Publications by Ivar Ekeland:
Finance and Markets


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 Walter Schachermayer), "Optimal transport and the geometry of L1(Rd)",  (2012) Proceedings of the AMS, to appear [pdf]


13. (with Delphine Lautier and Bertrand Villeneuve),
"A simple equilibrium model for a commodities market with spot trades and futures contracts",  working paper [pdf]



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