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We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the exploitation. We prove the existence of Stackelberg and Nash equilibria between the firm and the private consortium, in both situations. We compare the benefits of these contracts. We conclude with a study of what happens in case of incomplete information, in the sense that the risk aversion coefficient of each partner may be unknown by the other partner.
In this paper we consider a variation of the Mertons problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under some assumpt
We investigate an optimal investment-consumption and optimal level of insurance on durable consumption goods with a positive loading in a continuous-time economy. We assume that the economic agent invests in the financial market and in durable as wel
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Levy processes with infinite activity. These schemes combine a compound Poisson approximation for the jump part of the Levy process w
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample paths. This is
We build a sequence of empirical measures on the space D(R_+,R^d) of R^d-valued c`adl`ag functions on R_+ in order to approximate the law of a stationary R^d-valued Markov and Feller process (X_t). We obtain some general results of convergence of thi