Clotilde Napp

Chargé de recherche CNRS
Clotilde.Napp@dauphine.fr

Chargée de recherche CNRS

Formation

•    Ecole des Hautes Etudes Commerciales (HEC).
•    Admission au magistère de l’Ecole Normale Supérieure (Ulm)
•    Agrégation de Mathématiques
•    DEA de Mathématiques Pures, géométrie algébrique, Université Paris 7
•    DEA de Mathématiques Appliquées, Université Paris 9-Dauphine (1997)
•    Doctorat de Mathématiques, Université Paris I (2000)


Publications

2010

•    Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Tradeoff, with E. Jouini, To appear Review of Finance.

2009

•    Discounting and Divergence of Opinion, with E. Jouini and J.-M. Marin, To appear Journal of Economic Theory.


2008

•    Properties of the social discount rate in a Benthamite framework with heterogeneous degrees of impatience, with D. Nocetti and E. Jouini, Management Science, Vol. 54, No 10, Oct. 2008, pp. 1822-1826 (Revised version of a paper by D. Nocetti alone).

•    On Abel's Concepts of Pessimism and Doubt, with E. Jouini, Journal of Economic Dynamics and Control, Vol. 32, Issue 11, Nov. 2008, pp. 3682-3694.

•   Are more risk-averse agents more optimistic? Insights from a simple
rational expectations equilibrium model, with E. Jouini, Economics Letters, Vol. 101, Issue 1, Oct. 2008, pp. 73-76.

•    Are risk tolerant agents more pessimistic ? A Bayesian estimation approach, with S. Benmansour, Jean-Michel Marin, C. Robert et E. Jouini, Journal of Applied Econometrics, 2008, 843-860.

2007

•    Consensus consumer and intertemporal asset pricing under heterogeneous beliefs, avec E. Jouini, Review of Economic Studies, Oct. 2007, 74, 1149-1174.

2006

•    Is there a pessimistic bias in individual beliefs ? Evidence from a simple survey. With E. Jouini et S. Benmansour. Theory and Decision, Dec. 2006, 61(4), 345-362.

•    Aggregation of heterogeneous beliefs , avec E. Jouini, Journal of Mathematical Economics, Volume 42, Issue 6 , Sept. 2006, Pages 752-770


.

•    Arbitrage with fixed costs and interest rate models, avec E. Jouini, Journal of Financial and Quantitative Analysis 41, 4, December 
2006, pages 889-913




•    Heterogeneous beliefs and asset pricing in discrete time, Journal of Economic Dynamics and Control, 2006, 30, 1233-1260.

2005

•    Arbitrage and state price deflators in a general intertemporal framework, avec E. Jouini et W. Schachermayer,  Journal of Mathematical Economics. 2005, Vol. 41, 722-734

•    Conditional comonotonicity, with E. Jouini,  Decisions in Economics and Finance, 2005, vol. 27 (2), 153-166.

2004

•    Hétérogénéité des croyances, prix du risque et volatilité des marchés, avec E. Jouini, Revue d'Economie Financière, 2004, 125-138.

•    Convergence of optimal strategies and convergence of utility functions, avec E. Jouini, Finance and Stochastics (2004) vol. VIII, Issue 1, 133-144.

2003

•    A class of models satisfying a dynamical version of the CAPM, avec E. Jouini, Economics Letters (2003), 79, 299-304.

•    Comonotonic Processes, with E. Jouini. Insurance : Mathematics and Economics 32 (2003) 255-265.

•    The Dalang Morton Willinger Theorem under cone constraints, Journal of Mathematical Economics, 39 (2003) 1/2, 111-126.

2002

•    Arbitrage and equilibrium pricing : compatibility conditions, avec E. Jouini, Quantitative analysis in financial markets, Collected Papers of the New York University Mathematical Finance Seminar, (2002).

•    Market models with frictions : arbitrage and pricing issues, with E. Jouini, Handbooks of Mathematical Finance, Option Pricing, Interest Rates and Risk Management, Cambridge University Press, 43-66, (2002).

2001

•    Arbitrage and viability in securities markets with fixed trading costs, avec H. Kallal et E. Jouini, Journal of Mathematical Economics, 35 (2001), 197-221.

•    Arbitrage and investment opportunities, avec E. Jouini, Finance and Stochastics, 5 (2001) 3, 305-325.

•    Pricing issues with investment flows. Applications to market models with frictions, Journal of Mathematical Economics, 35 (2001), 383-408.

Working Papers

•    Aggregation of discount rates: an Equilibrium Approach
•    Fixed costs and interest rate models, with E. Jouini et H. Kallal
•    Strategic beliefs, with E. Jouini.
•    Are more risk averse agents less optimistic ? Insights from a rational expectations equilibrium model, with E. Jouini
•    Behavioral properties of the representative agent
•    Unbiased disagreement and the efficient market hypothesis