Sensitivity of marketable payoffs with long-term assets

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2013.htmlDocuments de travail du Centre d'Economie de la Sorbonne 2013.29 - ISSN : 1955-611XWe consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free asset prices. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We also show that, under the same condition, the useless portfolios do not depend on the arbitrage free asset prices. We then derive an existence result for nominal assets for all state prices with assumptions only on the fundamental datas of the economy.Nous considérons une économie d'échange avec des marchés financiers ; le temps et l'incertain sont représentés par un arbre d'évènements fini avec la possibilité d'avoir des actifs de long terme. Nous exhibons une condition suffisante sous laquelle l'ensemble des paiements commercialisables dépend de manière continue des prix d'actifs de non-arbitrage. Ceci généralise des résultats antérieurs d'Angeloni-Cornet (2006) et Magill-Quinzii (1996) impliquant seulement des actifs de court terme. Nous montrons aussi, sous cette condition, que les portefeuilles inutiles ne dépendent pas des prix de non-arbitrage des actifs. Nous produisons ensuite un résultat d'existence d'équilibre, quand les actifs nominaux, pour chaque prix d'actif de non-arbitrage, sous des hypothèses reposant uniquement sur des données fondamentales de l'économie

CONSTRUCTION D'INDICATEURS SPATIAUX POUR L'AIDE A LA DECISION : INTERET D'UNE DEMARCHE PARTICIPATIVE LE CAS DU PERIURBAIN LANGUEDOCIEN

N° ISBN - 978-2-7380-1284-5International audiencePopulation growth in the Languedoc coastal region is very high since few decades. This phenomenon produces a rapid and uncontrolled urban sprawl at agricultural lands expense. While these lands are often high agronomical potential, they are most often permanently lost. To better understand the dynamics of consumption of these agricultural lands by artificial surfaces and to have spatial tools to argue the risk of permanent loss of agronomical potential heritage, the Regional Direction of Food, Agriculture and Forestry of Languedoc-Roussillon has commissioned a study from research institutions: INRA for the agronomical theme and Cemagref for the spatial information and analysis. In order to quantify and qualify agricultural land changes, a methodology intended to build a system of spatial and spatialized indicators is being developed. The appropriation of indicators by users is the guarantee of their use. Research has therefore relied on an iterative participatory approach for the co-construction and the co-evaluation of indicators by stakeholders. The paper aims to present and discuss the approach and methods used for the production of indicators. More generally, it's a contribution to analyze process of consultation intended to develop measurement and decision-making tools

On the rank of payoff matrices with long-term assets

We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a nominal financial structure with possibly long-term assets. We exhibit a sufficient condition under which the payoff matrix and the full payoff matrix have the same rank. This generalizes previous results of Angeloni-Cornet and Magill-Quinzii involving only short-term assets. We then derive existence results with assumptions only based on the fundamentals of the economy.Incomplete markets, financial equilibrium, multi-period model, long-term assets.

How far spatial accuracy governs land-use changes monitoring frequency: the urban sprawl monitoring example

International audienceIn this paper, we illustrate how far spatial accuracy of a land-use map governs land-use changes monitoring frequency on a urban sprawl monitoring case study. From a specific Monte Carlo approach propagating uncertainties, conf4idence curves for minimal monitoring frequency to detect significant changes in urban sprawl indicators were built. Results showed that frequency decreased when uspscaling indicators but it also showed very low monitoring frequency for indicators at the lower level. INTRODUCTION When setting up land-use monitoring systems, spatial uncertainties and their impact on the detection of indicator changes are usually ignored. To capture a significant change in land-use indicators is thus strongly related to its spatial resolution, the velocities of the process it represents and the accuracy of the used indicators. As a consequence, the required monitoring land-use change frequency, corresponding to the mimimum time step to ensure a significant change in indicators, also depends on these three factors: indicator spatial resolution, change process velocity and spatial indicator accuracy

