jeudi 21 octobre 2021

Revues de la littérateure

Lecture notes on Mathematical Finance, W. Runggaldier (Ed), Springer Verlag, 247-307, 1997.


Advances in Mathematical Economics avec W. Schachermayer et N. Touzi, 49-71, 2006.


Etitorial, avec J.-P. Pollin,  Revue d’Economie Financière, 74, 9-16.

Bouchard, B., & Jouini, E (2010).

Encyclopedia of quantitaive finance.

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..


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


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

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…



Jouini, E. , (1997).

Arbitrage et imperfections de marché.

Encyclopédie des Marchés Financiers.

Jouini, E. , (1996).

Produits dérivés, contrôle des risques et réglementation.

Revue d’économie financière.


Jouini, E., & Kallal, H. , (1992).

Arbitraje en mercados de valores con fricciones .

Cuadernos economicos de ICE.