Michèle Breton

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Publications

Articles

Nov 2021

Analytical valuation of compound options under regime switching dynamics

Michèle Breton and Mbaye Ndoye

The Journal of Derivatives, 29(2), 120–148, 2021 BibTeX reference

Sep 2021

Could chapter 11 redeem itself? Wealth and welfare effects of the redemption option

Amira Annabi, Michèle Breton, and Pascal François

International Review of Law and Economics, 67, Paper no: 106005, 2021 BibTeX reference

Aug 2021

Corporate social responsibility, profits, and welfare in a duopolistic market

Michèle Breton, Bertrand Crettez, and Naila Hayek

Applied Economics, 53(59), 6897–6909, 2021 BibTeX reference

Apr 2021

The impact of central clearing on the market for single-name credit default swaps

Mohamed Ali Akari, Ramzi Ben Abdallah, Michèle Breton, and Georges Dionne

The North American Journal of Economics and Finance, 56, Paper no: 101346, 2021 BibTeX reference

Jan 2021

Intra-brand competition in a differentiated oligopoly

Michèle Breton and Lucia Sbragia

Journal of Economics, 132(1), 1–40, 2021 BibTeX reference

Jan 2021

Coopérer avec la nature: Que nous apprend la théorie des jeux sur la personnalité juridique de l’environnement?

Suzanne Zaccour and Michèle Breton

Revue de droit et de développement durable de McGill/McGill Journal of Sustainable Development Law, 17(1), 125–147, 2021 BibTeX reference

Jun 2019

Counterparty risk: CVA variability and value at risk

Michèle Breton and Oussama Marzouk

Journal of Risk, 21(5), 1–28, 2019 BibTeX reference

May 2019

Wrong-way risk of interest-rate instruments

Ramzi Ben Abdallah, Michèle Breton, and Oussama Marzouk

Journal of Credit Risk, 15(2), 21–44, 2019 BibTeX reference

Mar 2019

Equilibria in a two-species fishery

Michèle Breton, Ilyass Dahmouni, and Georges Zaccour

Mathematical Biosciences, 309, 78–91, 2019 BibTeX reference

Mar 2019

The impact of adaptation on the stability of international environmental agreements

Michèle Breton and Lucia Sbragia

Environmental and Resource Economics, 74(2), 697–725, 2019 BibTeX reference

Jan 2019

Mergers in nonrenewable resource oligopolies and environmental policies

Hassan Benchekroun, Michèle Breton, and Amrita Ray Chaudhuri

European Economic Review, 111, 35–52, 2019 BibTeX reference

Mar 2018

Evaluation of counterparty risk for derivatives with early-exercise features

Michèle Breton and Oussama Marzouk

Journal of Economic Dynamics and Control, 88, 1–20, 2018 BibTeX reference

Jan 2018

"History is repeating itself”: Author response

Ramzi Ben Abdallah and Michèle Breton

Financial Analysts Journal, 74(1), 5–6, 2018 BibTeX reference

Jan 2018

Time is money: An empirical investigation of delivery behavior in the U.S. T-bond futures market

Ramzi Ben Abdallah and Michèle Breton

Journal of Futures Markets, 38(1), 22–37, 2018 BibTeX reference

Dec 2017

Adaptation to climate change: Commitment and timing issues

Michèle Breton and Lucia Sbragia

Environmental and Resource Economics, 68(4), 975–995, 2017 BibTeX reference

Oct 2017

History is repeating itself: Get ready for a long dry spell

Ramzi Ben Abdallah and Michèle Breton

Financial Analysts Journal, 73(3), 106–130, 2017 BibTeX reference

Aug 2017

Global hedging through post-decision state variables

Michèle Breton and Frédéric Godin

Journal of Risk and Financial Management, 10(3), 1–6, 2017 BibTeX reference

Aug 2017

An ex-post analysis of the CME Group’s solution to the 5-year gap issue

Ramzi Ben Abdallah and Michèle Breton

Applied Economics, 49(60), 5992–6002, 2017 BibTeX reference

Nov 2016

Welfare implication of reforming energy consumption subsidies

Michèle Breton and Hossein Mirzapour

Energy Policy, 98, 232–240, 2016 BibTeX reference

Jul 2016

To squeeze or not to squeeze? That is no longer the question

Ramzi Ben Abdallah and Michèle Breton

Journal of Futures Markets, 36(7), 647–670, 2016 BibTeX reference

Mar 2015

Collusion and demand variability

Michèle Breton and Mohamed Kharbach

Economics Bulletin, 35(1), 241–246, 2015 BibTeX reference

Jan 2014

Evolutionary farsightedness in international environmental agreements

Michèle Breton and Samar Garrab

International Transactions in Operational Research, 21(1), 21–39, 2014 BibTeX reference

