This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

In this paper I consider social choices under uncertainty. I prove that any social choice rule that satisfies independence of irrelevant alternatives, translation invariance, and weak anonymity is consistent with ex post Bayesian utilitarianism.

We compute the optimal investment-consumption policy for an agent that is able to invest upon two non-risky assets, one liquid and the other illiquid -which means that transaction costs have to be paid when he buys or sells this last asset. An equilibrium model then gives us a way to compute the...

This paper studies the optimal contract offered by an uninformed principal to an informed agent when standard assumptions on the shape of the reservation utility profile don't hold. I first exhibit conditions for the continuity and the uniqueness of the solution. I then characterize the solution...

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.

A seller sells a good of unknown quality to a buyer. He may certify his product , that is, announce that quality is at least equal to a certification level. If he doesn't observe himself the quality, he must first investigate to discover the quality before taking his certification decision. The...

This paper estimates the probability distribution of budgets, revenues, returns and profits to G-, PG-, PG13-, and R-rated movies. The distributions are non-Gaussian and show a self-similar stable Paretian form with non-finite variance and non-stationary mean.