ELYES JOUINI

 Breaking News
  • November 15, 2014Elyes Jouini takes part in the first meeting of Dauphine Alumni Tunisia...
  • August 16, 2014Release of the Arabic version of the book : "Tunisie L'espoir: mode d'emploi pour une reprise" carried out under the direction of E. Jouini...

Reviews

Transaction Costs in Financial Models.

Encyclopedia of quantitaive finance
Bouchard, B., & Jouini, E (2010).

Standard models for financial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This assumption is clearly a strong idealization of the reality. In particular, securities should not be described by a single price but by a bid and ask curve. As a first approximation, one may assume that the bid and ask prices do not depend on the traded quantities which leads to models with proportional transaction costs. These models have attracted a lot of attention these lasts years, mostly because their linear structure allows to develop a nice duality theory as in frictionless models...

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Hétérogénéité des croyances, prix du risque et volatilité des marchés.

Revue d’Economie financière
Jouini, E., & Napp, C. (2004).

Le but de cet article est d'analyser les conséquences de l'introduction de croyances subjectives hétérogènes dans le modèle d'équilibre standard. Plus précisément, en partant d'un marché avec croyances hétérogènes, nous tenterons de répondre aux questions suivantes : 1- est -il possible de définir une croyance de consensus, c'est-à-dire une croyance qui, si elle était commune à tous les individus, produirait les mêmes prix d'équilibre et les mêmes volumes d'échange que dans l'économie initiale ? 2 - est-il encore possible dans un tel contexte de définir un agent représentatif ? 3 - quel est l'impact de hétérogénéité des c...

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Market Imperfections, Equilibrium and Arbitrage.

Wolfgang Runggaldier (Ed.), Financial Mathematics
Jouini, E. (1997).

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their expected value with respect to an equivalent marti...

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