Electricity Markets (2008-2012)
During my Ph.D. years, I've studied Electricity Markets from a portfolio manager's viewpoint, in order to price and hedge positions on electricity spot/forward price derivatives. Irreversible investment, arbitrage theory, real option theory and portfolio constraints on physical assets are invoked to deal with realistic risk hedging for an electricity provider.
A structural risk-neutral model of electricity prices, with R. Aïd, L. Campi and N. Touzi. International Journal of Theoretical and Applied Finance (2009). [HAL]
No marginal arbitrage of the second kind for high production regime in discrete time investment-production models with proportional transaction costs, with B. Bouchard. Mathematical Finance (2011). [HAL]
A note on super hedging for investor-producers. Mathematics and Financial Economics (2012). [arXiv]
Hedging expected loss on Derivatives in Electricity Futures Markets, with N. Oudjane. Commodity, Energy and Environmental Finance, Fields Inst. Commun.n°74, Springer (2015). [arXiv]
Macroeconomic Modeling via Dynamical Systems (2013-2018)
Those works are dedicated to study the Goodwin and Keen models of endogenous growth from a mathematical or numerical viewpoint, and study several alternatives linked to monetary and financial issues : the effect of prices and inflation, credit impact on demand and Minsky's Financial Instability Hypothesis representation.
Orbits in a stochastic Goodwin-Lotka-Volterra model, with B. Costa-Lima. Journal of Mathematical Analysis and Applications (2014). [arXiv]
Inflation and speculation in a dynamic macroeconomic model, with M.R. Grasselli. Journal of Risks and Financial Management, Selected Papers from the Fifth Int. Conf. on Math. in Fin. (MiF) 2014 (2015). [Mdpi] Errata written by M.R. Grasselli.
Debt and Investment in the Keen model: a reappraisal of modelling Minsky, with A. Pottier. Review of Keynesian Economics (2017). [HAL]
Inventory Growth Cycles with Debt-Financed Investment, with M.R. Grasselli. Structural Change and Economic Dynamics (2018)[arXiv].
Inter/intra-agents consistency in finance (2014-2019)
I study time-inconsistent optimal stopping problems for real options and portfolio liquidation applications, pre-emption in irreversible investment in duopolies, and insurance portfolio sharing for heterogeneous agents. Mostly related to mathematical finance and optimal control theory.
Investment under uncertainty, competition and regulation. Journal of Dynamics and Games (2014). [arXiv]
Time-consistent Stopping Under decreasing Impatience, with Yu-Jui Huang. Finance & Stochastics (2018). [arXiv]
General stopping behaviors of naïve and noncomitted sophisticated agents, with application to probability distortion (2019), with Yu-Jui Huang and Xun Yu Zhou. Mathematical Finance (2019). [arXiv]
Optimal Sharing Rule for a Household with a Portfolio Management Problem, with O. Mbodji and T. Pirvu. Mathematical Social Sciences, (2019). [HAL] [ScienceDirect]
Ecological Economics & Climate (2018-)
I raise several Macroeconomic issues related to modeling the interaction between energy, growth, climate mitigation and finance.
Hicksian Traverse Revisited: Conditions for the Energy Transition, with A. Pottier. Structural Change and Economic Dynamics (2020) [HAL] [Science Direct]
No-regret Pollution Abatement Options: A Correction of Bréchet and Jouvet (2009), with A. Pottier. Ecological Economics (2020) (commentary) [HAL] [Science Direct]; A reply from Bréchet and Jouvet in Ecological Economics (2020)
Experimental Green Finance (2021-)
I take interest in finance laboratory experiments dedicated to professionals preferences, in particular with regards to socially responsible investment and climate related issues.
Why finance professionals hold green and brown assets? A lab-in-the-field experiment, with S. Duchêne, M. Willinger and D. Dubois (2021). [submitted]