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Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010933872

Window double barrier options

Guillaume, Tristan - HAL - 2003

also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

Persistent link: https://www.econbiz.de/10010820456

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

Persistent link: https://www.econbiz.de/10008873568

Disagreement-Based Trading and Speculation: Implications for Financial Regulation and Economic Theory

Biondi, Yuri - HAL - 2011

Lynn Stout's paper develops an insightful legal-economic analysis of speculative trading. From one hand, the paper discusses the legal-economic framework of speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis) of...

Persistent link: https://www.econbiz.de/10008835378

The Contribution of Douglass North to New Institutional Economics

Ménard, Claude; Shirley Mary M. - HAL - 2011

Douglass North, along with Ronald Coase and Oliver Williamson, transformed the early intuitions of new institutional economics into powerful conceptual and analytical tools that spawned a robust base of empirical research. NIE arose in response to questions not well explained by standard...

Persistent link: https://www.econbiz.de/10010930236

Appropriation, violent enforcement and transaction costs : a critical survey

Vahabi, Mehrdad - HAL - 2011

In this paper, I focus on the extension of transaction costs to appropriative activity and coercive power in the property rights approach. It has been argued that including the costs of appropriation and violent enforcement in transaction costs is based on the assumption that Coaseian bargaining...

Persistent link: https://www.econbiz.de/10009328154

A New Institutional Approach of Resource Use Conflicts: The Case of Poitou-Charentes

Boutry, Ornella - HAL - 2010

New Institutional Economics, based on the Coasean comparative approach, offers a highly useful framework for research on environmental problems. We propose a tentative analytic framework for environmental problems and we try its heuristic power by first applying it to the Poitou-Charentes...

Persistent link: https://www.econbiz.de/10009401080

Multivariate utility maximization with proportional transaction costs and random endowment

Benedetti, Giuseppe; Campi, Luciano - HAL - 2011

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...

Persistent link: https://www.econbiz.de/10009643221

Hybrid Modes of Organization. Alliances, Joint Ventures, Networks, and Other 'Strange' Animals

Ménard, Claude - HAL - 2010

The central message conveyed in this chapter is that there is a whole class of economic organizations that contribute substantially to what Coase (1992) called "the institutional structure of production". These arrangements fall neither under pure market relationships nor within 'firm...

Persistent link: https://www.econbiz.de/10010750977

Changements institutionnels et efficience de l'affrètement au voyage dans le transport fluvial de marchandises

Lendjel, Emeric; Fischman, Marianne - HAL - 2010

VNF (2010)'s statistical data show a remarkable resilience of inland navigation in France during the recession. Yet at least part of the profession is in crisis: the boatmen are now likely to be close to bankruptcy. Key players in the fully liberalized (since 2000) spot market, small independent...

Persistent link: https://www.econbiz.de/10010750989