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Valuation of the prepayment option of a perpetual corporate loan
No full textWe investigate in this paper a perpetual prepayment option related to a corporate loan. The default intensity of the firm is supposed to follow a CIR process. Two frameworks are discussed: first a constant interest rate and a secondly a multi-regime framework where the interest rate is augmented by a liquidity factor dependent on the regime. The prepayment option needs specific attention as the payoff itself is an implicit function of the parameters of the problem and of the dynamics. We establish in the unique regime case analytic formulas for the payoff of the option; in both cases we give a verification result that allows to compute the price of the option. Numerical results that implement the findings are also presented and are completely consistent with the theory; it is seen that when liquidity parameters are very different (i.e., when a liquidity crisis occur) in the high liquidity cost regime the exercise domain may entirely disappear meaning that it is not optimal for the borrower to prepay during such a liquidity crisis. The method allows to quantify and interpret these findings.ouinonouirechercheInternationa
On the NP-completeness of the perfect matching free subgraph problem
No full textGiven a bipartite graph G=(U∪V,E) such that ∣U∣=∣V∣ and every edge is labelled true or false or both, the perfect matching free subgraph problem is to determine whether or not there exists a subgraph of G containing, for each node u of U, either all the edges labelled true or all the edges labelled false incident to u, and which does not contain a perfect matching. This problem arises in the structural analysis of differential-algebraic systems. The purpose of this paper is to show that this problem is NP-complete. We show that the problem is equivalent to the stable set problem in a restricted case of tripartite graphs. Then we show that the latter remains NP-complete in that case. We also prove the NP-completeness of the related minimum blocker problem in bipartite graphs with perfect matching.ouinonouirechercheInternationa
Designing incentives for Boolean games
No full textBoolean games are a natural, compact, and expressive class of logicbased games, in which each player exercises unique control over some set of Boolean variables, and has some logical goal formula that it desires to be achieved. A player’s strategy set is the set of all possible valuations that may be made to its variables. A player’s goal formula may contain variables controlled by other agents, and in this case, it must reason strategically about how best to assign values to its variables. In the present paper, we consider the possibility of overlaying Boolean games with taxation schemes. A taxation scheme imposes a cost on every possible assignment an agent can make. By designing a taxation scheme appropriately, it is possible to perturb the preferences of the agents within a society, so that agents are rationally incentivised to choose some socially desirable equilibrium that would not otherwise be chosen, or incentivised to rule out some socially undesirable equilibria. After formally presenting the model, we explore some issues surrounding it (e.g., the complexity of finding a taxation scheme that implements some socially desirable outcome), and then discuss possible desirable properties of taxation schemes.ouinonouirechercheInternationa
Choosing Collectively Optimal Sets of Alternatives Based on the Condorcet Criterion
No full textIn elections, an alternative is said to be a Condorcet winner if it is preferred to any other alternative by a majority of voters. While this is a very attractive solution concept, many elections do not have a Condorcet winner. In this paper, we propose a set-valued relaxation of this concept, which we call a Condorcet winning set: such sets consist o f alternatives that collectively dominate any other alternative. We also consider a more general version of this concept, where in stead of domination by a majority of voters we require domination by a given fractio n θ of voters; we refer to this concept as θ winning set. We explore social choice-theoretic and algorithmica spects of these solution concepts, both theoretically and empirically.ouinonouirechercheInternationa
Pilotage d’une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire
No full textOn s’intéresse au pilotage par une approche MRP, d’une chaîne logistique dédiée à laproduction de masse de produits fortement diversifiés. Il s’agit plus précisément de coordonner laproduction d’un ensemble de modules alternatifs montés sur un poste d’une ou plusieurs lignesd’assemblage final ainsi que celle des composants que ces modules comportent. Les niveaux deproduction de ces lignes sont stables. Les caractéristiques structurelles des demandes finales sontstables ou prévisibles. La production d’un composant est tirée par des réquisitions du Plan Directeurde Production (PDP) hors horizon gelé ne peut pas se faire à la commande dans le cadre classiquede la MRP. On propose des solutions analytiques permettant de piloter la partie productive de lachaîne logistique par une approche MRP autorisant des productions partiellement ou totalementpour stock. On introduit également d’autres relations permettant de prendre en compte les aléas dequalité en production. Toutes ces solutions sont illustrées numériquement.This article focuses on the monitoring of a supply chain dedicated to the massproduction of strongly diversified products. In particular we are interested in the part of thischain that contributes to the production of a set of alternative modules assembled on a workstation of one or several assembly lines, whose production levels are stable. The customers’demand structures are assumed to be known. When the production of a component is drawn byrequirements of the MPS that are beyond the frozen horizon, this component cannot be built-toorder.We provide and illustrate analytical solutions, adapted from the periodic order policies,to define scheduled orders of components to be produced partly or wholly to stock. Additionalrelations are provided to face disturbances induced by quality problems.ouinonouirechercheNationa
Symmetric ground states for a stationary relativistic mean-field model for nucleons in the nonrelativistic limit
