Archives

1
Déc

Option hedging under liquidity costs

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

1
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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Déc

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 been derived by Regnard and Zakoian (2009). The prediction properties of the model are considered. We derive Read more [...]

1
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 tariffs involve a substantial extra-cost without significant gain for sure in terms of emissions. Read more [...]

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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. The asymptotic properties of the quasi-maximum likelihood estimator are derived under mild assumptions. Read more [...]

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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 from the electricity market are performed. Plus d'infos. Read more [...]

1
Nov

Optimal features of gas transmission trunklines

J. André, J.F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Novembre 2009 Plus d'infos.

1
Nov

Convenience yield and commodity markets

D. Lautier Bankers, Markets & Investors 102, pp 59-66 - Novembre 2009 Plus d'infos.

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Nov

A Structural Risk Neutral Model of Electricity Prices

R. Aïd, L. Campi, A. Nguyen Huu, N. Touzi International Journal of Theoretical and Applied Finance 2(7) pp 925-947 - Novembre 2009 Plus d'infos.

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