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 Alfred Galichon) "The housing problem and revealed preference theory: duality and an application", (2012), Economic Theory, 54 (2013) p. 425-441 [pdf]
12. (with Walter Schachermayer) "Law invariant risk
measures in L\infty(Rd)", Statistics and Risk
Modeling, Vol. 28 (2011), No. 3,
pp. 195-225, [pdf]
13. (with Walter Schachermayer), "Optimal transport and the
geometry of L1(Rd)",
Proceedings of the AMS, Vol. 142
(2014), pp. 3585-3596 [pdf]
15. "How to build stable
relationships between people who lie and cheat",
Milan Journal of Mathematics, 82 (2014), p. 67-79 [pdf]
16. (with Juan Carluccio and Roger Guesnerie) "Fragmentation
and wage inequality: insights from a simple model", March
2017, Annals of Economics and Statistics, special issue in
honor of Edmond Malinvaud, 125/126 (June 2017), p.
113-134 [pdf]
17. (with Delphine Lautier and
Bertrand Villeneuve) "Hedging pressure and speculation
in commodity markets" , Economic Theory (2018).
https://doi.org/10.1007/s00199-018-1115-y [pdf]
18. (with Guillaume
Carlier), "Equilibrium in quality markets: beyond the
transferable case", Economic Theory, (2018), https://doi.org/10.1007/s00199-018-1118-8 [pdf]
19. (with
Edouard Jaeck, Delphine Lautier and Bertrand
Villeneuve) "The joint dynamics of spot and
future prices", Working Paper, Cahiers
de la Chaire de Developpement Durable, 2019, [pdf]
20. (with Clémence Alasseur, Romuald Elie,
Nicolas Hernandez Santibanez, and Dylan Possamaï) "An
adverse selection approach to power pricing", to
appear, SIAM J. Cont. Opt. [pdf]
21. (with
Julien Lefournier) "Les obligations vertes: homéopathie
ou incantation?" Working Paper, Chaire Energie et
Prospérité, Avril 2019, [pdf]
22. (with Julien
Lefournier) "Les obligations vertes: la théorie contre la
réalité", submitted, [pdf]
23 (with Peter Tankov, Brian Wright, Wolfram
Schenkler) "Costly exploration, stochastic discoveries,
and the effect on proven reserves and the price path of an
exhaustible resource" Working Paper, 2020
[pdf]