4 papers
A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price
Felix Dammann, Giorgio Ferrari
This paper proposes and analyzes a stationary equilibrium model for a competitive industry which endogenously determines the carbon price necessary to achieve a given emission targ…
A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio
Felix Dammann, Neofytos Rodosthenous, Stéphane Villeneuve
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the…
Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return
Felix Dammann, Giorgio Ferrari
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at…
On an Irreversible Investment Problem with Two-Factor Uncertainty
Felix Dammann, Giorgio Ferrari
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant c…