Archives

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Jan

Competition and Environmental Policies in an Electricity Sector

Corinne Chaton Marie-Laure Guillerminet In this paper, we study the impact of competition and environmental policy (feed-in tari¤s vs. the EU ETS) on investment, CO2 emissions and welfare in an electricity sector. For this purpose, we consider different market structures (private monopoly, planner that maximizes the social welfare, dyopoly) and two types of consumers (consumers …

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Jan

Strategic Capacity Investment under Holdup Threats: the Role of Contract Length and Width

Laure Durand-Viel Bertrand Villeneuve This article analyzes the impact of incomplete contracts’ length on investment in a bilateral relationship. The seller has the power to set the contract terms whereas the buyer decides on the investment level, which acts as a cap on future demand. Two-part tariffs succeed at implementing the optimal investment and consumption …

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Déc

Stochastic Target Problems with Controlled Loss

B. Bouchard, R. Elie, N. Touzi SIAM Journal on Control and Optimization 48(5), pp 3123-3150 – Décembre 2009 Plus d’infos.

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Option hedging under liquidity costs

U. Cetin, M. Soner, N. Touzi Finance and Stochastics 14, pp 317-341 – Décembre 2009 Plus d’infos.

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Déc

Gas Storage and Security of Supply

A. Creti, B. Villeneuve chapitre dans The Economics of Natural Gas Storage Décembre 2009 Plus d’infos.

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Déc

A real option approach to investing in the first nuclear power plant under cost uncertainty: the Tunisian case

M. B. Abdelhamid, C. Aloui, C. Chaton International Journal of Oil, Gas and Coal Technology 2(1), pp 44-57 – Décembre 2009 Plus d’infos.

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A Conditionally Heteroskedastic Model with Time-Varying Coefficients for Daily Gas Spot Prices

Nazim Regnard, Jean-Michel Zakoïan A novel GARCH(1,1) model, with coecients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature of the model is that it produces non-stationary solutions. The probability properties, and the convergence and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) have …

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Déc

Environmental Policies in an Electricity Sector: Test on the French Electricity Sector

Corinne Chaton Marie-Laure Guillerminet Feed-in Tariffs promoting renewable energy sources and quotas of CO2 emissions have been implemented jointly in France to reduce CO2 emissions. We develop on GAMS a supply-demand model applied to the electricity sector. Demand is uncertain and is characterized by load curves. We find that if both policies reduce emissions, feed-in …

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Déc

Structure and Estimation of a Class of Nonstationary Yet Nonexplosive GARCH Models

Nazim Regnard, Jean-Michel Zakoïan This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of moments of these solutions. …

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Déc

Variance Optimal Hedging for Continuous Time Processes with Independent Increments and Applications

Stéphane Goutte, Nadia Oudjane, Francesco Russo For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived …

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