Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile...
Banque
Behavioral biases and the Representative Agent
In this paper, we show that behavioral features can be obtained at a group level...
Mesure et gestion du risque
Ce premier numéro permet de découvrir les différents domaines de recherche portés par les chaires...
A Structural Risk-neutral Model for pricing and hedging Power Derivatives
We develop a structural risk-neutral model for energy market modifying along several directions the approach...
The Value of a Statistical Life under Ambiguity Aversion
The paper shows that ambiguity aversion increases the value of a statistical life as soon...