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Event risk, contingent claims and the temporal resolution of uncertainty

Publications associées (42)

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Bidder Optimal Assignments for General Utilities

Monika Henzinger, Ingmar Weber, Paul David Dütting

We study the problem of matching bidders to items where each bidder i has a general, strictly monotonic utility functions u_{i,j}(p_j) expressing her utility of being matched to item j at price p_j . For this setting we prove that a bidder optimal outcome ...

Springer2009

Equilibrium Prices for Monetary Utility Functions

Damir Filipovic

This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible nume ...

World Scientific Publishing2008

Market Consistent Pricing of Insurance Products

Semyon Malamud

We present the ﬁrst step in a program to develop a comprehen- sive, uniﬁed equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod ﬁnancial market. This framework reﬂects classical ...

2008

Multi-agent modelling of electricity markets

Abdelaziz Lahlou

This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...

EPFL2007

Neurophysiological evidence on perception of reward and risk: Implications for trading under time pressure

Anjali Devi Vanapilli Nursimulu

Recent neurophysiological studies reveal that risk and reward are separately encoded in the human brain, and that the encodings display different timing patterns. Therefore, we hypothesized that sensitivity of trading decisions to risk and reward parameter ...

University of Zurich2007

Corporate control and real investment in incomplete markets

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. However, in most situations, corporate executives face incomplete markets either b ...

2007

RISK21 - Coping with Risk due to Natural Hazards in the 21st Century

Laurent Vulliet

To be able to take effective and efficient decisions leading to transparent and comparable results between different risk situations, a consistent and systematic risk management process has to be followed (in this context called “integral risk management”) ...

Taylor & Francis2006

Benchmarking of hydroelectric stochastic risk management models using financial indicators

Matthias Finger, Pierre-André Haldi

The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...

2005

Success and failure factors of collaborative networks of SME

Michel Pouly, Frédéric Monnier

The enterprises active in the industrial subcontracting branch are in a very competitive market and support large pressures on their prices and delivery schedules. The arrival on the market of suppliers from low-cost countries like Eastern Europe or the Fa ...

2005

Success and failure factors of collaborative networks of SME

Michel Pouly, Frédéric Monnier

Springer, 233 Spring Street, New York, Ny 10013, United States2005