Jan 2014

A great fish war model with asymmetric players

Michèle Breton and Michel Yevenunye Keoula

Ecological Economics, 97, 209–223, 2014 BibTeX reference

Apr 2013

Cooperating firms in inventive and absorptive research

Slim Ben Youssef, Michèle Breton, and Georges Zaccour

Journal of Optimization Theory and Applications, 157(1), 229–251, 2013 BibTeX reference

Dec 2012

Resolution of financial distress under Chapter 11

Amira Annabi, Michèle Breton, and Pascal François

Journal of Economic Dynamics and Control, 36(12), 1867–1887, 2012 BibTeX reference

Nov 2012

Pricing the Chicago board of trade t-bond futures

Ramzi Ben Abdallah, Hatem Ben-Ameur, and Michèle Breton

Quantitative Finance, 12(11), 1663–1678, 2012 BibTeX reference

Sep 2012

Game theoretic analysis of negotiations under bankruptcy

Amira Annabi, Michèle Breton, and Pascal François

European Journal of Operational Research, 221(3), 603–613, 2012 BibTeX reference

Jul 2012

Transportation and storage under a dynamic price cap regulation process

Michèle Breton and Mohamed Kharbach

Energy Economics, 34(4), 918–929, 2012 BibTeX reference

Feb 2012

Farsightedness in a coalitional great fish war

Michèle Breton and Michel Yevenunye Keoula

Environmental and Resource Economics, 51(2), 297–315, 2012 BibTeX reference

Jan 2012

Project-to-organization matching: An integrated risk assessment approach

Fereshteh Mafakheri, Michèle Breton, and Satyaveer Chauhan

International Journal of Information Technology Project Management, 3(3), 45–59, 2012 BibTeX reference

Jul 2011

Supplier selection-order allocation: A two-stage multiple criteria dynamic programming approach

F. Makhaferi, Michèle Breton, and A. Ghoniem

International Journal of Production Economics, 132, 52–57, 2011 BibTeX reference

Jan 2010

Option pricing under GARCH processes by PDE methods

Michèle Breton and Javier de Frutos

Operations Research, 58, 1148–1157, 2010 BibTeX reference

Jan 2010

A dynamic model for international environmental agreements

Michèle Breton, Lucia Sbragia, and Georges Zaccour

Environmental and Resource Economics, 45(1), 25–48, 2010 BibTeX reference

Jan 2010

Mutual fund competition in the presence of dynamic flows

Michèle Breton, Julien N. Hugonnier, and Tarek Masmoudi

Automatica, 46, 1176–1185, 2010 BibTeX reference

Jan 2009

Dynamic programming approach for valuing options in the GARCH model

Hatem Ben-Ameur, Michèle Breton, and Juan-Manuel Martinez

Management Science, 55(2), 252–266, 2009 BibTeX reference

Jan 2009

An analysis of the true notional bond system applied to the CBOT T-bond futures

Ramzi Ben Abdallah, Hatem Ben-Ameur, and Michèle Breton

Journal of Banking and Finance, 33(3), 534–545, 2009 BibTeX reference

Jan 2009

Stability of international environmental agreements: An illustration with asymmetrical countries

Olivier Bahn, Michèle Breton, Lucia Sbragia, and Georges Zaccour

International Transactions in Operational Research, 16(3), 307–324, 2009 BibTeX reference

Jan 2009

Who benefits from price indexation

Michèle Breton and Mohamed Kharbach

Economics Bulletin, 29(4), 2009 BibTeX reference

Jan 2008

Incentive equilibrium in an overlapping-generations environmental game

Michèle Breton, Abderrahmane Sokri, and Georges Zaccour

European Journal of Operational Research, 185(2), 687–699, 2008 BibTeX reference

Jan 2008

The welfare effects of unbundling gas storage and distribution

Michèle Breton and Mohamed Kharbach

Energy Economics, 30(3), 732–747, 2008 BibTeX reference

Jan 2007

100 ans d'histoire en méthodes quantitatives

Michèle Breton, Debbie J. Dupuis, and Gilbert Laporte

Gestion, 32(3), 12–20, 2007 BibTeX reference

Jan 2007

A dynamic programming approach for pricing options embedded in bonds

Hatem Ben-Ameur, Michèle Breton, Lotfi Karoui, and Pierre L'Ecuyer

Journal of Economic Dynamics and Control, 31, 2212–2233, 2007 BibTeX reference

Jan 2007

A dynamic programming approach to price call and put options embedded in bonds

Hatem Ben-Ameur, Michèle Breton, Pierre L'Ecuyer, and Lotfi Karoui

Journal of Economic Dynamics and Control, 31, 2212–2233, 2007 BibTeX reference

Jan 2006

A differential game of joint implementation of environmental projects

Michèle Breton, Georges Zaccour, and Mehdi Zahaf

Automatica, 41(10), 1737–1749, 2006 BibTeX reference

Jan 2006

Dynamic R&D with strategic behavior

Michèle Breton, D Vencatachellum, and Georges Zaccour

Computers & Operations Research, 33(2), 426–437, 2006 BibTeX reference

Jan 2006

Equilibrium investment strategies in foreign environmental projects

Michèle Breton, Guiomar Martín-Herrán, and Georges Zaccour

Journal of Optimization Theory and Applications, 130(1), 23–40, 2006 BibTeX reference

