Category 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 ...

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 ...

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 ...

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 ...

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 ...

René Aïd Since the energy markets liberalisation at the beginning of the 1990s in Europe, electricity monopolies have gone through a profound evolution process. From an industrial organisation point of ...

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 ...