Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we consider the Merton investment problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath-Jarrow-Morton framework of the interest rate term structure driven by an infinite dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal investment strategy. When there is uniqueness, we provide a characterization of the optimal portfolio. Furthermore, we show that a specific Gauss-Markov random field model can be treated within this framework, and explicitly calculate the optimal portfolio. We show that the optimal portfolio in this case can be identified with the discontinuities of a certain function of the market parameters. In the second essay we price a claim, using the indifference valuation methodology, in the model presented in the first section. We appeal to the indifference pricing framework instead of the classic Black-Scholes method due to the natural incompleteness in such a market model. Because we price time-sensitive interest rate claims, the units in which we price are very important. This will require us to take care in formulating the investor’s utility function in terms of the units in which we express the wealth function. This leads to new results, namely a general change-of-numeraire theorem in incomplete markets via indifference pricing. Lastly, in the third essay, we propose a method to price credit derivatives, namely collateralized debt obligations (CDOs) using indifference. We develop a numerical algorithm for pricing such CDOs. The high illiquidity of the CDO market coupled with the allowance of default in the underlying traded assets creates a very incomplete market. We explain the market-observed prices of such credit derivatives via the risk aversion of investors. In addition to a general algorithm, several approximation schemes are proposed. / text

在不完全市場下，衍生性金融商品可利用上套利和下套利價格來訂出價格區間。我們運用效用無差異定價於此篇論文中，此定價方式為尋找一個初始交易價，會使在起始時交易商品和無交易商品於商品到期日之最大期望效用相等。利用主要的對偶結果，我們證明在指數效用函數下，效用無差異定價區間會比上套利和下套利定價區間小。 / In incomplete markets, prices of a contingent claim can be obtained between the upper and lower hedging prices. In this thesis, we will use utility indifference pricing to nd an initial payment for which the maximal expected utility of trading the claim is indierent to the maximal expected utility of no trading. From the central duality result, we show that the gap between the seller's and the buyer's utility indierence prices is always smaller than the gap between the upper and lower hedging prices under the exponential utility function.

Esta dissertação analisa uma novidade introduzida na política externa brasileira pelo governo de Luiz Inácio Lula da Silva: a não-indiferença. Esta diretriz surgiu como contraponto ao princípio da não-intervenção, no entanto o governo não delimitou adequadamente como aplicá-la, tendo em vista que em contextos similares a diplomacia Lula tomou atitudes diferentes. Para isso, são estudados sete casos de atuação do Brasil com relação a outros países: Venezuela, Bolívia, Paraguai, Honduras, Cuba, Irã e Haiti. A hipótese que orientou este estudo é de que na busca por aumentar o perfil político do Brasil, representado pela candidatura a um assento permanente no Conselho de Segurança das Nações Unidas, o governo brasileiro exerceu um excessivo ativismo que exigiu esforços políticos (omitindo-se inclusive em questões sobre direitos humanos), financeiros e militares. A diplomacia da solidariedade surge nesse contexto como justificativa à mediação de crises, cooperação técnica e até mesmo à intervenção, da qual o engajamento brasileiro no Haiti seria o melhor exemplo devido a sua multidimensionalidade. / The present dissertation analyzes an innovation in Brazilian foreign policy introduced by the Lula da Silva administration: the non-indifference. This guideline emerged in opposition to the principle of non-intervention, however the government did not define it properly nor have created rules to enforce it, considering that Lula`s diplomacy had different approaches to similar situations. To find out more about this trend, it was chosen seven case studies in which Brazilian foreign policy had to cope with other countries, such as: Venezuela, Bolivia, Paraguay, Honduras, Cuba, Iran and Haiti. The hypothesis which has oriented this research addresses that in order to increase Brazil`s political profile, represented by the pursue for a permanent seat in the United Nations Security Council, the government has excessively raised its initiatives abroad which required political (neglecting human rights), financial and military efforts. The diplomacy of solidarity emerges as an argument to justify the Brazilian role in peace talks, cooperation measures and even intervention, which makes Haiti the best example due its multidimensionality.

Esta dissertação analisa uma novidade introduzida na política externa brasileira pelo governo de Luiz Inácio Lula da Silva: a não-indiferença. Esta diretriz surgiu como contraponto ao princípio da não-intervenção, no entanto o governo não delimitou adequadamente como aplicá-la, tendo em vista que em contextos similares a diplomacia Lula tomou atitudes diferentes. Para isso, são estudados sete casos de atuação do Brasil com relação a outros países: Venezuela, Bolívia, Paraguai, Honduras, Cuba, Irã e Haiti. A hipótese que orientou este estudo é de que na busca por aumentar o perfil político do Brasil, representado pela candidatura a um assento permanente no Conselho de Segurança das Nações Unidas, o governo brasileiro exerceu um excessivo ativismo que exigiu esforços políticos (omitindo-se inclusive em questões sobre direitos humanos), financeiros e militares. A diplomacia da solidariedade surge nesse contexto como justificativa à mediação de crises, cooperação técnica e até mesmo à intervenção, da qual o engajamento brasileiro no Haiti seria o melhor exemplo devido a sua multidimensionalidade. / The present dissertation analyzes an innovation in Brazilian foreign policy introduced by the Lula da Silva administration: the non-indifference. This guideline emerged in opposition to the principle of non-intervention, however the government did not define it properly nor have created rules to enforce it, considering that Lula`s diplomacy had different approaches to similar situations. To find out more about this trend, it was chosen seven case studies in which Brazilian foreign policy had to cope with other countries, such as: Venezuela, Bolivia, Paraguay, Honduras, Cuba, Iran and Haiti. The hypothesis which has oriented this research addresses that in order to increase Brazil`s political profile, represented by the pursue for a permanent seat in the United Nations Security Council, the government has excessively raised its initiatives abroad which required political (neglecting human rights), financial and military efforts. The diplomacy of solidarity emerges as an argument to justify the Brazilian role in peace talks, cooperation measures and even intervention, which makes Haiti the best example due its multidimensionality.

