We consider a problem of derivatives design under asymmetry of information: the principal sells a contingent claim to an agent, the type of whom he does not know. More precisely, the principal designs a contingent claim and prices it for each possible agent type, in such a way that each agent...

Dealing with multi-valued data has become quite common in both the framework of databases as well as data analysis. Such data can be constrained by domain knowledge provided by relations between the variables and these relations are expressed by rules. However, such knowledge can introduce a...

This paper deals with inertia functions in control theory introduced in Aubin, Bernardo and Saint-Pierre (2004, 2005) and their adaptation to dynamical games. The inertia function associates with any initial state-control pair the smallest of the worst norms over time of the velocities of the...

This paper shows a fuzzy relational clustering method in order to perform the clustering of symbolic data. The presented method yields a fuzzy partition and prototype for each cluster by optimizing an adequacy criterion based on suitable dissimilarity measures. This work considers two...

The recording of symbolic data has become a common practice with the advances in database technologies. This paper shows hard and fuzzy relational clustering in order to partition symbolic data. These methods optimize objective functions based on a dissimilarity function. The distance used is a...

The Ohlson model (OM) builds on the accounting-based residual income valuation (RIV) model for equity valuation then specifies a linear information model (LIM) for the time-series behavior of residual income. As a result, stock price is related through a simple linear formula to current book...

This paper deals with carbon price variations using a multi time scale decomposition based on the theory of wavelets. Our approach is based on wavelet packet transforms. This original approach enables us to identify that the periods which contribute the most to EUA spot, EUA futures, and CER...

Here, we study the case where the portfolio rebalancement involves the payment of taxes on benefits. Then, the purchasing time of the asset to be sold has to be recorded in order to compute the amount of tax to be paid. In addition to the no-short-selling constraint, our model assumes that sales...