Papers of Elyes Jouini

(updated on September 15, 2004)


 

Published and accepted papers

Invited papers and book chapters

Submitted papers

Popular scientific papers


Published and accepted papers

  1. A remark on the Clarke’s normal cone and marginal pricing rule, Journal of Mathematical Economics, 17, 309-315, 1988 and 18, 95-101, 1989.
  2. Functions with constant generalized gradient, Journal of Mathematical Analysis and Applications, 148 (1), 121-130, 1990.
  3. An Index Theorem for Nonconvex Production Economies, Journal of Economic Theory, 57 (1), 176-196, 1992.
  4. Structure de l'ensemble des équilibres d'une économie non-convexes, Annales de l'Institut Henri Poincaré, Analyse non-linéaire, 9 (3), 321-336, 1992,
  5. The graph of the Walras correspondence,  Journal of Mathematical Economics, 22, 139-147, 1993,
  6. Martingales, arbitrage and equilibrium in securities markets with transaction costs, (with H. Kallal), Journal of Economic Theory, 66(1), 178-197.
  7. Arbitrage  in securities markets with shortsale constraints, (with H. Kallal),  Mathematical Finance, 5(3), 197-232.
  8. Unicité et stabilité de l'équilibre dans une économie de production avec règle de tarification marginale : les cas convexe et non-convexe, Annales d'Economie et de Statistique, 44, 159-176.
  9. Investment opportunities, short sales constraints and arbitrage opportunities (with L. Carassus), Mathematical Finance, 8(3), 1998, 169-178.,
  10. Incomplete Markets, Transaction Costs and Liquidity Effects(with P.F. Koehl and N. Touzi), European Journal of Finance, 3, 1-23.
  11. Optimal investment with taxes : an optimal control problem with endogeneous delay, (with P.-F. Koehl and N. Touzi) Nonlinear Analysis, 37 (1999), 31-56,
  12. Existence of the equilibria without free disposal assumption, Economics Letters, 38, 37-42, 1992.
  13. General equilibrium with producers and brokers : existence and regularity, (with H. Kallal), Economics Letters, 41 (3), 257-264, 1993,
  14. Produits dérivés, contrôle des risques et réglementation, Revue d'Economie Financière, 37, été 1996, 203-220.
  15. Pricing of non-redundant derivatives in a complete market (with P.-F. Koehl and A. Bizid), Review of Derivatives Research, 2, 285-312, 1998,
  16. A discrete stochastic model for investment with an application to the transaction costs case, Journal of Mathematical Economics, 33(1), 2000, 57-80.
  17. Viability and equilibrium in securities markets with frictions (with H. Kallal), Mathematical Finance, 9(3), (July 1999), 275-292.
  18. Price functionals with bid-ask spreads : an axiomatic approach, Journal of Mathematical Economics, 34, 2000, 547-558,
  19. Optimal investment with taxes : existence and some properties of the solution (with P.-F. Koehl and N. Touzi), Journal of Mathematical Economics, 33 (2000), 373-388,
  20. Arbitrage and investment opportunities (with C. Napp), Finance and Stochastics, 5 (2001) 3, 305-325,
  21. Arbitrage and control problems in finance. Introduction. Journal of Mathematical Economics, 35, 2001,167-183
  22. Generalized Lipschitz-functions, Nonlinear Analysis, theory, methods and applications, 41 (2000), 371-382,
  23. Efficient trading strategies in the presence of market frictions  (with H. Kallal), Review of Financial Studies, 2001, (14), 343-369,
  24. Arbitrage and equilibrium with fixed trading costs (with H. Kallal and C. Napp), Journal of Mathematical Economics, 35, 2001, 197-221,
  25. Incomplete Markets and Short-Sales Constraints: An Equilibrium Approach (with A. Bizid), International Journal of Theoretical and Applied Finance, 4(2), 2001, 211-244,
  26. Convergence of the equilibrium prices in a family of financial models, Finance and Stochastics, 7,491-507 (2003)
  27. Convergence of utility functions and convergence of optimal portfolios, with Clotilde Napp, to appear, Finance and Stochastics,
  28. Vector-valued measures of risk, with Moncef Meddeb and Nizar Touzi, to appear, Finance and Stochastics,
  29. Comonotonic Processes, with Clotilde Napp, Insurance : Mathematics and Economics, 32 (2003) 255–265
  30. A class of models satisfying a dynamic version of the CAPM, Economics Letters, 79 (2003) 299–304
  31. Production planning and inventories optimization with a general storage cost function, with Marie Chazal and Rabah Tahraoui, Nonlinear Analysis, theory, methods and applications, (2003)1365-1395
  32. Conditional comonotonicity, with Clotilde Napp, to appear dans Decisions in Economics and Finance
  33. No-arbitrage and state price deflators in a general continuous time framework, with C. Napp and W. Schachermayer, to appear dans Journal of Mathematical Economics
  34. Hétérogénéité des croyances, prix du risque et volatilité des marchés, with C. Napp,  Revue d'Economie Financière, 2004, 74, 125-138, 
  35. Equilibrium Pricing in incomplete markets (with A. Bizid), to appear Journal of Financial and Quantitavive Analysis


