In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

In this article, we study a class of functions defined by a system of linear inequalities which arises naturally in at least four different economic issues: redistribution, spatial economics, theory of incentives and utility theory. The main tool used to study solutions of those inequalities...

ELECTRE TRI is a method designed to sort alternatives evaluated on several criteria into ordered categories. The original method uses limiting profiles. A recently introduced variant uses central profiles. We study the relations between these two variants. We do so by investigating if an ordered...

With hindsight, the subprime crisis highlighted the importance of high correlation regimes and systemic risks and contagion. It is mainly about them that this paper will focus on, in the context of the liquid index tranches but also for European Prime RMBS and SME securitizations.

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...