Archives

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

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 [...]

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 [...]

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 [...]

B. Bouchard, R. Elie, N. Touzi SIAM Journal on Control and Optimization 48(5), pp 3123-3150 - Décembre 2009 Plus d'infos.

U. Cetin, M. Soner, N. Touzi Finance and Stochastics 14, pp 317-341 - Décembre 2009 Plus d'infos.

A. Creti, B. Villeneuve chapitre dans The Economics of Natural Gas Storage Décembre 2009 Plus d'infos.

M. B. Abdelhamid, C. Aloui, C. Chaton  International Journal of Oil, Gas and Coal Technology 2(1), pp 44-57 - Décembre 2009 Plus d'infos.

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 [...]

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 [...]