Invited papers and book chapters

  1. Arbitraje en mercados de valores con fricciones (with H. Kallal), Cuadernos Economicos de ICE, 50 (1), 91-114, 19
  2. Arbitrage et imperfections de marché, in Y. Simon (Ed), Encyclopédie des Marchés Financiers, Economica., 112-126,
  3. Market imperfections, equilibrium and arbitrage, in Lecture notes on Mathematical Finance, W. Runggaldier (Ed), Springer Verlag, 247-307,
  4. Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints (with G. Bernis) in  Approximation, Optimization and Mathematical Economics, M. Lassonde (Ed.), Springer Verlag.
  5. Market models with frictions : arbitrage and pricing issues (with C. Napp) Handbooks of Mathematical Finance, Option Pricing, Interest Rates and Risk Management, Cambridge University Press, 43-66,
  6. Arbitrage and equilibrium pricing : compatibility conditions, (with C. Napp) in Quantitative analysis in financial markets, Collected Papers of the New York University Mathematical Finance Seminar, (Volume IV)

Sumitted  papers

  1. Arbitrage with fixed costs and interest rate models (with C. Napp and H. Kallal),
  2. Pessimism, Riskiness, Risk Aversion and the Market price of Risk  (with C. Napp)
  3. Consensus consumer and intertemporal asset pricing with heterogeneous beliefs  (with C. Napp),
  4. Efficient trading strategies in financial markets with transaction costs, (with V. Porte),
  5. Production Planning and Inventories Optimization : A Backward Approach in the Convex Storage Cost Case, (with M. Chazal and R. Tahraoui)
  6. Equilibrium pricing bounds on option prices, (with M. Chazal)
  7. Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt (with C. Napp)
  8. Aggregation of heterogeneous beliefs (with C. Napp)


Popular scientific papers

  1. Economie, mathématiques et économie mathématique, El Madar, Cité des Sciences de Tunis (Ed), 3, 7-20, 1994.
  2. Fuite des cerveaux et exode des compétences, El Madar, Cité des sciences de Tunis (Ed), 4, 1995.
  3. Migration des compétences autour de la méditerranée, Alliages, J.M. Levy-Leblond (Ed), 24-25, 1995.
  4. Dilemme du prisonnier, théorie des jeux et négociation, El Madar, Cité des sciences de Tunis (Ed), 7, 1996.
  5. Le scoring un nouvel instrument de gestion des risques, Le Manager, 8, 1997,
  6. Mathématiques et finance, Matapli, revue de la SMAI, 1998,
  7. De l'émergence de nouveaux marchés à celle de nouvelles démarches, Finances et développement au Maghreb, 25, (2000),
  8. Le prix des options financières, in L’explosion des mathématiques, SMF-SMAI, 2002,
  9. Economie et mathématiques, in "Les mathématiques dans le monde scientifique contemporain", Académie des Sciences, rapport Science et Technologie