Category Rapports

Août
2014

Information Flows across the Futures Term Structure:Evidence from Crude Oil Prices

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 ...

Juil
2014

Integration of Commodity Derivative Markets:Has It Gone Too Far?

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 ...

Juin
2014

Fuel Poverty as a Major Determinant of Perceived Health: The Case of France

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 ...

Mai
2014

Explicit Investment Rules with Time-to-build and Uncertainty

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 ...

Avr
2014

Hedging Expected Losses on Derivatives in Electricity Futures Markets

RR-FiME-14-01 Adrien Nguyen Huu, Nadia Oudjane  

Sep
2013

A Simple Equilibrium Model for a Commodity Market with Spot and Futures Trades

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: ...

Sep
2013

Two Algorithms for the Discrete Time Approximation of Markovian Backward Stochastic Differential Equations under Local Conditions

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 ...

Juil
2013

Utility Indifference Valuation for Non-Smooth Payoffs with an Application to Power Derivatives

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 ...

Mai
2013

Real option game with a random regulator: the value of being preferred

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 ...

Jan
2013

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 ...

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