Michèle Breton

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In this paper we examine the stability of international environmental agreements about a (common) emissions target. By signing the agreement, the parties d...

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We consider a two-stage game in a differentiated duopoly, where firms can pursue both a financial and an environmental objective. We assume that the maximu...

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In this paper we consider a differentiated oligopoly with two product varieties that are supplied by two groups of firms. We assume that firms can change t...

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We study the time evolution of a vertically and horizontally differentiated oligopolistic industry, where firms compete in quantity and are divided into gr...

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In its reform of the US bankruptcy procedure, the American Bankruptcy Institute (ABI) is proposing to grant a redemption option to junior creditors and let...

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In this paper, we consider a two-species fishery model where the species can have different biological interactions, namely, competitive, symbiotic or prey...

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The third installment of the Basel Accords advocates a capital charge against Credit Valuation Adjustment (CVA) variability. We propose an efficient numeri...

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Wrong-way risk arises when the value of a financial transaction is adversely correlated with the creditworthiness of the counterparty. This paper investiga...

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We examine the stability of international environmental agreements when they include both adaptation and mitigation policies. We assume that adaptation req...

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We propose an analytical formula for the evaluation of compound options when the underlying asset is described by a two-states Markov regime-switching log-...

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Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach optimizing some terminal criterion that depends on the difference be...

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One of the most complex early-exercise decisions faced by traders in the financial derivatives markets is with T-Bond futures, due to the combination of mu...

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The recent disappearance of a five-year-maturity gap from the set of Treasury bonds deliverable into the Chicago Board of Trade Treasury bond futures has res...

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We study the impact of timing and commitment on adaptation and mitigation policies in the context of international environmental problems. Adaptation polic...

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Reforming energy consumption subsidies, in particular for fossil fuels, has been frequently referred to as a quick-win policy to enhance environmental miti...

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In early 2001, the U.S. Department of the Treasury suspended the issuance of 30-year bonds, and then resumed issuing its long paper in early 2006. As a res...

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We introduce an efficient approach to evaluate counterparty risk and we compute the Credit Valuation Adjustement for derivatives having early exercise feat...

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This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to Se...

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We introduce an efficient approach to evaluate counterparty risk and compute the Credit Value Adjustement for derivatives having early exercise features. The...

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We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

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