A. Creti, B. Villeneuve soumis Juin 2010
Archives
1
Jun
Dual Formulation of Second Order Target Problems
in Publications
M. Soner, N. Touzi and J. Zhang soumis Juin 2010
1
Jun
Modeling Power Generation Switch as a Real Switching Option: Nuclear Vs. Gas
in Reports
Moahamed Ben Abdelhamid, Chaker Aloui, Corinne Chaton Given the volatility of the prices of fossil fuels and of environmental constraints, the nuclear power plants can be the least expensive solution ...
1
Jun
Commitment strategies and market power in the natural gas market.
in Reports
Laure Durand-Viel This thesis is devoted to the analysis of commitment strategies in oligopolistic markets, with a particular focus on the European market for natural gas. The first chapter focuses ...
1
May
Long-term risk management for utility companies: the next challenges
in Publications
R. Aïd International Journal of Theoretical and Applied Finance 13(4), pp 517-535, - Mai 2010 Plus d'infos.
1
May
No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs
in Reports
Bruno Bouchard, Adrien Nguyen Huu We consider a class of production-investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the ...
1
May
Monte-Carlo Valorisation of American Options: Facts and New Algorithms to Improve Existing Methods
in Reports
Bruno Bouchard, Xavier Warin The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian ...
1
Apr
Modeling Power Generation Switch as a Real Switching Option: Nuclear Vs Gas
in Publications
C. Aloui, M. Ben Abdelhamid C. Chaton soumis Avril 2010
1
Apr
Real Asset Valuation Based on Spot Prices: Can We Forget About Market Fundamentals?
in Reports
Corinne Chaton, Laure Durand-Viel Real assets are usually valued by assuming a liquid spot market with competitive traders who buy or sell until arbitrage opportunities are exhausted; the value of ...
1
Apr
Long-Term Electricity Contract Valuation Using Rollover Hedging
in Reports
René Aïd, François Barjon, Christine Vialas This paper proposes a market-based method to provide a selling price for long-term contract on electricity market. In market-based approaches, one searches to fulfil ...
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