Category Rapports

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 [...]

Déc
2009

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 [...]

Nov
2009

An Arbitrage-Free Interest Rate Model Consistent with Economic Constraints for Long-Term Asset Liability Management

René Aïd, Olivier Féron, Nizar Touzi, Christine Vialas This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still satisfying the no-arbitrage constraints. We describe the methodology to calibrate the model in this particular constrainted setting, i.e. to find the Read more [...]

Nov
2009

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Arash Fahim, Nizar Touzi, Xavier Warin We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in [10], and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of backward stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives a bound on the discretization error in terms of the time step. An explicit implementable scheme Read more [...]

Nov
2009

Comonotonic Measures of Multivariate Risks

Ivar Ekeland, Alfred Galichon, Marc Henri We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile functions. Moreover, we propose to replace the current law invari- ance, subadditivity and comonotonicity axioms by an equivalent property we call strong coherence and that we argue has more natural Read more [...]

Oct
2009

Market Design for Emission Trading Schemes

René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet This paper is concerned with the mathematical analysis of emissions markets. We review the existing quantitative analyses on the subject and introduce some of the mathematical challenges posed by the implementation of the new phase of the European Union Emissions Trading Scheme as well as the cap-and-trade schemes touted by the US, Canada, Australia and Japan. From a practical point of view, the main thrust of the paper is the design and numerical Read more [...]

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