Cet article étudie le risque de crédit de contrepartie et l’ajustement réglementaire correspondant (CVA) pour des portefeuilles de produits dérivés avec poss...

Nous étudions la stabilité des accords environnementaux internationaux portant sur une cible commune pour le niveau d'émissions polluantes. En signant l'ac...

Nous étudions un jeu séquentiel à deux étapes dans un duopole de produits substituables en considérant que les firmes peuvent poursuivre un double objectif...

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...

Nous étudions l'évolution dans le temps d'une industrie oligopolistique, différenciée verticalement et horizontalement, où les entreprises d’un même groupe p...

Dans le cadre de sa réforme du processus d’insolvabilité aux États-Unis, l’American Bankruptcy Institute (ABI) propose l’octroi d’une option de remboursement...

Dans cet article, nous considérons un modèle de pêcherie à deux espèces qui interagissent biologiquement de façon compétitive, symbiotique ou selon une rela...

Dans le cadre du calcul du risque de contrepartie, le risque de corrélation réfère à une situation où la valeur d'une transaction financière est corrélée av...

À la suite de la crise financière de 2007, la réforme de Bâle III recommande, entre autres, la mise en place de frais de capital couvrant la variabilité de ...

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

Nous proposons une formule analytique pour l'évaluation d'options composes lorsque la dynamique de l'actif sous-jacent est décrite par un modèle lognormal av...

À la différence des méthodes de couverture de type delta-neutre, la couverture globale vise à optimiser un critère terminal relié à la différence entre la va...

L'une des décisions d'exercice les plus complexes dans le marché des produits dérivés concerne celle des contrats à terme portant sur des bons du Trésor, d...

Nous étudions l'impact de la séquence des décisions sur les politiques d'adaptation et de réduction des émissions dans le contexte des problèmes environnemen...

La disparition récente d'un écart de cinq ans dans les échéances du panier d'obligations du Trésor faisant l'objet du contrat à terme du Chicago Board of Tra...

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

En 2001, le Trésor Américain interrompait l'émission de bons du trésor de longue maturité (trente ans), pour la reprendre en 2006. Par conséquent, il existe...

Nous proposons une nouvelle approche efficace pour l'évaluation du risque de contrepartie et le calcul de l'ajustement correspondant pour des produits financ...

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...

Nous présentons une approche efficace pour l'évaluation du risque de contrepartie et le calcul de l'ajustement CVA pour le risque de crédit dans le cas de dé...

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

This paper proposes a dynamic game model of the process through which countries join international environmental agreements (IEAs). The model assumes that ...

This paper analyzes the coalitional Great Fish War model under the assumption that players differ in their time preferences and use different discount rate...

Under some standard market assumptions, evaluating a derivative implies computing the discounted expected value of its future cash flows. In that context, th...

We consider a duopoly competing in quantity, where firms can invest in both innovative and absorptive R&D to reduce their unit production cost, and where t...

It is now well known that in order to solve global environmental problems, such as global warming, a volunteer participation of sovereign countries to inte...

We study the welfare effects of Price Cap Regulation (PCR) and the strategic behaviour it may induce in gas transportation networks by analyzing a stylized g...

We extend the contingent claims framework for the levered firm in explicitly modeling the resolution of financial distress under formal bankruptcy as a non-c...

We develop a contingent claims model of a firm in financial distress with a formal account for renegotiations under the Chapter 11 bankruptcy procedure. Sh...

This paper reviews the use of Fourier transform methods in the pricing of contingent claims. This is a very promosing topic in finance, given the scarcity ...

We explore the implications of the farsightedness assumption on the conjectures of players in a coalitional Great Fish War model with symmetric players, deri...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

In this paper, we propose a Partial Differential Equation formulation for the value of an option when the underlying asset's price is described by a discrete...

In this paper we use a dynamic model to analyze the composition and stability of international environmental agreements (IEAs) in an asymmetrical framework. ...

In this paper we develop a model to analyze, in a dynamic framework, how countries join international environmental agreements (IEAs). In the model, where co...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [18]. We characterize the set of equili...

We use a stylized gas system to study the use of access-to-gas storage in a seasonal model. In a duopoly setting, we find that welfare is higher under vert...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

This paper proposes a two-player, finite-horizon differential game model to analyze joint implementation in environmental projects, one of the flexible mech...

Installment options are a generalization of compound options, where the holder periodically decides whether to keep an option alive or not by paying the ins...

We investigate the effects of a price cap regulation on the consumer’s surplus within the framework of two gas ownership structures. In the case of a firm o...

We study in this paper dynamic equilibrium advertising strategies in a duopoly with asymmetric information structure. The advertising model of Lanchester is...

We consider a differentiated duopoly where firms invest in research and development (R&D) to reduce their production cost. We show that if the firms pl...

We consider a two-player infinite-horizon discrete-time game where the players invest in R&D in order to develop a new technology to reduce production costs....

We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

This paper proposes a two-player, finite-horizon differential game model to analyze joint implementation in environmental projects, one of the flexible mecha...

Using an inifinite-horizon two-player differential game, we derive and compare Bertrand and Cournot equilibria, for a differentiated duopoly engaging in proc...

The objective of this paper is to provide a game-theoretic interpretation of joint implementation in environmental projects. We consider a two-player game an...

Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

We ask whether young agents prefer to work in different-age or same-age production pairs in an overlapping-generations model where wages are reputation-base...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

We consider a set of countries that wish to sign an international agreement to control pollution. The problem is studied from the perspective of cooperativ...

This paper presents a decomposition approach for the solution of the dynamic programming formulation of the Unit Loading Problem in hydroplant management. T...

We analyze the extent to which intergenerational teams provide information on workers' productivity in the long run. We use a dynamic stochastic framework ...

This paper presents a dynamic programming approach for the solution of the Unit Loading Problem in hydroplant management. The model accounts for losses in t...

We consider a given set of offshore platforms and onshore wells, producing known (or estimated) amounts of oil, to be connected to a port. Connections may t...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

We consider an asymmetric duopoly producing a homogeneous commodity and facing a competitive demand. Our model incorporates two asymmetries. The first one i...

A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...

This paper studies the informational content of elective teams in a dynamic agency framework with adverse selection. Two agents with different employment hi...

In this paper, we present a scenario aggregation algorithm for the solution of the dynamic minimax problem in stochastic programming. We consider the case w...

In this paper, we present algorithms for the solution of the dynamic minimax problem in stochastic programs. This dynamic minimax approach is suggested for ...

The objective of this paper is to study optimal pricing strategies in a duopoly, under an asymmetric information structure, where the appropriate solution c...

In this paper, we present three algorithms for the solution of a large-scale zero-sum two-player stochastic game in discrete time, with a finite state set a...

The refining industry is faced with medium and long term planning problems (e.g. crude supply, stocks, capacity decisions) where an important part of the da...

In this paper, we present decomposition algorithms for the solution of large scale stochastic dynamic problems, with convergence results and implementation ...

In this paper, we suggest an approximation procedure for the solution of two-player zero-sum stochastic games with continuous state and action spaces simila...

The aim of this paper is the characterization and the computation of equilibrium solutions in multistage games represented by networks. More specifically, w...

In this paper, we present algorithms for the solution of finite discounted stochastic games, without special structure. Three equilibrium concepts are consi...

The concept of ϵ-sequential Stackelberg equilibrium is introduced in the general framework of dynamic two-person games defined in the Denardo contracti...

Various algorithms for numerical solutions of discounted stochastic games are presented. For zero-sum two-person games, the existing algorithms are compared...

This paper deals with a class of games defined on a network flow model. The network represents the transformation process of a commodity from its extraction...