Archives

RR-FiME-15-02 Anthony LECAVIL, Nadia OUDJANE and Francesco RUSSO We introduce a new class of nonlinear Stochastic Differential Equations in the sense ofMcKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under various assumptions. We propose an original interacting particle system for which we discuss the …

RR-FiME-15-05 Laure Durand-Viel and Bertrand Villeneuve We analyze the impact of the length of incomplete contracts on investment and surplus sharing. In the bilateral relationship explored, the seller controls the input and the buyer invests. With two-part tariffs, the length of the contract is irrelevant: the surplus is maximal and goes to the seller. In …

RR-FiME-15-01 Corinne CHATON In this article, we focus on fuel poverty. More specifically, we analyse this phenomenon‟s dynamic by answering the following question: does France have a fuel poverty trap? First, we define three states/situations into which individuals may be placed: the non-fuel poverty state, the fuel poverty state and the severe fuel poverty state. …

RR-FiME-15-03 Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of the pit must satisfy some mechanical constraints, in order not to collapse. The question then arises how to mine the ore optimally, that is, how …

RR-FiME-15-06 Céline Grislain-Letrémy and Bertrand Villeneuve Urbanization in areas prone to natural hazards is massive and will grow. Economic analysis offers several tools to contain this phenomenon: insurance pricing in relation to risk, and zoning and building standards in exposed areas. Both approaches are theoretically equivalent, but their applications pose different challenges, and financial incentives …

RR-FiME-14-06 René Aïd, Luciano Campi, Delphine Lautier Because of storability constraints, standard no-arbitrage arguments cannot be safely applied in markets of commodities such as energy. In this paper, we propose an alternative approach to justify the convergence of forward towards spot prices as time-to-maturity goes to zero. We show that the classical no-arbitrage relationship between …

RR-FiME-14-05 Delphine Lautier, Franck Raynaud and Michel A. Robe We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural changes between 2000 …

RR-FiME-14-04 Delphine LAUTIER, Julien LING and Franck RAYNAUD We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are « external » to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly integrated with each other …

RR-FiME-14-03 Corinne CHATON, Elie LACROIX The numbers of households in fuel poverty is increasing. Indeed, more and more people are struggling to heat their homes and therefore more and more people are exposed to low temperatures which can affect their health. In this paper, we use the French database of the Healthcare and Insurance survey …

RR-FiME-14-02 René Aid, Salvatore Federico, Huyên Pham, Bertrand Villeneuve We establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpretations for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox-Ingersoll-Ross). Committed capacity, …