Publications
by
Ivar
Ekeland:
Finance and Risk
1. (with P. Courty, J.M. Morel and Cheuk Wai Yip) "Linéarisation du problème de l’adossement financier sur des bases d’ondeletes", CRAS Paris, 316 (1993) p. 1341-1344
2. "Finance: un nouveau domaine des mathématiques appliquées", Revue Française de Gestion, 96 (1993), p.44-48
3. " Finance et modélisation", Encyclopédie des Marchés Financiers, Y. Simon ed., Economica, 1997, p. 485-500
4. "Quelques modèles mathématiques de la peréquation tarifaire", Economie et Société, Cahiers de l'ISMEA, 31, n° 5-6 (1997), p.223-233
5.
(with Bruno Bouchard and Nizar Touzi): "On the Malliavin approach to
Monte-Carlo approximation of conditional expectations" Finance
and Stochastics,
1 (2004), p.1-29 [pdf]
6.
(with
Erik Taflin) “A theory of bond
portfolios” Annals
of Applied Probability. 15
(2005) p.
1260 - 1305.
7. (with Louis Nirenberg).
"Regularity in an
unusual variational problem”, Journal
of Mathematical Fluid Mechanics 7,
Supplement 3 (2005) p. 332 -348 [pdf]
8. (with Erik Taflin) “Optimal Bond Portfolios”, Paris-Princeton
Lectures in
Mathematical Finance, vol 3, Lecture
Notes in Mathematics, Springer (2007), p.1-48
[pdf]
9. (with
Guillaume Carlier and Nizar Touzi "Optimal
derivatives
design
for
mean-variance
agents
under
adverse
selection". Mathematics
and Financial Economics. 1 (2007) p.
57 - 80. [pdf]
10. (with Santiago Moreno-Bromberg) "An algorithm for computing solutions of variational problems with global convexity constraints". Numerische Mathematik 115 (2010) p. 45-69 (pdf)
10. (with Alfred
Galichon
and
Marc
Henry)
"Comonotonic
measures of multivariate risk", Mathematical
Finance, 20 (2010) p.
1-24
(pdf)
11. (with
Walter Schachermayer) "Law invariant
risk measures in L\infty(Rd)", Statistics and Risk Modeling,
Vol. 28
(2011),
No. 3, pp. 195-225, [pdf]
12. (with Alfred Galichon) "Pareto indivisible allocations, revealed
preferences and duality", working paper, January 2012 [pdf]