Jan 2006

A dynamic programming approach to price installment options

Hatem Ben-Ameur, Michèle Breton, and Pascal François

European Journal of Operational Research, 169(2), 667–676, 2006 BibTeX reference

Jan 2006

A game-theoretic formulation of joint implementation of environmental projects

Michèle Breton, Georges Zaccour, and Mehdi Zahaf

European Journal of Operational Research, 168(1), 221–239, 2006 BibTeX reference

Jan 2006

A note on feedback stackelberg equilibria in a lanchester model with empirical application

Michèle Breton, Ramla Jarrar, and Georges Zaccour

Management Science, 52(5), 804–811, 2006 BibTeX reference

Jan 2006

International cooperation, coalitions stability and free-riding in a game of pollution control

Michèle Breton, Karima Fredj, and Georges Zaccour

The Manchester School, 74(1), 103–121, 2006 BibTeX reference

Jan 2005

Efficiency of Bertrand and Cournot under precommitment

Michèle Breton, Abdalla Turki, and Georges Zaccour

Game Theory and Applications, 10, 31–38, 2005 BibTeX reference

Jan 2005

Efficiency of Bertrand and Cournot: A two stage game

Michèle Breton and Abdalla Turki

Dynamic Games: Theory and Applications, 161–173, 2005 BibTeX reference

Jan 2004

Accounting for losses in the optimization of production of hydroplants

Michèle Breton, S Hachem, and A Hammadia

IEEE Transactions on Energy Conversion, 19(2), 346–351, 2004 BibTeX reference

Jan 2004

Dynamic-model of research-and-development, spillovers, and efficiency of Bertrand and Cournot equilibria

Michèle Breton, Abdalla Turki, and Georges Zaccour

Journal of Optimization Theory and Applications, 123(1), 1–25, 2004 BibTeX reference

Jan 2003

An oil pipeline design problem

Jack Brimberg, Pierre Hansen, K-W Lih, Nenad Mladenović, and Michèle Breton

Operations Research, 51(2), 228–239, 2003 BibTeX reference

Books

Jan 2011

Advances in Dynamic Games: Theory, Applications and Numerical Methods for Differential and Stochastic Games

Michèle Breton and K. Sadowski

Birkhäuser Basel, Annals of the International Society of Dynamic Games, Vol. 11, 565 pages, 2011 BibTeX reference

Jan 2005

Numerical methods in finance

Michèle Breton and Hatem Ben-Ameur

Springer, 258 pages, 2005 BibTeX reference

Book chapters

Jun 2020

Designing insurance against extreme weather risk: The case of HuRLOs

Martin Boyer, Michèle Breton, and Pascal François

T. Walker et al. (eds.), Ecological, Societal, and Technological Risks and the Financial Sector, Palgrave Macmillan, Cham, 91–122, 2020 BibTeX reference

Jan 2020

Human vs river: Cooperation in environmental games through environmental personhood

Michèle Breton and Suzanne Zaccour

Pineau P.O., Sigué S., Taboubi S. (eds), Games in Management Science, International Series in Operations Research & Management Science, vol 280, Springer, Cham, 231–247, 2020 BibTeX reference

Jan 2018

Dynamic games in finance

Michèle Breton

T. Basar, G. Zaccour (eds.), Handbook of Dynamic Game Theory, Springer, Cham, 1–37, 2018 BibTeX reference

Jan 2015

A great fish war model with asymmetric players

Michèle Breton and Michel Yevenunye Keoula

M. Finus, A. Caparros (eds), Game Theory And International Environmental Cooperation – Essential readings, Edward Elgar publishing, 911–934, 2015 BibTeX reference

Jan 2012

A game theoretic perspective on bankruptcy procedures / Utilisation de la théorie des jeux pour l’analyse des procédures de faillite

Michèle Breton

Sarra J.P., Annual Review of Insolvency Law 2012, Carswell, 803–832, 2012 BibTeX reference

Jan 2012

Approximation of dynamic programs

Michèle Breton and Javier de Frutos

Duan J.C. & Härdle W. & Gentle J.E. , Handbook of Computational Finance, Springer, 633–649, 2012 BibTeX reference

Jan 2005

Feedback Stackelberg equilibria in a dynamic game of advertising competition: A numerical analysis

Michèle Breton, Ramla Jarrar, and Georges Zaccour

Proceedings of the Fifth International Workshop on Dynamic Games and Applications, 2005 BibTeX reference