In the framework of Galichon, Henry-Labordère and Touzi, we consider the model-free no-arbitrage bound of variance option given the marginal distributions of the underlying asset. We first make some approximations which restrict the computation on a bounded domain. Then we propose a gradient...

In the framework of Galichon, Henry-Labordère and Touzi, we consider the model-free no-arbitrage bound of variance option given the marginal distributions of the underlying asset. We first make some approximations which restrict the computation on a bounded domain. Then we propose a gradient...

In their paper [2], Carmona and Touzi have studied an optimal multiple stopping time problem in a market where the price process is continuous. In this paper, we generalize their results when the price process is allowed to jump. Also, we generalize the problem associated to the valuation of...

We provide a general Doob-Meyer decomposition for $g$-supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Meyer decomposition of Mertens (1972) for classical supermartingales, as well as Peng's (1999) version for...

We develop a weak exact simulation technique for a process X defined by a multi-dimensional stochastic differential equation (SDE). Namely, for a Lipschitz function g, we propose a simulation based approximation of the expectation E[g(X_{t_1}, \cdots, X_{t_n})], which by-passes the...

We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labordere to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical algorithm converges to the solution...

We extend the martingale version of the one-dimensional Brenier's theorem (Fr echet-Hoeffding coupling), established in Henry-Labord ere and Touzi to the infinitely-many marginals case. In short, their results give an explicit characterization of the optimal martingale transference plans as well...

In this paper, we shed light on the selection of the benefi ciaries from the French competitiveness cluster policy which was launched in 2005 and extended to 2012. We disentangle the selection and self-selection eff ects, as emphasized in the theoretical literature on regional and industrial...

Will employment instability be the employment pattern tomorrow? Many studies support this view which is first discussed on the basis of various statistical studies already carried out. A general trend of employment instability is not proved to be true by statistical data. These data show that...

Analyse de l'accaparation d'actifs (asset grabbing) lors des privatisations, sur les marchés financiers et dans le "shadow banking"par des oligarques comme émergence d'une économie où le "gagnant rafle tout" (winner take all) formant un secteur "cupidaliste". Son apparition dans l'économie...