Applied

Information and Markets (Part II)

Author: 
William Zame
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and markets.

Information and Markets (Part I)

Author: 
William Zame
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and Markets.
Notes: 

Decision Theory in Economics: an overview of where we are and where we're going

Author: 
Jacob S. Sagi
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Decision Theory in Economics: an overview of where we are and where we're going.
Notes: 

Safequarding in Optimization Under Uncertainty

Author: 
Terry Rockafellar
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Safequarding in Optimization Under Uncertainty

Continuous-time Models in Corporate Finance

Author: 
Jean-Charles Rochet
Date: 
Sat, Jul 1, 2006
Location: 
UBC
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Continuous-time Models in Corporate Finance

Optimal Security Design and Dynamic Capital Structure in a Continuous-Time Agency Model

Author: 
Peter DeMarzo
Yuliy Sannikov
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
We derive the optimal dynamic contract in a continuous-time principal-agent setting, and implement it with a capital structure (credit line, long-term debt, and equity) over which the agent controls the payout policy. While the project’s volatility and liquidation cost have little impact on the firm’s total debt capacity, they increase the use of credit versus debt. Leverage is nonstationary, and declines with past profitability. The firm may hold a compensating cash balance while borrowing (at a higher rate) through the credit line. Surprisingly, the usual conflicts between debt and equity (asset substitution, strategic default) need not arise.

A Variational Model for Urban Planning with Traffic CongestionA Variational Model for Urban Planning with Traffic Congestion

Author: 
Guillaume Carlier
Filippo Santambrogio
Date: 
Tue, Jul 11, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
A Variational Model for Urban Planning with Traffic Congestion

Equilibrium structure of a bidimensional asymmetric city

Author: 
Guillaume Carlier
Ivar Ekeland
Date: 
Tue, Jul 11, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Equilibrium structure of a bidimensional asymmetric city

Dynamic Security Design

Author: 
Bruno Biais
Thomas Mariotti
Guillaume Plantin
Jean-Charles Rochet
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
An entrepreneur with limited liability needs to finance an infinite horizon investment project. An agency problem arises because she can divert operating cash-flows before reporting them to the financiers. We first study the optimal contract in discrete time. This contract can be implemented by cash reserves, debt and equity. The latter is split between the financiers and the entrepreneur, and pays dividends when retained earnings reach a threshold. To provide appropriate incentives to the entrepreneur, the firm is downsized when it runs short of cash. We then study the continuous-time limit of the model. We prove the convergence of the discrete-time value functions and optimal contracts. Our analysis yields rich implications for the dynamics of security prices. Stock prices follow a diffusion reflected at the dividend barrier and absorbed at zero. Their volatility, as well as the leverage ratio of the firm, increase after bad performance. Stock prices and book-to-market ratios are in a non-monotonic relationship. A more severe agency problem entails lower price earning ratios and firm liquidity, and higher default risk.

The Multiple Scales of El Niño

Author: 
Cécile Penland
Date: 
Mon, Jul 30, 2007
Location: 
University of Victoria, Victoria, Canada
Conference: 
Summer School on Tropical Multiscale Convective Systems
Abstract: 
• Climatology (What’s normal?) • Basic properties of El Niño • Linear Inverse Modeling • Non-normal growth and the optimal structure • Short scales: What constitutes stochastic forcing? • Long scales: Connection between El Niño and the Pacific Decadal Oscillation
Notes: 
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