RR-FiME-14-06 René Aïd, Luciano Campi, Delphine Lautier Because of storability constraints, standard no-arbitrage arguments cannot be safely applied in markets of commodities such as energy. In this paper, we propose ...
Archives
1
Déc
A Note on the Spot-Forward No-Arbitrage Relations in an Investment-Production Model for Commodities
in Rapports
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Août
Information Flows across the Futures Term Structure:Evidence from Crude Oil Prices
in Rapports
RR-FiME-14-05 Delphine Lautier, Franck Raynaud and Michel A. Robe We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across ...
1
Juil
Integration of Commodity Derivative Markets:Has It Gone Too Far?
in Rapports
RR-FiME-14-04 Delphine LAUTIER, Julien LING and Franck RAYNAUD We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These ...
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Juin
Fuel Poverty as a Major Determinant of Perceived Health: The Case of France
in Rapports
RR-FiME-14-03 Corinne CHATON, Elie LACROIX The numbers of households in fuel poverty is increasing. Indeed, more and more people are struggling to heat their homes and therefore more and more ...
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Mai
Explicit Investment Rules with Time-to-build and Uncertainty
in Rapports
RR-FiME-14-02 René Aid, Salvatore Federico, Huyên Pham, Bertrand Villeneuve We establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function ...
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Avr
Hedging Expected Losses on Derivatives in Electricity Futures Markets
in Rapports
RR-FiME-14-01 Adrien Nguyen Huu, Nadia Oudjane
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Sep
A Simple Equilibrium Model for a Commodity Market with Spot and Futures Trades
in Rapports
RR-FiME-13-05 Ivar Ekeland, Delphine Lautier, Bertrand Villeneuve We propose a simple equilibrium model, where the physical and the derivative markets of the commodity interact. There are three types of agents: ...
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Sep
Two Algorithms for the Discrete Time Approximation of Markovian Backward Stochastic Differential Equations under Local Conditions
in Rapports
RR-FiME-13-04 Plamen Turkedjiev Two discretizations of a novel class of Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approximates a projection of ...
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Juil
Utility Indifference Valuation for Non-Smooth Payoffs with an Application to Power Derivatives
in Rapports
RR-FiME-13-03 Giuseppe Benedetti, Luciano Campi We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to ...
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Mai
Real option game with a random regulator: the value of being preferred
in Rapports
RR-FiME-13-02 Adrien Nguyen Huu We attempt to formalize a randomization procedure undertaken in pre-emptive real option games without simultaneous investment. This allows to propose a unified treatment of both real ...
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