arXiv subjects

Giacomo Lanaro

Publications and source records attributed to Giacomo Lanaro.

3 recordsLinked to original sources

arXiv2026

Mean-field model for pollution abatement via cap and trade mechanism

We consider a mean-field model of competitive firms operating under an AK production technology, where output is proportional to capital and production generates emissions. In this setting, we introduce a regulator whose objective is the reduction of cumulative emissions, in the spirit of Emission Trading Systems (ETS), where firms must hold and trade permits to cover their emissions in a regulated market. The regulator acts as a central planner and controls the supply of permits, balancing emission reduction and aggregate output. Permits are allocated through a dynamic auction mechanism that adjusts supply in real time to achieve both market efficiency and the regulator's long-term goals. The regulator and the firms interact through the endogenous permit price, which is determined by the regulator's policy and affects firms' optimal strategies via the market clearing condition. The regulator's optimal policy is derived within a Mean-Field Control (MFC) framework. Exploiting the linear-quadratic structure and the presence of common noise, we characterise the equilibrium via a system of coupled FBSDEs and associated Riccati equations. Our results provide a tractable characterisation of optimal permit allocation policies in large economies and offer insights into the design of efficient emission trading mechanisms.

math.OC↗

arXiv2026

Weak equilibria of a mean-field market model under asymmetric information

We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field limit when one population observes an additional stochastic factor which is inaccessible to the other. The resulting equilibrium condition involves the conditional expectation of the adjoint process and, therefore, differs from standard mean-field formulations based on the state process. We prove existence of mean-field equilibria in probabilistic weak sense by combining discretization and weak convergence arguments with a lifting procedure tailored to preserve compatibility in the limit. Under additional assumptions, we obtain a conditional asymptotic justification of the mean-field price as an approximation of the finite-player market clearing relation. Finally, we illustrate how, in the case of a single informed agent, her strategy can be characterized in terms of the equilibrium.

math.PR↗

arXiv2024

The geometry of multi-curve interest rate models

We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geometric approach developed by T. Björk and co-authors in the classical single-curve setting. We characterize when a multi-curve interest rate model is consistent with a given parameterized family of forward curves and spreads and when a model can be realized by a finite-dimensional state process. We illustrate the general theory in a number of model classes and examples, providing explicit constructions of finite-dimensional realizations. Based on these theoretical results, we perform the calibration of a three-curve Hull-White model to market data and analyse the stability of the estimated parameters.

q-fin.MF↗