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Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itö semimartingale and a a mean-reverting compound Poisson process. In a first part, ...

Kernel density estimation and kernel regression are powerful but computationally expensive techniques: a direct evaluation of kernel density estimates at M evaluation points given N input sample points requires a ...

We extend a recently developed method to solve semi-linear PDEs to the case of a degenerated diffusion. Being a pure Monte Carlo method it does not suer from the so ...

Discrete time hedging produces a residual risk, namely, the tracking error. The major problem is to get valuation/hedging policies minimizing this error. We evaluate the risk between trading dates through ...

A new method based on nesting Monte Carlo is developed to solve highdimensional semi-linear PDEs. Convergence of the method is proved and its convergence rate studied. Results in high dimension ...

Corinne Chaton, Anna Creti, and Maria-Eugenia Sanin, Abstract In October 2015 the European Parliament has established a market stability reserve (MSR) in the Phase 4 of the EU-ETS, as part ...

Clémence Alasseur, Ivar Ekeland, Romuald Élie, Nicolás Hernández Santibáñez and Dylan Possamaï We study the optimal design of electricity contracts among a population of consumers with different needs. This question is ...

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R. Aid, L. Li, M. Ludkovski, We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically uctuating costs and interact through aggregate ...

Edouard Jaeck In this paper, I examine how financialization affects the term structure of risk premia by using an equilibrium model for commodity futures markets. I define financialization as the ...