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**publisher and metadata sources**).We give, in a Markovian set-up, some examples of processes which are increasing in the convex order (we call them peacocks). We then establish some relation between the stochastic and convex orders.

This paper contains two parts:Part I. Let \(({V }_{t},t\,\geq \,0)\) be an integrable right-continuous process such that \(\mathrm{e}\left [\vert {V }_{t}\vert \right ]\,<\,\infty \), for every t ≥… Continue Reading

We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This… Continue Reading

We use an argument of Madan and Yor to construct associated submartingales to a class of two-parameter processes that are ordered by increasing convex dominance. This class includes processes whose… Continue Reading

We introduce the notion of weak decreasing stochastic (WDS) ordering for real-valued processes with negative means, which, to our knowledge, has not been studied before. Thanks to Madan–Yor’s… Continue Reading

In these two papers, the notions of conditional monotonicity and that of logconcave increments play an important role.

Given a family $(\mu_\lambda,\lambda\geq0)$ of integrable mean-zero probability measures such that, for every $\lambda\geq0$, $\mu_\lambda$ is the image of $\mu_1$ under the homothety… Continue Reading