RR-FiME-15-06 Céline Grislain-Letrémy and Bertrand Villeneuve Urbanization in areas prone to natural hazards is massive and will grow. Economic analysis offers several tools to contain this phenomenon: insurance pricing in ...
Archives
1
Jan
Optimal Pits and Optimal TransportationConservative
in Reports
RR-FiME-15-03 Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of ...
1
Jan
Does France Have a Fuel Poverty Trap?
in Reports
RR-FiME-15-01 Corinne CHATON In this article, we focus on fuel poverty. More specifically, we analyse this phenomenon‟s dynamic by answering the following question: does France have a fuel poverty trap? ...
1
Dec
A Note on the Spot-Forward No-Arbitrage Relations in an Investment-Production Model for Commodities
in Reports
RR-FiME-14-06 René Aïd, Luciano Campi, Delphine Lautier Because of storability constraints, standard no-arbitrage arguments cannot be safely applied in markets of commodities such as energy. In this paper, we propose ...
1
Aug
Information Flows across the Futures Term Structure:Evidence from Crude Oil Prices
in Reports
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 ...
1
Jul
Integration of Commodity Derivative Markets:Has It Gone Too Far?
in Reports
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 ...
1
Jun
Fuel Poverty as a Major Determinant of Perceived Health: The Case of France
in Reports
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 ...
1
May
Explicit Investment Rules with Time-to-build and Uncertainty
in Reports
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 ...
1
Apr
Hedging Expected Losses on Derivatives in Electricity Futures Markets
in Reports
RR-FiME-14-01 Adrien Nguyen Huu, Nadia Oudjane
1
Sep
Two Algorithms for the Discrete Time Approximation of Markovian Backward Stochastic Differential Equations under Local Conditions
in Reports
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 ...
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