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

Contacts

Links

Long CV (PDF file, 55 Kb)
Personal Web Site

Research Interests

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

Professional experiences

Current positions

Former positions

Education

Work in progress

Articles in revision in refereed journals

• "Liquidity Risk and Corporate Demand for Insurance", Journal of Financial Intermediation.

  (with Jean-Charles Rochet)

  [in revision]

Articles in working paper series

• "On the Modeling of Debt Maturity and Endogenous Default: A Caveat", IDEI Working Paper, n. 528, November 2009.

  (with Jean-Paul Décamps)

  [ Full text (PDF file, 300 Kb) ]

• "Free Cash-Flow, Issuance Costs and Stock Price Volatility", IDEI Working Paper, n. 518, September 2008.

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

  [ Full text (PDF file, 342 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)

Publications

Articles in refereed journals

• "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)