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? ...
Category Reports
Dec
2014
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 ...
Aug
2014
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 ...
Jul
2014
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 ...
Jun
2014
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 ...
May
2014
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 ...
Apr
2014
Hedging Expected Losses on Derivatives in Electricity Futures Markets
in Reports
RR-FiME-14-01 Adrien Nguyen Huu, Nadia Oudjane
Sep
2013
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 ...
Sep
2013
A Simple Equilibrium Model for a Commodity Market with Spot and Futures Trades
in Reports
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: ...
Jul
2013
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 ...
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