Archives

1
Jun

A Structural Risk-Neutral Model of Electricity Prices

René Aïd, Luciano Campi, Adrien Nguyen Huu, Nizar Touzi The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at the maturity T, and on the random available capacity of each production means. Read more [...]

1
May

Large Scale Experiment and Optimization of a Distributed Stochastic Control Algorithm. Application to Energy Management Problems

P. Vezolle, S.Vialle, X.Warin Large-Scale Parallel Processing 2009 Mai 2009 Plus d'infos.

1
Feb

Hedging and Vertical Integration in Electricity Markets

René Aïd, Gilles Chemla, Arnaud Porchet, Nizar Touzi This paper analyzes the interactions between vertical integration and (wholesale) spot, forward and retail markets in risk management. We develop an equilibrium model that fits electricity markets well. We point out that vertical integration and forward hedging are two separate levers for demand and spot price risk diversification. We show that they are imperfect substitutes as to their impact on retail prices and agents’ utility because the Read more [...]

1
Jan

Storage and Security of Supply in the Medium Run

C. Chaton, A. Creti, B. Villeneuve Resource & Energy Economics 31(1), pp 24-38 - Janvier 2009 Plus d'infos.

1
Jan

Optimal transportation and the falsifiability of incompletely specified economic models

I. Ekeland, A. Galichon, M. Henry Economic Theory 42(2) pp. 355-374 - Janvier 2009 Plus d'infos.

1
Dec

Long-Term Risk Management for Utility Companies: the Next Challenges

René Aïd Since the energy markets liberalisation at the beginning of the 1990s in Europe, electricity monopolies have gone through a profound evolution process. From an industrial organisation point of view, they lost their monopoly on their historical business, but gained the capacity to develop in any sector. Companies went public and had to upgrade their financial risk management process to international standards and implement modern risk management concepts and reporting processes (VaR, EaR...). Read more [...]

1
Dec

Generation Capacity Expansion Under Long-Term Uncertainties in the Us Electric Market

Alexandre Klein, Julian Bouchard, Sabine Goutier In this paper, we deal with generation capacity expansion under long-term uncertainties regarding fuel prices and CO2 emissions regulation. We present a model based on stochastic dynamic programming which gives optimal generation investment planning for perfectly competitive power markets. It is applied to the US continuous electricity market with DOE's fuel price scenarios. We show that taking into account uncertainties on fuel costs and on CO2 emissions Read more [...]

1
Nov

Some Economics of Seasonal Gas Storage

C. Chaton, A. Cretti, B. Villeneuve Energy Policy 36(11) 4235-4246. - Novembre 2008 Plus d'infos.

1
Oct

Garch (1,1) Models with Exogeneously Driven Volatility:Structure and Estimation

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 and Read more [...]

1
Mar

Un instrument de court terme pour stimuler la concurrence : le Gas release

C. Chaton, F. Gasmi, M.-L. Guillerminet, J.-D. Oviedo Revue Economique 59(3), pp 475-486 - Mars 2008 Plus d'infos.

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