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: ...
Archives
1
Jul
Utility Indifference Valuation for Non-Smooth Payoffs with an Application to Power Derivatives
in Reports
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 ...
1
May
Real option game with a random regulator: the value of being preferred
in Reports
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 ...
1
Jan
Banking and Backloading Emission Permits
in Reports
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 ...
1
Oct
A Probabilistic Numerical Method for Optimal Multiple Switching Problem and Application to Investments in Electricity Generation
in Reports
RR-FiME-12-07 René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve ...
1
Aug
Numerical Methods for the Quadratic Hedging Problem in Markov Models with jumps
in Reports
RR-FiME-12-04 Carmine De Franco, Peter Tankov, Xavier Warin We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using ...
1
Jul
A review of optimal decision rule for investment in electricity generation
in Reports
R. Aïd This paper provides an introduction to optimal investment rules in electricity generation. It attempts to bring together methods commonly used in practice to assess electricity generation investments as ...
1
Jun
A Principal-Agent Problem for Emissions' Reduction
in Reports
RR-FiME-12-06 Giuseppe Benedetti We analyze a principal-agent problem between the state (principal) and a firm (agent) which produces carbon emissions. In particular, the aim of the state is to motivate ...
1
Jun
Variance Optimal hedging for continuous time additive processes and applications
in Publications
S. Goutte, N. Oudjane, F. Russo à paraître dans Journal of Computational Finance Juin 2012
1
Jun
No arbitrage of the second kind for high production regime in discrete time production-investment models with proportional transaction costs
in Publications
B. Bouchard, A. Nguyen Huu à paraître dans Mathematical Finance Juin 2012
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