IDEI Researcher
Member of the Toulouse School of Economics (TSE)

Contacts

Secretary

Links

Long CV (PDF file, 82 Kb)

Research Interests

Optimal stopping and stochastic control
Mathematical and computational finance
Contract theory in continuous time

Professional experiences

Current position

Former positions

Education

Grants and awards

Work in progress

Articles in working paper series

• "A Mind is a Terrible Thing to Change: Confirmation Bias in Financial Markets", IDEI Working Paper, n. 720, March 2012.

  (with Sébastien Pouget)

  [ Under revision review of Financial Studiesnce (PDF file, 351 Kb) ]

• "Optimal Liquidity Management and Hedging in the presence of a non predictable investment opportunity", IDEI Working Paper, n. 694, January 23, 2012.

  (with Xavier Warin)

  [ Full text (PDF file, 421 Kb) ]

• "Defining Risk Apetite", IDEI Working Paper, n. 513, 2007.

  (with Thomas-Olivier Léautier and Jean-Charles Rochet)

Mimeos

• Price Formation with Confirmation Bias, 2008.

  (with Sébastien Pouget)

Forthcoming

Articles in refereed journals

• "Rethinking Dynamic Capital Structure Models with Roll-Over Debt", Mathematical Finance, online first june 2012. doi:10.1111/j.1467-9965.2012.00532.x.

  (with Jean-Paul Décamps)

  [Forthcoming]

  [ Full text (PDF file, 389 Kb) ]

Publications

Articles in refereed journals

• "Free Cash Flow, Issuance Costs, and Stock Prices", The Journal of Finance, vol. 66, n. 5, October 2011, p. 1501-1544. doi:10.1111/j.1540-6261.2011.01680.x.

  (with Jean-Paul Décamps, Thomas Mariotti and Jean-Charles Rochet)

• "Liquidity Management and Corporate Demand for Hedging and Insurance", Journal of Financial Intermediation, vol. 3, 2011, p. 300-323.

  (with Jean-Charles Rochet)

• "Technology Choice under Several Uncertainty Sources", European Journal of Operational Research, vol. 206, n. 3, Elsevier, November 2010, p. 586-600. doi:10.1016/j.ejor.2010.03.010.

  (with Catherine Bobtcheff)

• "Large Risks, Limited Liability, and Dynamic Moral Hazard", Econometrica, vol. 78, n. 1, January 2010, p. 73-118. doi:10.3982/ECTA7261.

  (with Bruno Biais, Thomas Mariotti and Jean-Charles Rochet)

• "A Mixed Singular/Switching Control Problem for a Dividend Policy with Reversible Technology Investment", Annals of Applied Probability, vol. 18, n. 3, May 2008, p. 1164-1200.

  (with Pham Huyen and Ly Vath Vathana)

  [ Final Version_Working Paper (PDF file, 400 Kb) ]

• "On the Threshold Strategies ans Smooth-Fit Principle for Optimal Stopping Problems", Journal of Applied Probability, vol. 44, n. 1, March 2007, p. 181-198.

• "Optimal Dividend Policy and Growth Option", Finance and Stochastics, vol. 11, 2007, p. 3-27.

  (with Jean-Paul Décamps)

  [ Full text (PDF file) ]

• "On the Value of Optimal Stopping Games", Annals of Applied Probability, vol. 16, n. 3, August 2006, p. 1576-1596.

  (with Erik Ekstrom)

  [ Full text (PDF file) ]

• "Irreversible Investment in Alternative Projects", Economic Theory, vol. 28, n. 2, Springer Berlin / Heidelberg, June 2006, p. 425-448. doi:10.1007/s00199-005-0629-2.

  (with Jean-Paul Décamps and Thomas Mariotti)

  [ Final Version_Working Paper (PDF file, 273 Kb) ]

• "Investment Timing under Incomplete Information", Mathematics of Operations Research, vol. 30, n. 2, May 2005, p. 472-500. doi:10.1287/moor.1040.0132.

  (with Jean-Paul Décamps and Thomas Mariotti)

• "Corporate Portfolio Management", Annals of Finance, vol. 1, n. 3, 2005, p. 225-243.

  (with Jean-Charles Rochet)

• "Critical Price near Maturity for an American Option on a Dividend-Paying Stock", Annals of Applied Probability, vol. 13, 2003, p. 800-815.

  (with D. Lamberton)

• "Long Term Risk Management of Nuclear Waste", Journal of Economic Dynamics and Control, vol. 27, 2002, p. 157-180.

  (with M. Chesney and H. Louberge)
• "Parabolic A.D.I. Methods for Pricing American Options on two Stocks", Mathematics of Operations Research, vol. 27, 2002, p. 121-149.

  (with A. Zanette)

• "Exercise Regions of American Options on Several Assets", Finance and Stochastics, vol. 3, 1999, p. 295-322.

Contributions to books

• "Optimal Investment under liquidity constraints", in Real Options, Ambiguity, Risk and Insurance (Editors: Bensoussan, A., Peng, S. , Sung, J.), May 2013.

  [ Full text (PDF file, 212 Kb) ]

• "Alternating Direction Implicit Method", in Encyclopedia of Quantitative Finance, Wiley Sons Ltd: Chichester, 2010, p. 30-37.