no code implementations • 2 Mar 2023 • Camilo Hernández, Dylan Possamaï
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard utility maximiser principal.
no code implementations • 24 Mar 2022 • Bastien Baldacci, Philippe Bergault, Dylan Possamaï
We design a market-making model \`a la Avellaneda-Stoikov in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous trading signal.
no code implementations • 3 Jan 2021 • Bastien Baldacci, Dylan Possamaï
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity.
no code implementations • 1 Sep 2020 • Emma Hubert, Thibaut Mastrolia, Dylan Possamaï, Xavier Warin
In terms of technical results, we demonstrate the optimal form of the tax, indexed on the proportion of infected individuals, as well as the optimal effort of the population, namely the transmission rate chosen in response to this tax.
no code implementations • 10 Jul 2020 • Dylan Possamaï, Nizar Touzi
This is in contrast with the results claimed by Sannikov, where the only requirement is a positive agent's marginal cost of effort at zero.
no code implementations • 25 Jul 2019 • Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform.
no code implementations • 30 Jan 2019 • Martin Herdegen, Johannes Muhle-Karbe, Dylan Possamaï
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs.
