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Institution

Paris Dauphine University

EducationParis, France
About: Paris Dauphine University is a education organization based out in Paris, France. It is known for research contribution in the topics: Population & Approximation algorithm. The organization has 1766 authors who have published 6909 publications receiving 162747 citations. The organization is also known as: Paris Dauphine & Dauphine.


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Journal ArticleDOI
TL;DR: In this article, the authors developed a structural risk-neutral model for energy market modifying along several directions the approach introduced in Aid et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes.
Abstract: We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in Aid et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities and electricity demand makes such a market incomplete. We follow a local risk minimization approach to price and hedge energy derivatives. Despite the richness of information included in the spot model, we obtain closed-form formulae for futures prices and semiexplicit formulae for spread options and European options on electricity forward contracts. An analysis of the electricity price risk premium is provided showing the contribution of demand and capacity to the futures prices. We show that when far from delivery, electricity futures behave like a basket of futures on fuels.

84 citations

Journal ArticleDOI
TL;DR: These results cover the misspecified setting, in which the data-generating process is not assumed to be part of the family of distributions described by the model, and some difficulties arising in the numerical approximation of these estimators are discussed.
Abstract: Statistical inference can be performed by minimizing, over the parameter space, the Wasserstein distance between model distributions and the empirical distribution of the data. We study asymptotic properties of such minimum Wasserstein distance estimators, complementing results derived by Bassetti, Bodini and Regazzini in 2006. In particular, our results cover the misspecified setting, in which the data-generating process is not assumed to be part of the family of distributions described by the model. Our results are motivated by recent applications of minimum Wasserstein estimators to complex generative models. We discuss some difficulties arising in the numerical approximation of these estimators. Two of our numerical examples (⁠g-and-κ and sum of log-normals) are taken from the literature on approximate Bayesian computation and have likelihood functions that are not analytically tractable. Two other examples involve misspecified models.

84 citations

Journal ArticleDOI
TL;DR: In this paper, a recursive dynamic model reveals that there is an additional spread-widening effect as market makers earn higher rents due to economies of scope from quote monitoring, and the bid-ask spread is raised in response.
Abstract: Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency “bandits,” thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model reveals that there is an additional spread-widening e ect as market makers earn higher rents due to economies of scope from quote monitoring. Analysis of a NASDAQ-OMX speed upgrade provides supportive evidence.

83 citations

Journal ArticleDOI
TL;DR: This survey paper presents some new advances in theoretical aspects of differential game theory, and particular focus on three topics: differential games with state constraints; backward stochastic differential equations approach to stochastics differential games; differentialGames with incomplete information.
Abstract: This survey paper presents some new advances in theoretical aspects of differential game theory. We particular focus on three topics: differential games with state constraints; backward stochastic differential equations approach to stochastic differential games; differential games with incomplete information. We also address some recent development in nonzero-sum differential games (analysis of systems of Hamilton–Jacobi equations by conservation laws methods; differential games with a large number of players, i.e., mean-field games) and long-time average of zero-sum differential games.

83 citations

Journal ArticleDOI
TL;DR: The authors assesses how policies and institutions affect private returns to invest in tertiary human capital, the ability of individuals to finance this investment and the institutional characteristics of tertiary education systems.
Abstract: This paper assesses how policies and institutions affect private returns to invest in tertiary human capital, the ability of individuals to finance this investment and the institutional characteristics of tertiary education systems. Focusing on core tertiary education services, the paper presents new measures of private returns to tertiary education, the institutional setting for supplying tertiary education and the availability of individual financing in OECD countries. Using a panel of 19 countries, the number of new tertiary graduates (a proxy for investment in tertiary education) is regressed on these new proposed measures, as well as other standard determinants of investment in tertiary education. The resulting estimates are used to assess empirically the relative importance of several education, taxation and social policies affecting investment in tertiary education. Several avenues for reform and the trade-offs they present for public policy are discussed.

83 citations


Authors

Showing all 1819 results

NameH-indexPapersCitations
Pierre-Louis Lions9828357043
Laurent D. Cohen9441742709
Chris Bowler8728835399
Christian P. Robert7553536864
Albert Cohen7136819874
Gabriel Peyré6530316403
Kerrie Mengersen6573720058
Nader Masmoudi6224510507
Roland Glowinski6139320599
Jean-Michel Morel5930229134
Nizar Touzi5722411018
Jérôme Lang5727711332
William L. Megginson5516918087
Alain Bensoussan5541722704
Yves Meyer5312814604
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Performance
Metrics
No. of papers from the Institution in previous years
YearPapers
202317
202291
2021371
2020408
2019415
2018392