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Bruno Bouchard, Adrien Nguyen Huu We consider a class of production-investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the no-arbitrage of the second kind condition introduced by M. Rasonyi [13]. We show that this condition implies the closedness of the set of attainable claims and is equivalent to the existence of a strictly consistent price system under which the evaluation of future production profits are strictly Read more [...]

C. Aloui, M. Ben Abdelhamid C. Chaton soumis Avril 2010

Corinne Chaton, Laure Durand-Viel Real assets are usually valued by assuming a liquid spot market with competitive traders who buy or sell until arbitrage opportunities are exhausted; the value of a real asset is computed as the stream of profits resulting from such transactions. This method ignores market fundamentals by assuming that all the relevant information is included in the spot price. This paper analyses the bias resulting from such an approach when the market is imperfectly competitive. Read more [...]

René Aïd, François Barjon, Christine Vialas This paper proposes a market-based method to provide a selling price for long-term contract on electricity market. In market-based approaches, one searches to fulfil a given long-term commitment only by selling and buying available futures contracts on the market. The price of the contract is then given by the cost of the best available hedging strategy. Here, the hedging strategy is based on rolling futures of the longest maturity, i.e. successively Read more [...]

B. Bouchard, R. Elie, C. Imbert SIAM Journal on Control and Optimization 48, pp. 3501-3531 - Février 2010 Plus d'infos.

Gilles Chemla Adrian Pop Diana Pop We investigate the link between the regulation of control transactions and the institutional and corporate features of public companies, by analyzing the massive delisting activity in the Romanian capital market. The peculiar ownership reforms involving a large number of listed companies offer a unique opportunity to test Bebchuk and Roe’s (2000) theory of path dependence. Over time, the Romanian authorities have undertaken wide-ranging institutional reforms, Read more [...]

Corinne Chaton Marie-Laure Guillerminet In this paper, we study the impact of competition and environmental policy (feed-in tari¤s vs. the EU ETS) on investment, CO2 emissions and welfare in an electricity sector. For this purpose, we consider different market structures (private monopoly, planner that maximizes the social welfare, dyopoly) and two types of consumers (consumers depending on weather and the other ones). The demand specification is innovative and takes into account an incompressible Read more [...]

Laure Durand-Viel Bertrand Villeneuve This article analyzes the impact of incomplete contracts’ length on investment in a bilateral relationship. The seller has the power to set the contract terms whereas the buyer decides on the investment level, which acts as a cap on future demand. Two-part tariffs succeed at implementing the optimal investment and consumption even if commitment is limited, and the contract’s duration is irrelevant. Interestingly, this efficient solution is rendered possible Read more [...]

B. Bouchard, R. Elie, N. Touzi SIAM Journal on Control and Optimization 48(5), pp 3123-3150 - Décembre 2009 Plus d'infos.

U. Cetin, M. Soner, N. Touzi Finance and Stochastics 14, pp 317-341 - Décembre 2009 Plus d'infos.