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 ...
Category Reports
Jan
2013
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 ...
Oct
2012
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 ...
Aug
2012
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 ...
Jul
2012
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 ...
Jun
2012
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 ...
Feb
2012
Optimal Liquidity Management and Hedging in the Presence
in Reports
Stéphane Villeneuve, Xavier Warin In this paper, we develop a dynamic model that captures the interaction between a firm's cash reserves, the risk management policy and the profitability of a ...
Feb
2012
On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII process
in Reports
RR-FiME-12-05 Stéphane GOUTTE, Nadia OUDJANE, Francesco RUSSO Given a process with independent increments X (not necessarily a martingale) and a large class of square integrable r.v. H = f(XT ), ...
Jan
2012
A note on super-hedging for investor-producers
in Reports
Adrien Nguyen Huu We study the situation of an investor-producer who can trade on a financial market in continuous time and can transform some assets into others by means of ...
Nov
2011
Snell Envelope with Small Probability Criteria
in Reports
RR-FiME-11-09 Pierre Del Moral, Peng Hu, Nadia Oudjane We present a new algorithm to compute the Snell envelope in the specific case where the criteria to optimize is associated with ...
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