Esta dissertação analisa uma novidade introduzida na política externa brasileira pelo governo de Luiz Inácio Lula da Silva: a não-indiferença. Esta diretriz surgiu como contraponto ao princípio da não-intervenção, no entanto o governo não delimitou adequadamente como aplicá-la, tendo em vista que em contextos similares a diplomacia Lula tomou atitudes diferentes. Para isso, são estudados sete casos de atuação do Brasil com relação a outros países: Venezuela, Bolívia, Paraguai, Honduras, Cuba, Irã e Haiti. A hipótese que orientou este estudo é de que na busca por aumentar o perfil político do Brasil, representado pela candidatura a um assento permanente no Conselho de Segurança das Nações Unidas, o governo brasileiro exerceu um excessivo ativismo que exigiu esforços políticos (omitindo-se inclusive em questões sobre direitos humanos), financeiros e militares. A diplomacia da solidariedade surge nesse contexto como justificativa à mediação de crises, cooperação técnica e até mesmo à intervenção, da qual o engajamento brasileiro no Haiti seria o melhor exemplo devido a sua multidimensionalidade. / The present dissertation analyzes an innovation in Brazilian foreign policy introduced by the Lula da Silva administration: the non-indifference. This guideline emerged in opposition to the principle of non-intervention, however the government did not define it properly nor have created rules to enforce it, considering that Lula`s diplomacy had different approaches to similar situations. To find out more about this trend, it was chosen seven case studies in which Brazilian foreign policy had to cope with other countries, such as: Venezuela, Bolivia, Paraguay, Honduras, Cuba, Iran and Haiti. The hypothesis which has oriented this research addresses that in order to increase Brazil`s political profile, represented by the pursue for a permanent seat in the United Nations Security Council, the government has excessively raised its initiatives abroad which required political (neglecting human rights), financial and military efforts. The diplomacy of solidarity emerges as an argument to justify the Brazilian role in peace talks, cooperation measures and even intervention, which makes Haiti the best example due its multidimensionality.

L’eau est chez Terrence Malick une figure emblématique de la nature, ce dans une certaine continuité avec l’ensemble du cinéma américain le plus populaire (Steven Spielberg). Malick, en dépit d’une formation en philosophie, n’apparaît pas comme une figure isolée dans son pays.La nature se cache (Héraclite). Elle présente un visage insouciant à l’enfance avant de revêtir le masque de l’indifférence à l’âge adulte. Mais l’invisible de la nature traduit moins de l’effroi que du mystère (Jacques Tourneur). L’indifférence cède la place au véritable étonnement philosophique, celui de la création du monde (naissance de Vénus). Le voile de la nature peut susciter de la violence (le monde de la technique de Heidegger). Y renoncer au profit de la contemplation est possible (Henry Hathaway et le film Peter Ibbetson). La posture du retrait sera privilégiée à la force (Minnelli au cinéma, Marc Aurèle ou Leibniz en philosophie). La piscine et le pont illustrent le rapport de distance existant entre l'individu et l’eau. S’agissant de l’eau prise comme symbole de l’écoulement temporel, l’écueil est de l’appréhender comme un motif de dislocation entre les âges de la vie. Elle est dans le même ordre d’idées une figure privilégiée de la mort. Cette illusion peut être écartée par une appréhension renouvelée des âges de la vie, qui ne se succèdent pas mais s’unissent en permanence en une union qui rappelle la leçon de Proust et bien avant lui d’Héraclite, avec son enfant qui joue présenté comme symbole du temps. Le pont figure là encore un symbole de ce temps retrouvé capable de soigner des maux souvent rencontrés dans le cinéma américain (syndromes de Carlotta et Lolita). / Water constitutes with Terrence Malick a fundamental figure representative of nature, in the lineage of the most popular American cinema (Spielberg). Malick, despite the importance of his philosophical culture, appears the contrary of an isolated figure in his country.The main characteristic of nature is to hide (Heraclitus). Nature presents a friendly face to the child and becomes indifferent for the adult. The invisibility of nature in water conveys less fright than a sense of mystery (Jacques Tourneur). Indifference gives way to philosophical wonder linked to the creation of the world from water (the birth of Venus).Violence can respond to the veil (the technical world of Heidegger). But contemplation can replace cold reason (Henry Hathaway and his movie Peter Ibbetson). The idea is not to force nature to deliver its message, but to step back in a way announced by philosophers Marcus Aurelius and Leibniz, and movie maker Minnelli. The swimming pool and the bridge represent two space figures which permit to illustrate the distance between the individual and water.As to water as a symbol of time flowing, the mistake is to understand time as fragmented periods of life without any connection. Water is also a symbol of death. The illusion can vanish when apprehending time in a renewed manner. The ages of life do not follow each other but are permanently combined in a union reminiscent of Proust’s teachings. The bridge represents once more this time newly found able to heal psychological diseases often encountered in American cinema (syndromes of Carlotta and Lolita).

