Archives

1
Juin

A Structural Risk-Neutral Model of Electricity Prices

René Aïd, Luciano Campi, Adrien Nguyen Huu, Nizar Touzi The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at the maturity T, and on the random available capacity of each production means. Read more [...]

1
Juin

Valuation of a powerplant under production constraints and markets incompleteness

A. Porchet, N. Touzi, X. Warin Mathematical Methods of Operations research 70(1) pp 47-75 - Juin 2009 Plus d'infos.

1
Mai

Large Scale Experiment and Optimization of a Distributed Stochastic Control Algorithm. Application to Energy Management Problems

P. Vezolle, S.Vialle, X.Warin Large-Scale Parallel Processing 2009 Mai 2009 Plus d'infos.

1
Fév

Hedging and Vertical Integration in Electricity Markets

René Aïd, Gilles Chemla, Arnaud Porchet, Nizar Touzi This paper analyzes the interactions between vertical integration and (wholesale) spot, forward and retail markets in risk management. We develop an equilibrium model that fits electricity markets well. We point out that vertical integration and forward hedging are two separate levers for demand and spot price risk diversification. We show that they are imperfect substitutes as to their impact on retail prices and agents’ utility because the Read more [...]

1
Jan

Storage and Security of Supply in the Medium Run

C. Chaton, A. Creti, B. Villeneuve Resource & Energy Economics 31(1), pp 24-38 - Janvier 2009 Plus d'infos.

1
Jan

Optimal transportation and the falsifiability of incompletely specified economic models

I. Ekeland, A. Galichon, M. Henry Economic Theory 42(2) pp. 355-374 - Janvier 2009 Plus d'infos.

1
Déc

Generation Capacity Expansion Under Long-Term Uncertainties in the Us Electric Market

Alexandre Klein, Julian Bouchard, Sabine Goutier In this paper, we deal with generation capacity expansion under long-term uncertainties regarding fuel prices and CO2 emissions regulation. We present a model based on stochastic dynamic programming which gives optimal generation investment planning for perfectly competitive power markets. It is applied to the US continuous electricity market with DOE's fuel price scenarios. We show that taking into account uncertainties on fuel costs and on CO2 emissions Read more [...]

1
Déc

Long-Term Risk Management for Utility Companies: the Next Challenges

René Aïd Since the energy markets liberalisation at the beginning of the 1990s in Europe, electricity monopolies have gone through a profound evolution process. From an industrial organisation point of view, they lost their monopoly on their historical business, but gained the capacity to develop in any sector. Companies went public and had to upgrade their financial risk management process to international standards and implement modern risk management concepts and reporting processes (VaR, EaR...). Read more [...]

1
Nov

Some Economics of Seasonal Gas Storage

C. Chaton, A. Cretti, B. Villeneuve Energy Policy 36(11) 4235-4246. - Novembre 2008 Plus d'infos.

1
Nov

Some Economics of Seasonal Gas Storage

C. Chaton, A. Cretti, B. Villeneuve Energy Policy 36(11) 4235-4246. - Novembre 2008 Plus d'infos.

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