Analyzing urban sprawl indicators under uncertainties

International audienceUrban sprawl causes the sealing of lands closest to the urban centers by transforming productive agricultural fields into impervious areas, with numerous economic, social and environmental impacts. Integrated monitoring is important to help urban policies and urban sprawl modelling, proposing urban sprawl indicators with combining spatial and social aspects of the phenomenon by spatial operators in GIS. For that, geographical information of sealing patches and territorial social data are used, but spatial uncertainties and their impact on the detection of indicator changes are usually ignored. The paper proposes (1) to evaluate uncertainties of indicator spatial and (2) to analyze the effect of upscaling on these uncertainties. The method used proposes to create impervious polygons according to their measured geometric and thematic uncertainties using a Monte Carlo simulation approach and to simulate social data according to census uncertainties. Impervious polygons are used in a closing operation, with different radius values, required to map morphological urban areas. The case study focused on three indicators (area, dispersion coefficient and population density) of the morphological urban areas for four administrative levels of administrative territorial units of Languedoc-Roussillon region, France. Results show that indicator uncertainties are generally higher for less densely populated areas than for the others at the finest territorial level, that the closing radius had a slightly influence on indicator uncertainties, and that uncertainties decreases with the upper territorial entities

Simulating geometric uncertainties of impervious areas based on image segmentation accuracy metrics

International audienceUrban sprawl monitoring is important for developing land management policies at various spatial scales. Segmentation and classification of satellite images allows obtaining polygons of impervious areas regularly over large areas, e.g. as has been implemented for the region Languedoc‐Roussillon in the south of France using 5 m RapidEye images. Starting from the results of this previous study, we aim to: i) evaluate the geometric and thematic accuracy of the impervious polygons (S) using segmentation accuracy metrics, and ii) use these metrics to simulate polygons having the same level of uncertainty. A manual segmentation (M) was used to evaluate the accuracy. After matching the polygons, the distance (d) and azimuth (a) of each vertex of M to the closest segment of the boundary of S was calculated. Spherically correlated random fields of d and a were used to randomly move the vertices of S. Realistic simulations of impervious polygons were obtained

Dynamic Systems Modelling to improve risk analysis in the context of Seveso industries

We are grateful to the publisher of Chemical Engineering Transactions, for letting this publication being archived in this Open Access repository. The publication is available at: http://dx.doi.org/10.3303/CET0917063International audienceIndustries that fall under the legal requirements of the EU Seveso Directives must produce a safety report principally demonstrating that major-accident hazards have been identified and that the necessary measures have been taken to prevent their consequences. This legal specification involves the choice of a risk analysis approach, usually deterministic or probabilistic. These approaches have been formalized since the early of the 60's for the most of them, and they are based upon the consultation of expert judgments and reliability databases (for technical and human aspects). Due to the complexity of the industrial systems and their own dynamic in time and space, these risk assessment methods need to be supported by a systemic vision of their processes. Based on the systemic theory introduced by Forrester, this paper aims to propose a methodology to modeling and simulate the functioning of a chlorine storage and distribution unit, in order to promote a better risk prevention. This methodology include four complementary steps: i) the modeling of the system using the systemic theory principles and terms; ii) the implementation of this model into a Dynamic System platform for its simulation; iii) the simulation of the system using normal and abnormal scenarios in order to identify and to estimate the consequences of these deviations; iv) the assessment of the proposed barriers efficiency. After the application of this systemic methodology, these results are introduced into a HAZOP analyze to support the experts'risk assessment. As a conclusion, the authors discuss the benefits and limits of the implementation of a systemic approach in the safety reports, and propose some ways to generalize the proposed methodology

Chapitre 3 - Consommation des terres agricoles en Languedoc-Roussillon : système d’indicateurs et démarche participative

Introduction Dans l’ancienne région Languedoc-Roussillon, comme dans toutes les zones à forte croissance urbaine, les acteurs du secteur agricole doivent convaincre les élus et l’ensemble de la société de l’intérêt de préserver les sols aux meilleures potentialités productives. En effet, ces potentialités sont peu prises en compte dans les politiques d’aménagement et les procédures d’urbanisme. Cela peut s’expliquer en partie pa..

