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An Axiomatic Approach to Proportionality between Matrices
Balinski, Michel; Demange, Gabrielle - HAL - 1989
distinct contexts. First, for any real "allocation" matrix f. Second, for any integer constrained "apportionment" matrix f. In …
Persistent link: https://www.econbiz.de/10010898972
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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 … transactions is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach …
Persistent link: https://www.econbiz.de/10010933872
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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
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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
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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
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LIMITS TO GROWTH AND STOCHASTICS
Bouleau, Nicolas - HAL - 2012
The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270
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Mitigation strategies and energy technology learning: an assessment with the POLES model
Criqui, Patrick; Mima, Silvana; Menanteau, Philippe; … - HAL - 2014
This paper explores various dimensions of the learning process for low-carbon technologies under different mitigation scenarios. It uses the POLES model, which addresses learning as an endogenous phenomenon with learning curves, and a set of scenarios developed as part of the AMPERE project. It...
Persistent link: https://www.econbiz.de/10010780807
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The economics of changing course: implications of adaptability and inertia for optimal climate policy.
Grubb, Michael; Thierry, Chapuis; Ha-Duong, Minh - HAL - 1995
technical innovation and systemic change in the energy sector is largely induced by need, and restrained by potentially large …
Persistent link: https://www.econbiz.de/10008791872
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Prospects for the hydrogen transition based on the network economic approach : Insights from the electricity and gas experience in Europe
Bento, Nuno - HAL - 2007
This paper aims to investigate the transition to a new energy system based on hydrogen in the European liberalized framework. After analyzing the literature on the hydrogen infrastructure needs in Europe, we estimate the size and scope of the transition challenge.We take the theoretical...
Persistent link: https://www.econbiz.de/10008792179
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Entrepreneurship turnover and endogenous returns to ability
Crifo, Patricia; Sami, Hind - HAL - 2008
This paper proposes a model of entrepreneurial turnover highlighting a non-monotone relationship between technological change and ability-biased sorting into entrepreneurial types. Entrepreneurial decisions are examined in a two-stage model under uncertainty in which entrepreneurs decide to...
Persistent link: https://www.econbiz.de/10008792589