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...

We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it 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...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is viewed as one factor of destabilization in the financial markets, as...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is viewed as one factor of destabilization in the financial markets, as...

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...

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...

In 1998 the Fifty-first World Health Assembly passed the "health-for-all policy for the twenty-first century". During this assembly the Member States of the World Health Organization (WHO) reaffirmed their commitment to the principle that "the enjoyment of the highest attainable standard of...

A government agency delegates to a provider (hospital, medical gatekeeper, school, social worker) the decision to supply a service or treatment to individual recipients. The agency does not perfectly know the distribution of individual treatment costs in the population. The single-crossing...