Les accords internationaux sur l'environnement (AIE) sont devenus l'un des instruments les plus répandus de la gouvernance environnementale internationale. Les chiffres sont impressionnants : plus de 3 000 AIE ont été signés à ce jour, chaque État membre des Nations Unies est signataire de 50 AIE en moyenne et des dizaines d'enjeux sont régis. Pourtant, la dégradation de l'environnement s'aggrave à l'échelle planétaire. Le défi d'une gouvernance environnementale plus efficace ne consiste pas à conclure davantage de traités, mais à améliorer les traités existants. Un aspect essentiel à cet égard est de rendre les AIE plus adaptables à leur contexte changeant. Cette thèse comprend trois articles de recherche autonomes. Chaque chapitre se penche sur une dimension spécifique de l'adaptation des AIE : son anticipation au travers du design institutionnel, ses sources et ses processus sous-jacents. Le Chapitre 1 analyse l'adaptabilité institutionnelle, c'est-à-dire la mesure dans laquelle les AIE facilitent ou anticipent leur future évolution. En m'appuyant sur des modèles de régression appliqués à un échantillon de 1137 AIE, je teste deux hypothèses rivales sur l'association entre l'adaptabilité institutionnelle et l'affinité des pays signataires. Les résultats indiquent que cette association est négative, ce qui suggère que l'adaptabilité des AIE est plus susceptible d'être utilisée comme un outil de sauvegarde entre des adversaires que comme un tremplin entre des alliés. Le Chapitre 2, rédigé en collaboration avec James Hollway et Jean-Frédéric Morin, examine la variation du rythme auquel les AIE sont adaptés par le biais d'amendements et de protocoles. Ce chapitre a recours à l'analyse statistique de survie ainsi qu'à une nouvelle base de données sur les caractéristiques, les membres et les adaptations formelles de 371 accords environnementaux multilatéraux. Les résultats montrent que des variations inattendues de la participation, les traités créant un comité intergouvernemental et l'inclusion de dispositions anticipatives sont associés à des adaptations plus fréquentes. Enfin, le Chapitre 3 étudie les processus qui sous-tendent l'adaptation d'un AIE particulier : la Convention des Nations Unies sur la lutte contre la désertification. Ce chapitre s'appuie sur la théorie des courants multiples de Kingdon (1984) pour expliquer le développement de deux caractéristiques institutionnelles : les cibles de neutralité en matière de dégradation des terres et l'interface science-politique. L'analyse de documents d'archives et d'entretiens semi-dirigés avec des informateurs clés montrent que l'ouverture de fenêtres d'opportunité a permis au secrétariat et aux scientifiques de réunir trois courants relativement indépendants de problèmes, de solutions et de réceptivité politique. En résumé, ces articles améliorent notre compréhension du design institutionnel et de sa relation avec le changement institutionnel. Ils identifient également des stratégies et des acteurs rendant les AIE plus adaptatifs. / International environmental agreements (IEAs) have become one of the most prominent features of environmental governance. The numbers are impressive: over 3000 IEAs have been signed, each UN member state averages more than 50 IEA membership, and dozens of issues are governed. Yet environmental degradation is worsening across the planet. The challenge for a more effective global environmental governance is not to conclude more treaties but to improve existing ones. A critical aspect in that regard is to make IEAs more adaptive to changing circumstances, which is the focus of this study. This dissertation comprises three stand-alone research articles. Each chapter delves into a specific dimension of the adaptation of IEAs: its anticipation through design, its driving forces, and its underlying processes. Chapter 1 analyzes variation in institutional adaptability, i.e., the degree to which IEAs facilitate or anticipate their future evolution. Relying on regression models run on a sample of 1137 IEAs, I test two rival hypotheses on the association between IEA adaptability and country affinity. I find that the association is negative, which suggests that IEA adaptability is more likely used as a safeguard against adversaries than as a springboard between allies. Chapter 2, written in collaboration with James Hollway and Jean-Frédéric Morin, examines the variation in the rate at which IEAs are adapted through amendments and protocols. Chapter 2 employs event history analysis and a new dataset of design features, membership, and formal adaptations of 371 multilateral environmental agreements. The results indicate that unexpected variation in participation, institutionalized treaties, and anticipatory provisions are associated with more frequent adaptations. Lastly, Chapter 3 investigates the process of design development behind the adaptation of a particular IEA: the United Nations Convention to Combat Desertification. The chapter uses a multiple streams lens to explain the development of two design features: the land degradation neutrality targets and the science-policy interface. The results of document and interview analysis show that windows of opportunity allowed design entrepreneurs to bring together three relatively independent streams of problems, solutions, and political receptivity. These three articles enrich our understanding of institutional design and its relationship with institutional change. They also identify strategies and actors that render IEAs more adaptive.

