. Touzi Finance and Stochastics 14, pp 317-341 - Décembre 2009 Plus d'infos.
1
Dec
Gas Storage and Security of Supply
in Publications
A. Creti, B. Villeneuve chapitre dans The Economics of Natural Gas Storage Décembre 2009 Plus d'infos.
1
Dec
A real option approach to investing in the first nuclear power plant under cost uncertainty: the Tunisian case
in Publications
M. B. Abdelhamid, C. Aloui, C. Chaton International Journal of Oil, Gas and Coal Technology 2(1), pp 44-57 - Décembre 2009 Plus d'infos.
1
Dec
Variance Optimal Hedging for Continuous Time Processes with Independent Increments and Applications
in Reports
Stéphane Goutte, Nadia Oudjane, Francesco Russo For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) ...
1
Dec
Structure and Estimation of a Class of Nonstationary Yet Nonexplosive GARCH Models
in Reports
Nazim Regnard, Jean-Michel Zakoïan This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model ...
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