Archives

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 [...]

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 [...]

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 [...]

J. André, J.F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Novembre 2009 Plus d'infos.

D. Lautier Bankers, Markets & Investors 102, pp 59-66 - Novembre 2009 Plus d'infos.

R. Aïd, L. Campi, A. Nguyen Huu, N. Touzi International Journal of Theoretical and Applied Finance 2(7) pp 925-947 - Novembre 2009 Plus d'infos.

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 [...]

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 [...]