Category Rapports

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 ...

Laure Durand-Viel In a competitive setting, storage is traditionally used to smooth production costs or face demand variations. However, oligopolistic sellers can also use inventories as a commitment tool. We ...

Arnaud Porchet, Nizar Touzi, Xavier Warin This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off ...