Category Rapports

Jan
2015

Optimal Pits and Optimal TransportationConservative

RR-FiME-15-03 Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of the pit must satisfy some mechanical constraints, in order not to collapse. The question then arises how to mine the ore optimally, that is, how …

Jan
2015

Prévention des catastrophes naturelles : viser le long terme sans attendre

RR-FiME-15-06 Céline Grislain-Letrémy and Bertrand Villeneuve Urbanization in areas prone to natural hazards is massive and will grow. Economic analysis offers several tools to contain this phenomenon: insurance pricing in relation to risk, and zoning and building standards in exposed areas. Both approaches are theoretically equivalent, but their applications pose different challenges, and financial incentives …

Déc
2014

A Note on the Spot-Forward No-Arbitrage Relations in an Investment-Production Model for Commodities

RR-FiME-14-06 René Aïd, Luciano Campi, Delphine Lautier Because of storability constraints, standard no-arbitrage arguments cannot be safely applied in markets of commodities such as energy. In this paper, we propose an alternative approach to justify the convergence of forward towards spot prices as time-to-maturity goes to zero. We show that the classical no-arbitrage relationship between …

Août
2014

Information Flows across the Futures Term Structure:Evidence from Crude Oil Prices

RR-FiME-14-05 Delphine Lautier, Franck Raynaud and Michel A. Robe We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural changes between 2000 …

Juil
2014

Integration of Commodity Derivative Markets:Has It Gone Too Far?

RR-FiME-14-04 Delphine LAUTIER, Julien LING and Franck RAYNAUD We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are « external » to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly integrated with each other …

Juin
2014

Fuel Poverty as a Major Determinant of Perceived Health: The Case of France

RR-FiME-14-03 Corinne CHATON, Elie LACROIX The numbers of households in fuel poverty is increasing. Indeed, more and more people are struggling to heat their homes and therefore more and more people are exposed to low temperatures which can affect their health. In this paper, we use the French database of the Healthcare and Insurance survey …

Mai
2014

Explicit Investment Rules with Time-to-build and Uncertainty

RR-FiME-14-02 René Aid, Salvatore Federico, Huyên Pham, Bertrand Villeneuve We establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpretations for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox-Ingersoll-Ross). Committed capacity, …

Avr
2014

Hedging Expected Losses on Derivatives in Electricity Futures Markets

RR-FiME-14-01 Adrien Nguyen Huu, Nadia Oudjane  

Sep
2013

A Simple Equilibrium Model for a Commodity Market with Spot and Futures Trades

RR-FiME-13-05 Ivar Ekeland, Delphine Lautier, Bertrand Villeneuve We propose a simple equilibrium model, where the physical and the derivative markets of the commodity interact. There are three types of agents: industrial processors, inventory holders and speculators. Only the two first of them operate in the physical market. All of them, however, may initiate a position …

Sep
2013

Two Algorithms for the Discrete Time Approximation of Markovian Backward Stochastic Differential Equations under Local Conditions

RR-FiME-13-04 Plamen Turkedjiev Two discretizations of a novel class of Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approximates a projection of the processes Z, and the second a novel scheme based on Malliavin weights which approximates the mariginals of the process Z directly. Extending the representation …

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