energie » Finance for energy market research centre

1

Mar

Competition and environmental policies in an electricity sector

by energie

in Publications

C. Chaton, M.-L. Guillerminet révision pour Enery Economics Mars 2012

1

Feb

Optimal Liquidity Management and Hedging in the Presence

by energie

in Reports

Stéphane Villeneuve, Xavier Warin In this paper, we develop a dynamic model that captures the interaction between a firm's cash reserves, the risk management policy and the profitability of a nonpredictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash- flow stream. The firm has a non-predictable growth opportunity to expand its operation size by paying a sunk cost. When the opportunity is available, the firm can finance it either Read more [...]

1

Feb

On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII process

by energie

in Reports

RR-FiME-12-05 Stéphane GOUTTE, Nadia OUDJANE, Francesco RUSSO Given a process with independent increments X (not necessarily a martingale) and a large class of square integrable r.v. H = f(XT ), f being the Fourier transform of a finite measure μ, we provide explicit Kunita-Watanabe and Föllmer-Schweizer decompositions. The representation is expressed by means of two significant maps: the expectation and derivative operators related to the characteristics of X. We also provide an explicit expression Read more [...]

1

Jan

A note on super-hedging for investor-producers

by energie

in Reports

Adrien Nguyen Huu We study the situation of an investor-producer who can trade on a ﬁnancial market in continuous time and can transform some assets into others by means of a discrete time production system, in order to price and hedge derivatives on produced goods. This general framework covers the interesting case of an electricity producer who wants to hedge a ﬁnancial position and can trade commodities which are also inputs for his system. This extends the framework of Bouchard & Nguyen Read more [...]

1

Jan