Reconnaissance du patrimoine agronomique des sols : une démarche novatrice en Languedoc-Roussillon.

En Languedoc-Roussillon, depuis les années 1960, l’afflux de population se traduit par une urbanisation rapide et mal maîtrisée de la plaine littorale, notamment sur les terres les plus productives. La perte de ces terres est au cœur des préoccupations des institutions et des acteurs agricoles qui s’interrogent sur les conditions à réunir pour conserver ce patrimoine productif à long terme. Cet article présente la démarche novatrice conduite avec les instances agricoles régionales et départementales pour contribuer à la reconnaissance et à la préservation du patrimoine agronomique des sols. La démarche s’appuie sur la construction d’un indice de qualité des sols spatialisé et sur la mise en place d’une méthode de traitement d’images satellitaires pour suivre la progression des espaces artificialisés dans le temps. L’application de ces méthodologies, à l’échelle des quatre départements littoraux du Languedoc-Roussillon, permet d’estimer la quantité et la qualité des terres perdues par artificialisation de 1997 à 2009. Les résultats de cette étude révèlent les besoins en connaissance qui permettraient d’identifier et de mesurer les enjeux liés à la protection des espaces agricoles en zone périurbaine. La production de données spatiales nouvelles a permis de répondre en partie aux besoins des acteurs, en revanche d’importants efforts restent à faire pour accompagner la diffusion et assurer l’opérationnalité des données produites.Population growth in the Languedoc coastal region has been very high for several decades. This phenomenon has spawned rapid and uncontrolled urban sprawl at the expense of agricultural lands. While these lands have often high agronomical potential, they are most often permanently lost. This paper presents an innovative approach with the agricultural institutions of Languedoc-Roussillon and is intended to contribute to the acknowledgement and preservation of our agronomical land heritage. The proposed approach is based on the construction of a spatialized soil quality index and on the application of a satellites images treatment process in order to follow the evolution of artificialized spaces in time. The application of those methodologies, scalled to the four coastal Departements of Languedoc-Roussilon, allow to estimate the quantity and the quality of lost lands by artificialization, from 1997 to 2009. The results of this study reveals the importance of needs remaining to be given to produce a fine knowledge that would allow to identify and to measure the goals linked to the protection of agricultural lands in periurban area. The production of new spatial data has allowed a partial response to the needs of stakeholders, however significant efforts are needed to ensure operational capability of the produced data

Estimating spatial and temporal variations in solar radiation within Bordeaux winegrowing region using remotely sensed data

International audienceAims: This paper presents a study solar radiation spatial and temporal variations in Bordeaux winegrowing area, for a 20 year period (1986-2005). Methods and results: Solar radiation data was retrieved from the HelioClim-1 database, elaborated from Meteosat satellite images, using the Heliosat-2 algorithm. Daily data was interpolated using ordinary kriging to produce horizontal solar radiation maps at a 500 m resolution. Using a digital elevation model, high resolution daily solar radiation maps with terrain integration were then produced for the period 2001-2005, at a 50 m resolution. The long term (20 years) analysis of solar radiation at low spatial resolution (500 m) showed a west to east decreasing gradient within Bordeaux vineyards. Mean August-to-September daily irradiation values, on horizontal surface, were used to classify Bordeaux winegrowing areas in three zones: low, medium, and high solar radiation areas. This initial zoning was upscaled at 50 m resolution, applying a local correction ratio, based on 2001-2005 solar radiation on inclined surface analysis. Grapevine development and maturation potential of the different zones of appellation of origin of Bordeaux winegrowing area are discussed in relation with this zoning. 2 Conclusions: Solar radiation variability within Bordeaux winegrowing area is mainly governed by terrain slopes and orientations, which induce considerable variations within the eastern part of Bordeaux vineyards. Significance and impact of the study: Solar radiation has a major impact on vineyard water balance, grapevine development and berry ripening. However, irradiation data is seldom available in weather stations records. This paper underline the interest of high resolution cartography of solar radiation, using satellite sensing and terrain effect integration, for agroclimatic studies in viticulture