Category Rapports

Mai
2010

Monte-Carlo Valorisation of American Options: Facts and New Algorithms to Improve Existing Methods

Bruno Bouchard, Xavier Warin The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and effciency. We also discuss several technics for the estimation of the corresponding hedging strategies. Numerical tests and comparisons, including the quantization approach, are performed. Plus Read more [...]

Mai
2010

No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs

Bruno Bouchard, Adrien Nguyen Huu We consider a class of production-investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the no-arbitrage of the second kind condition introduced by M. Rasonyi [13]. We show that this condition implies the closedness of the set of attainable claims and is equivalent to the existence of a strictly consistent price system under which the evaluation of future production profits are strictly Read more [...]

Avr
2010

Real Asset Valuation Based on Spot Prices: Can We Forget About Market Fundamentals?

Corinne Chaton, Laure Durand-Viel Real assets are usually valued by assuming a liquid spot market with competitive traders who buy or sell until arbitrage opportunities are exhausted; the value of a real asset is computed as the stream of profits resulting from such transactions. This method ignores market fundamentals by assuming that all the relevant information is included in the spot price. This paper analyses the bias resulting from such an approach when the market is imperfectly competitive. Read more [...]

Avr
2010

Long-Term Electricity Contract Valuation Using Rollover Hedging

René Aïd, François Barjon, Christine Vialas This paper proposes a market-based method to provide a selling price for long-term contract on electricity market. In market-based approaches, one searches to fulfil a given long-term commitment only by selling and buying available futures contracts on the market. The price of the contract is then given by the cost of the best available hedging strategy. Here, the hedging strategy is based on rolling futures of the longest maturity, i.e. successively Read more [...]

Fév
2010

Privatization and Governance Regulation in Frontier Emerging Markets: the Case of Romania

Gilles Chemla Adrian Pop Diana Pop We investigate the link between the regulation of control transactions and the institutional and corporate features of public companies, by analyzing the massive delisting activity in the Romanian capital market. The peculiar ownership reforms involving a large number of listed companies offer a unique opportunity to test Bebchuk and Roe’s (2000) theory of path dependence. Over time, the Romanian authorities have undertaken wide-ranging institutional reforms, Read more [...]

Jan
2010

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 depending on weather and the other ones). The demand specification is innovative and takes into account an incompressible Read more [...]

Jan
2010

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 even if commitment is limited, and the contract’s duration is irrelevant. Interestingly, this efficient solution is rendered possible Read more [...]

Déc
2009

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 [...]

Déc
2009

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 [...]

Déc
2009

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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