Archives

1
Jun

Dual Formulation of Second Order Target Problems

M. Soner, N. Touzi and J. Zhang soumis Juin 2010

1
Jun

Modeling Power Generation Switch as a Real Switching Option: Nuclear Vs. Gas

Moahamed Ben Abdelhamid, Chaker Aloui, Corinne Chaton Given the volatility of the prices of fossil fuels and of environmental constraints, the nuclear power plants can be the least expensive solution to satisfy the demand of electricity. In this paper, we present a dynamic modeling for an optimal operational planning by considering the possibility to switch from natural gas to nuclear power. A switching options approach is applied to address an optimal power generation strategy. We show that, when Read more [...]

1
Jun

Commitment strategies and market power in the natural gas market.

Laure Durand-Viel This thesis is devoted to the analysis of commitment strategies in oligopolistic markets, with a particular focus on the European market for natural gas. The first chapter focuses on capacity investments in a bilateral relationship where the buyer- investor faces the threat of holdup. While some commitment is necessary to ensure investment, a too long commitment by the seller can lead to a lower investment level. The second chapter analyzes the strategic use of storage in a successive Read more [...]

1
May

Long-term risk management for utility companies: the next challenges

R. Aïd International Journal of Theoretical and Applied Finance 13(4), pp 517-535, - Mai 2010 Plus d'infos.

1
May

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 [...]

1
May

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 [...]

1
Apr

Modeling Power Generation Switch as a Real Switching Option: Nuclear Vs Gas

C. Aloui, M. Ben Abdelhamid C. Chaton soumis Avril 2010

1
Apr

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 [...]

1
Apr

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 [...]

1
Feb

Optimal Control under Stochastic Target Constraints

B. Bouchard, R. Elie, C. Imbert SIAM Journal on Control and Optimization 48, pp. 3501-3531 - Février 2010 Plus d'infos.

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