Clémence Alasseur, Ivar Ekeland, Romuald Élie, Nicolás Hernández Santibáñez and Dylan Possamaï We study the optimal design of electricity contracts among a population of consumers with different needs. This question is ...
Category Reports
Mar
2017
Capacity Expansion Games with Application to Competition in Power Generation Investments
in Reports
R. Aid, L. Li, M. Ludkovski We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically uctuating costs and interact through aggregate ...
Feb
2017
The financialization of the term structure of risk premia in commodity markets
in Reports
Edouard Jaeck In this paper, I examine how financialization affects the term structure of risk premia by using an equilibrium model for commodity futures markets. I define financialization as the ...
Jan
2017
Unbiased Monte Carlo estimate of stochastic differential equations expectations
in Reports
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin We propose an unbiased Monte Carlo method to compute E(g(XT )) where g is a Lipschitz function and X an Ito process. This ...
Oct
2016
Contracting theory with competitive interacting Agents
in Reports
Romuald Elie Dylan Possamaï In a framework close to the one developed by Holmstrom and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each ...
Sep
2016
A Non-Intrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Non-Linear Equations
in Reports
EMMANUEL GOBET, GANG LIU, AND JORGE P. ZUBELLI Abstract. Our goal is to solve certain dynamic programming equations associated to a given Markov chain X, using a regression-based Monte Carlo algorithm. ...
Sep
2016
Pricing American options using martingale bases
in Reports
J. Lelong In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers [2002]. Our approach relies on approximating the ...
Sep
2016
Volatility in electricity derivative markets: the Samuelson effect revisited
in Reports
Edouard Jaeck, Delphine Lautier This article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern ...
Sep
2016
Forward Feynman-Kac Type Representation for Semilinear Nonconservative Partial Differential Equations
in Reports
Anthony LE CAVIL, Nadia OUDJANE and Francesco RUSSO We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). We show ...
Jul
2016
On the Robustness of the Snell envelope
in Reports
Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Remillard We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider ...
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