We study the simplest discrete-time finite-maturity model in which default arises when the firm is not able to pay its debt obligation using the current cash-flow plus the corporate liquidity. An important distinction is made between liquidity and solvency of the firm. The corporate financial...

We consider the optimal market segmentation problem of a monopolist that faces a continuum of customers when it is costly to prevent resale (or parallel trade) among groups. In our framework, the monopolist chooses the number k of market segments, but also their design and the discriminatory...

We consider a profit-maximizing monopolist that faces N2 different markets while the number k of discriminatory prices is chosen by the regulator. Unlike the classical approach in which only the polar cases are considered, we explicitly analyze the case in which k is an integer between 1 and N....

In a simple symmetric information continous time model, we consider leverage as way to finance a fraction of the investment cost. We show that underinvestment cannot arise while over-investment may and the room for overinvestment is negatively related with the fraction paid by equityholders....

We introduce in this paper the quot;incompletequot; third-degree price discrimination, which is the situation in which a monopolist must charge at most k different prices while the total market is composed of n (local) markets, with ngt;k. We thus study the optimal partition problem of the n...

We offer a new simple approach to price European options in incomplete markets using the sole no-arbitrage principle and this only requires to make use of a one-period model; introducing a stochastic process is unnecessary. We show that determining the range of arbitrage-free prices with a...

We develop a simple yet realistic framework to analyze the impact of an exogenous shock on a bank's balance-sheet and its optimal response when it is constrained to maintain its risk-based capital ratio above a regulatory threshold. We show that in a stress scenario, capital requirements may...

We consider a price-mediated contagion framework in which each bank, after an exogenous shock, may have to sell assets in order to comply with regulatory constraints. Interaction between banks takes place only through price impact. We characterize the equilibrium of the strategic deleveraging...

The aim of this paper is to provide a new straightforward \textit{measure-free} methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which...

In this paper, we develop a dynamic monopoly pricing model as a non-stationary Multi-armed bandit problem. At each time, the monopolist chooses a price in a finite set and each customer decides stochastically but independently to visit or not his store. Each customer is characterized by two...