Cette thèse porte sur la valorisation et les stratégies financières de couverture des risques dans les marchés de l'énergie. Ces marchés présentent des particularités qui les distinguent des marchés financiers standards, notamment l'illiquidité et l'incomplétude. L'illiquidité se reflète par des coûts de transactions importants et des contraintes sur les volumes échangés. L'incomplétude est l'incapacité de pouvoir répliquer parfaitement des produits dérivés. Nous nous intéressons à différents aspects de l'incomplétude de marché. La première partie porte sur la valorisation dans les modèles de Lévy. Nous obtenons une formule approximative du prix d'indifférence et nous mesurons la prime minimale à apporter par rapport au modèle de Black-Scholes. La deuxième partie concerne la valorisation d'options spread en présence de corrélation stochastique. Les options spread portent sur la différence de prix entre deux sous-jacents -- par exemple gaz et électricité -- et sont très utilisées sur les marchés de l'énergie. Nous proposons une procédure numérique efficace pour calculer le prix de ces options. Enfin, la troisième partie traite de la valorisation d'un produit comportant un risque exogène dont il existe des prévisions. Nous proposons une stratégie dynamique optimale en présence de risque de volume, et l'appliquons à la valorisation des fermes éoliennes. De plus, une partie est consacrée aux stratégies optimales asymptotiques en présence de coûts de transactions. / This thesis tackles three issues on pricing and hedging in energy markets. Energy markets differ from financial markets mainly in two ways: illiquidity and incompletness. Illiquidity (or lack of liquidity) translates into transaction costs and volume constraints. Incompletness means incapacity to perfectly hedge derivatives. We study different aspects of incomplete markets. First, we focus on indifference pricing in exponential Lévy models. We obtained an approximate formula by considering a Lévy process as a perturbed Brownian motion. That way we obtain the minimal correction from Black-Scholes price. Second, we present a numerical procedure to price spread options when underlyings are stochastically correlated. These options are very popular in energy markets, underlyings being for instance gas and electricity. Third, we derive optimal strategies using exogeneous factors forecasts. We exhibit an explicit pricing formula and an optimal strategy handling volume risk and apply it to wind farms valuation. Finally, a short review of optimal strategies taking into account transaction costs is made

This essay is an attempt to understand what Albert Camus philosophy of the absurd entails, using the figure of Sisyphus in The myth of Sisyphus as a reference. We all face the absurd: the discordance that results from the confrontation of the human longing for the absolute with the worlds non-absolute character. Camus illustrates this condition with Sisyphus among other “absurd heroes”. But what does he want to tell us about our existence with this metaphor? Is life a punishment? Or is it completely indifferent as Sisyphus improbable happiness might indicate? And how can Sisyphus represent us although he is not mortal in the original myth? In order to answer these questions, I investigate the following aspects of the absurd in this essay: what it tells us about the human condition or even the human nature; if it entails a life in indifference; how it is related to finitude; and finally in which sense Sisyphus is an adequate analogy for our existence. My analysis is a combination of an in-depth study of Camus book and a critical discussion of the commentaries of Robert C. Solomon, Arnaud Corbic, and Avi Sagi on The myth of Sisyphus. I conclude that the image of Sisyphus contains some inconsistencies, but that its main goal is to illustrate the constant act of balance, the conscious effort that never reaches its goal which life is for Camus. Such a life does however not need to be dark or indifferent, but rather on the contrary is an authentic life in knowledge of one’s boundaries and possibilities, a life where finitude highlights the value of what it restrains, a life worth living despite its difficulties. While arguing for this reading of Camus, I also attempt to show how this philosophy of the absurd already contains key elements of an ethical position which according to a common view on Camus only appears in his later works.

Several exact and approximate dynamic programming formulations have already been proposed to solve hotel revenue management (RM) problems. To obtain tractable solutions, these methods are often bound by simplifying assumptions which prevent their application on large and dynamic complex systems. This dissertation introduces HotelSimu, a flexible simulation-based optimization approach for hotel RM, and investigates possible approaches to increase the efficiency of black-box optimization methods in the presence of noise. In fact, HotelSimu employs black-box optimization and stochastic simulation to find the dynamic pricing policy which is expected to maximize the revenue of a given hotel in a certain period of time. However, the simulation output is noisy and different solutions should be compared in a statistically significant manner. Various black-box heuristics based on variations of random local search are investigated and integrated with statistical analysis techniques in order to manage efficiently the optimization budget.

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