No full textIn this paper we consider a model for a nucleon interacting with the and mesons in the atomic nucleus. The model is relativistic, but we study it in the nuclear physics nonrelativistic limit, which is of a very different nature from the one of the atomic physics. Ground states with a given angular momentum are shown to exist for a large class of values for the coupling constants and the mesons' masses. Moreover, we show that, for a good choice of parameters, the very striking shapes of mesonic densities inside and outside the nucleus are well described by the solutions of our model.ouinonouirechercheInternationa
The 1987-1989 Locust Plague in Mali: Evidences of the Heterogeneous Impact of Income Shocks on Education Outcomes
No full textL’objet de ce travail est d’estimer l’impact à long terme de chocs de revenu à travers l’analyse des effets de l’invasion de criquets qui a eu lieu de 1987 à 1989 au Mali sur différents indicateurs d’éducation. En mobilisant des données exhaustives de recensement de la population, nous construisons des cohortes d’individus selon leur date de naissance et leur lieu de résidence. Nous examinons les écarts de scolarisation des enfants impactés en double différence. Nous montrons un impact fort et significatif du choc sur les enfants des zones rurales et aucun effet sur les enfants des villes. Les enfants nés ou âgés de moins de sept ans lors des invasions de criquets ont des taux de scolarisation inférieurs aux autres. L’impact est à la fois plus fort pour les enfants qui sont nés en 1988 et 1989 c'est-à-dire les années de plus fortes invasions de criquets et pour les garçons. Cependant, parmi les enfants scolarisés, la durée de scolarisation est plus réduite du fait des invasions de criquets pour les filles que pour les garçons. Ces résultats sont maintenus lorsque l’on contrôle du biais potentiel de migration, des différences possibles d’évolution des niveaux d’infrastructures entre villages et lorsque l’on fait varier le seuil des cohortes incluses dans l'échantillon.This paper estimates the long run impact of a large income shock, by exploiting the regional variationof the 1987-1989 locust invasion in Mali. Using exhaustive Population Census data, we construct birthcohorts of individuals and compare those born and living in the years and villages affected by locustplagues with other cohorts. We find a clear and strong impact on educational outcomes of childrenliving in rural areas but no impact at all on children living in urban areas. School enrollment ofchildren born or aged less than seven years old at the time of shock is found to be impacted. Childrenborn in 1988-1989, the main years of invasion, are those whose school enrollment has been the mostaffected by the plague. The negative impact on school enrollment of boys is higher than for girls, buton the other hand, girls attending school and living in rural areas have a lower level of schoolattainment than boys. Controlling for the potentially selective migration behavior of individuals,differences in educational amenities do not dampen our results. Our results are also robust to differentvariations of the cut-off cohort.ouinonouirechercheInternationa
Protection of transport infrastructures against major accidents in land use planning policies. A decision support approach
No full textPeople see and evaluate risks in a very different way, this is probably the most changeable variable that we must take into account developing some public policy on risk. People's judgements depend on both their personal experiences and from the context in which they are, thus, these conditions make impossible to evaluate them a priori. In this paper we present a French real case on transport infrastructure and risk management, namely the safety of their users. The aim of this paper is to provide, on the one side, an example of public policy management in which people safety and economic constraints are involved. And on the other side, open a discussion about risk reduction and the policies achieving it.nonnonouirechercheInternationa
Les indicateurs de la RSE dans les entreprises françaises. La complexité responsable
No full textCet article analyse l’utilisation des indicateurs de la RSE (responsabilité sociale de l’entreprise) au sein de huit entreprises françaises. Il montre que ces indicateurs, bien qu’ils représentent un outil majeur pour le pilotage de la performance sociale et environnementale, engendrent en corollaire des systèmes complexes et lourds à piloter. L’article étudie également les modes de contrôle basés sur ces indicateurs et conclut que ces modes dépendent de l’ancienneté de la prise en compte des dimensions environnementales et sociales, d’une part et du niveau hiérarchique où sont actionnés ces indicateurs, d’autre part.This paper focuses on the CSR measures as major tool to manage a corporate social performance through the study of eight French companies. Based on behavioural control theoretical framework, this paper also analyzed the different uses of these CSR measures. This analysis allows us to report a huge number of these measures within these companies. Moreover, different control mechanisms using these tools were identified. The differences can be explained by both the oldness of CSR issues’ consideration and the hierarchical level where the measures are used.nonouirechercheNationa
Targeting without Alienating: Multicultural Advertising and the Subtleties of Targeted Advertising more
No full textThe growing diversity of different nations’ populations has encouraged advertisers to adopt their strategy by taking into consideration groups of consumers that were not traditionally targeted, such as cultural and sexual minorities. However, while such targeting has been favourably received among the targeted minorities, it has also engendered unfavourable reactions among majority members. This paper examines a way for advertisers to target a specific minority group within the mainstream media while maintaining resonance among the broader audience. An experiment is conducted to examine viewers’ responses to multicultural advertising in France. Results demonstrate the fundamental role of viewers’ congruence judgements and felt targetedness on the effectiveness of multicultural targeting attempts, and extend our understanding of consumer responses to multicultural advertising.nonouirechercheInternationa