Jean-Marc Bottazzi

Professeur à PSE

CV EN ANGLAIS
Site internet Page RePEc
  • Université Paris 1 Panthéon-Sorbonne
Groupes de recherche
THÈMES DE RECHERCHE
  • Équilibre général
  • Risque
Contact

Adresse :Maison des Sciences Eco.,
75647 Paris Cedex 13, France

Adresse :106-112 boulevard de l’Hôpital

Campus : CES-Centre d’Economie de la Sorbonne
Bâtiment : CES
Déclaration d’intérêt

Onglets

PUBLICATIONS

“Excess Demand Functions and Incomplete Markets,” with Thorsten Hens, Journal of Economic Theory 68:49-63 (1996). link

 “Market Demand in CAPM,” with Thorsten Hens and Andreas Loeffler, Journal of Economic Theory 72:192-206 (1998). link

“On the Dimension of Critical Prices in Incomplete Markets with Real Assets,” Journal of Mathematical Analysis and Applications 630-644 (1995).

 “Existence of Equilibria with Incomplete Markets: The Case of Smooth Returns,” Journal of Mathematical Economics 24:59-72 (1995). link,

 “Incomplete Markets : Robustness of Indeterminacy,” Cahier ECOMATH (1999)

 “Incomplete Markets : Transverse Financial Structures,” Economic Theory 1:67-82 (2002).link

 “On Generically Complete Markets with an Open Horizon,” with Moncef Meddeb, Cahier ECOMATH (1999)

 “Accessibility of Pareto Optima by Walrasian Exchange Processes,” Journal of Mathematical Economics 23:585-603 (1994) link

 “Pricing of Derivatives with Pre-Announced Peg : the case of EMU Ins,” with Andreas Hueffmann Cahier ECOMATH (1999)

“The interest rate / FX derivative arbitrage under Peg regime – a Duffie Singleton Credit Approach” with Sanjar Aspandiiarov, Cahier ECOMATH (1999)

 “Evaluation de quelques intruments quantos ” with Bernard Bensaid, Finance, vol. 22-n.2 (2001) link

 “A Market Game for Assets and Taxed Investors,” with Bernard Demeyer, Market Games special issue Journal of Mathematical Economics (2003). link

 “Dollar Shortage, Central Bank Actions, and the Cross Currency Basis,” with Jaime Luque and Mario Pascoa, and Suresh Sundaresan (2012)  link

 “Trading and Rational Security Pricing Bubbles,” with Jaime Luque and Mario Pascoa (2011). link

“Securities Market Theory: Possession, Repo and Rehypothecation,” with Jaime Luque and Mario Pascoa (2012), Journal of Economic Theory, Volume 147, Issue 2, March 2012, Pages 477–500 link

  • 2008-09 Partner, Capula, Japan CIO.
  • 2000-08 Managing Director, Proprietary Positionning Business, JPMorgan.
  • 1995-99 Director, Fixed Income Research, Credit Suisse First Boston.
  • 1992-95 Paris I-Pantheon Sorbonne Maitre de Conference
  • Fall 94, Researcher (on payroll), Bonn University
  • 1992/93 Visiting Scholar, Harvard University (on leave from Paris position), Dept. of Economics (sponsor Andreu Mas-Colell)
  • 1988 Admission: Ecole Normale Supérieure Maths

Publications HAL

  • Securities market theory: Possession, repo and rehypothecation Article dans une revue

    By introducing repo markets we understand how agents need to borrow issued securities before shorting them: (re)-hypothecation is at the heart of shorting. Non-negative amounts of securities in the box of an agent (amounts borrowed or owned but not lent on) can be sold, and recursive use of securities as collateral allows agents to leverage their positions. A binding box constraint induces a liquidity premium: the repo rate becomes special and the security price higher than expected discounted cash-flows. Existence of equilibrium is guaranteed under limited re-hypothecation, a situation secured by (current or proposed) institutional arrangements.
    Revue : Journal of Economic Theory

    Publié en

Toutes les publications