Archives

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 ...

René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet This paper is concerned with the mathematical analysis of emissions markets. We review the existing quantitative analyses on the subject and introduce ...

Christian Musso, Nadia Oudjane This paper presents a general methodology to estimate a probability density under linear constraints (on the support, bounded moments or quantiles,. . . ). The proposed ...

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 ...

A. Porchet, N. Touzi, X. Warin Mathematical Methods of Operations research 70(1) pp 47-75 - Juin 2009 Plus d'infos.

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

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 ...

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

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

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 ...