energie » Laboratoire de finance des marchés de l'énergie

1

Jan

Banking and Backloading Emission Permits

RR-FIME-13-01 Corinne CHATON, Anna CRETI, Benoît PELUCHON In this article we focus on carbon price dynamics, more specfically the impact of a policy envisaged by the European Commission to increase ...

1

Oct

A Probabilistic Numerical Method for Optimal Multiple Switching Problem and Application to Investments in Electricity Generation

by energie

in Rapports

RR-FiME-12-07 René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve ...

1

Août

A review of optimal decision rule for investment in electricity generation

by energie

in Rapports

RR-FiME-12-04 Carmine De Franco, Peter Tankov, Xavier Warin We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using ...

1

Juil

A review of optimal decision rule for investment in electricity generation

by energie

in Rapports

R. Aïd This paper provides an introduction to optimal investment rules in electricity generation. It attempts to bring together methods commonly used in practice to assess electricity generation investments as ...

1

Juin