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.
Archives
1
Déc
A real option approach to investing in the first nuclear power plant under cost uncertainty: the Tunisian case
in Publications
1
Déc
A Conditionally Heteroskedastic Model with Time-Varying Coefficients for Daily Gas Spot Prices
in Rapports
Nazim Regnard, Jean-Michel Zakoïan A novel GARCH(1,1) model, with coe cients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature ...
1
Déc
Environmental Policies in an Electricity Sector: Test on the French Electricity Sector
in Rapports
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 ...
1
Déc
Structure and Estimation of a Class of Nonstationary Yet Nonexplosive GARCH Models
in Rapports
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 ...
1
Déc
Variance Optimal Hedging for Continuous Time Processes with Independent Increments and Applications
in Rapports
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) ...
1
Nov
Optimal features of gas transmission trunklines
in Publications
J. André, J.F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Novembre 2009 Plus d'infos.
1
Nov
Convenience yield and commodity markets
in Publications
D. Lautier Bankers, Markets & Investors 102, pp 59-66 - Novembre 2009 Plus d'infos.
1
Nov
A Structural Risk Neutral Model of Electricity Prices
in Publications
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.
1
Nov
An Arbitrage-Free Interest Rate Model Consistent with Economic Constraints for Long-Term Asset Liability Management
in Rapports
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 ...
1
Nov
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
in Rapports
Arash Fahim, Nizar Touzi, Xavier Warin We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in [10], and show that it can be introduced naturally as a combination ...
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