Category Rapports

Déc
2009

Variance Optimal Hedging for Continuous Time Processes with Independent Increments and Applications

Stéphane Goutte, Nadia Oudjane, Francesco Russo For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) ...

Nov
2009

An Arbitrage-Free Interest Rate Model Consistent with Economic Constraints for Long-Term Asset Liability Management

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 ...

Nov
2009

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

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 ...

Nov
2009

Comonotonic Measures of Multivariate Risks

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 ...

Oct
2009

Market Design for Emission Trading Schemes

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 ...

Sep
2009

L2 Density Estimation Under Constraints

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 ...

Juin
2009

A Structural Risk-Neutral Model of Electricity Prices

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 ...

Fév
2009

Hedging and Vertical Integration in Electricity Markets

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 ...

Déc
2008

Generation Capacity Expansion Under Long-Term Uncertainties in the Us Electric Market

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 ...

Déc
2008

Long-Term Risk Management for Utility Companies: the Next Challenges

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 ...

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