Les progrès continus dans les techniques du stockage et de la collection des données permettent d'observer et d'enregistrer des processus d’une façon presque continue. Des exemples incluent des données climatiques, des valeurs de transactions financières, des modèles des niveaux de pollution, etc. Pour analyser ces processus, nous avons besoin des outils statistiques appropriés. Une technique très connue est l'analyse de données fonctionnelles (ADF).<p><p>L'objectif principal de ce projet de doctorat est d'analyser la dépendance temporelle de l’ADF. Cette dépendance se produit, par exemple, si les données sont constituées à partir d'un processus en temps continu qui a été découpé en segments, les jours par exemple. Nous sommes alors dans le cadre des séries temporelles fonctionnelles.<p><p>La première partie de la thèse concerne la régression linéaire fonctionnelle, une extension de la régression multivariée. Nous avons découvert une méthode, basé sur les données, pour choisir la dimension de l’estimateur. Contrairement aux résultats existants, cette méthode n’exige pas d'assomptions invérifiables. <p><p>Dans la deuxième partie, on analyse les modèles linéaires fonctionnels dynamiques (MLFD), afin d'étendre les modèles linéaires, déjà reconnu, dans un cadre de la dépendance temporelle. Nous obtenons des estimateurs et des tests statistiques par des méthodes d’analyse harmonique. Nous nous inspirons par des idées de Brillinger qui a étudié ces models dans un contexte d’espaces vectoriels. / Doctorat en Sciences / info:eu-repo/semantics/nonPublished

In this work we study two problems motivated by Risk Management: the optimal design of financial products from an investor's point of view and the calculation of bounds and approximations for sums involving non-independent random variables. The element that interconnects these two topics is the notion of conditioning, a fundamental concept in probability and statistics which appears to be a useful device in finance. In the first part of the dissertation, we analyse structured products that are now widespread in the banking and insurance industry. These products typically protect the investor against bearish stock markets while offering upside participation when the markets are bullish. Examples of these products include capital guaranteed funds commercialised by banks, and equity linked contracts sold by insurers. The design of these products is complex in general and it is vital to examine to which extent they are actually interesting from the investor's point of view and whether they cannot be dominated by other strategies. In the academic literature on structured products the focus has been almost exclusively on the pricing and hedging of these instruments and less on their performance from an investor's point of view. In this work we analyse the attractiveness of these products. We assess the theoretical cost of inefficiency when buying a structured product and describe the optimal strategy explicitly if possible. Moreover we examine the cost of the inefficiency in practice. We extend the results of Dybvig (1988a, 1988b) and Cox & Leland (1982, 2000) who in the context of a complete, one-dimensional market investigated the inefficiency of path-dependent pay-offs. In the dissertation we consider this problem in one-dimensional Levy and multidimensional Black-Scholes financial markets and we provide evidence that path-dependent pay-offs should not be preferred by decision makers with a fixed investment horizon, and they should buy path-independent structures instead. In these market settings we also demonstrate the optimal contract that provides the given distribution to the consumer, and in the case of risk- averse investors we are able to propose two ways of improving the design of financial products. Finally we illustrate the theory with a few well-known securities and strategies e.g. dollar cost averaging, buy-and-hold investments and widely used portfolio insurance strategies. The second part of the dissertation considers the problem of finding the distribution of a sum of non- independent random variables. Such dependent sums appear quite often in insurance and finance, for instance in case of the aggregate claim distribution or loss distribution of an investment portfolio. An interesting avenue to cope with this problem consists in using so-called convex bounds, studied by Dhaene et al. (2002a, 2002b), who applied these to sums of log-normal random variables. In their papers they have shown how these convex bounds can be used to derive closed-form approximations for several of the risk measures of such a sum. In the dissertation we prove that unlike the log-normal case the construction of a convex lower bound in explicit form appears to be out of reach for general sums of log-elliptical risks and we show how we can construct stop-loss bounds and we use these to construct mean preserving approximations for general sums of log-elliptical distributions in explicit form. / Doctorat en Sciences / info:eu-repo/semantics/nonPublished

This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates.<p><p>In Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151–168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3–33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55–57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51–90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1–52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity<p><p>In Chapter 3, we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of Curran M. (1994) [Valuing Asian and portfolio by conditioning on the geometric mean price”, Management science, 40, 1705-1711] and of Deelstra G. Liinev J. and Vanmaele M. (2004) [Pricing of arithmetic basket options by conditioning”, Insurance: Mathematics & Economics] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but also with a log-extended-skew-normal random variable. We also improve the bounds of Deelstra G. Diallo I. and Vanmaele M. (2008). [Bounds for Asian basket options”, Journal of Computational and Applied Mathematics, 218, 215-228]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and<p>time-to-maturity.<p><p>In Chapter 4, we use the stochastic dynamic programming approach in order to extend<p>Brennan and Xia’s unconstrained optimal portfolio strategies by investigating the case in which interest rates and inflation rates follow affine dynamics which combine the model of Cox et al. (1985) [A Theory of the Term Structure of Interest Rates, Econometrica, 53(2), 385-408] and the model of Vasicek (1977) [An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188]. We first derive the nominal price of a zero coupon bond by using the evolution PDE which can be solved by reducing the problem to the solution of three ordinary differential equations (ODE). To solve the corresponding control problems we apply a verification theorem without the usual Lipschitz assumption given in Korn R. and Kraft H.(2001)[A Stochastic control approach to portfolio problems with stochastic interest rates, SIAM Journal on Control and Optimization, 40(4), 1250-1269] or Kraft(2004)[Optimal Portfolio with Stochastic Interest Rates and Defaultable Assets, Springer, Berlin].<p><p><p> / Doctorat en Sciences / info:eu-repo/semantics/nonPublished