Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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The welfare cost of inflation risk under imperfect insurance.

Incomplete markets, Inflation risk, Money-in-the-utility, Welfare

Incomplete markets, liquidation risk, and the term structure of interest rates.

Borrowing constraint, Incomplete markets, Yield curve

Incomplete markets, liquidation risk, and the term structure of interest rates.

Borrowing constraint, Incomplete markets, Yield curve

The Welfare Cost of Inflation Risk Under Imperfect Insurance.

Incomplete Markets, Inflation Risks, Money-in-the-utility, Welfare

The Welfare Cost of Inflation Risk under Imperfect Insurance.

Incomplete markets, Inflation risk, Money-in-the-utility, Welfare

Pricing and hedging strategies in incomplete energy markets.

Energy markets, Incomplete markets, Indifference pricing, Marchés de l’énergie, Marchés incomplets, Options spread, Polynomial process, Prix d’indifférence, Processus polynomial, Risque de volume, Volume risk

American options in a non-linear incomplete market model with default.

American options, Constrained reflected BSDE, Control problems with non-linear expectation, F-expectation, Incomplete markets, Non-linear optional decomposition, Non-linear pricing, Optimal stopping with non-linear expectation, Pricing-hedging duality

Superhedging prices of European and American options in a non-linear incomplete market with default.

American options, BSDEs with constraints, Constrained reflected BSDEs, Control problems with non-linear expectation, European options, F -expectation, Incomplete markets, Non-linear optional decomposition, Non-linear pricing, Optimal stopping with non-linear expectation, Pricing-hedging duality

Solving and simulating models with heterogeneous agents and aggregate uncertainty.

Accuracy tests, Incomplete markets, Numerical solutions, Parameterized densities, Perturbation methods, Projection methods

The Macroeconomic Effects Of Lockdown Policies.

Borrowing constraints, Government spending, Incomplete markets, Lockdown, Unemployment, Unemployment insurance

The macroeconomic effects of lockdown policies.

Borrowing constraints, Government spending, Incomplete markets, Lockdown, Unemployment, Unemployment insurance