Spot markets, futures markets and storage : a simple equilibrium model

Joint work with Delphine Lautier & Bertrand Villeneuve.

Représentation probabiliste et résolution numérique de problèmes de switching

Journée de la chaire FDD et du laboratoire FiME

Testing Conditional Factor Models

CVaR hedging using quantization based stochastic approximation algorithm

Gas storage Hedging

Dérivés d'émissions et EDS forward-backward

Future scenarios on the Impact of Electric Cars on Day-ahead Prices in France"

Over the next 10-15 years, major changes will occur to the electricity system in France: two new third generation nuclear reactors are being built, several new gas-fired plants have been commissioned; wind power will be introduced and so will electric vehicles (EVs). The question is: Will the increases in the generation fleet will be sufficient to cover the additional power required for the EVs? The standard way of evaluating the impact of the introduction of wind power and of EVs on day-ahead electricity prices is by assuming the aggregate offers to sell power will be the same as the full merit order and that demand is inelastic. While this approach is suitable if all electricity must be sold on the day-ahead market, this is not the case in France where only 10-20% is sold via the day-ahead market. By studying the evolution of the aggregate curves to buy and sell power, we demonstrate that these assumptions are inappropriate in France and propose an alternative way of simulating future prices by simulating the aggregate curves.

Econometrics of Share Auctions

The purpose of this paper is to propose structural econometric methods for the empirical study of Wilson's (1979) share auction model. This is a common value model in which a single and perfectly divisible good is sold to a group of symmetric and risk-neutral buyers. The parameters in the distribution function of the value of the good and the signals received by the buyers are estimated using a two-step estimation procedure. The methods are applied to French Treasury securities auctions held in 1995. A counterfactual comparison shows that the Treasury's revenue in the discriminatory share auction (the mechanism adopted by the French Treasury) is higher than in the uniform share auction.

On the Robustness of the Snell envelope

We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. In a first part, we consider a series of approximation schemes, including cut-off type approximations, Euler discretization schemes, interpolation models, quantization tree models and the Stochastic Mesh method of Broadie-Glasserman. In each situation, we provide non asymptotic convergence estimates. We deduce these estimates from a single and general robustness property of Snell envelope semigroups. In the second part, we propose a new approach based on a genealogical tree approximation model of the reference Markov process in terms of a neutral type genetic model. In contrast to Broadie-Glasserman Monte Carlo models, the computational cost of this new stochastic approximation is linear in the number of particles.