René Aïd, Luciano Campi, Nicolas Langrené We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in [Aïd et al., 2009]. In particular a ...
Category Reports
Jun
2010
Modeling Power Generation Switch as a Real Switching Option: Nuclear Vs. Gas
in Reports
Moahamed Ben Abdelhamid, Chaker Aloui, Corinne Chaton Given the volatility of the prices of fossil fuels and of environmental constraints, the nuclear power plants can be the least expensive solution ...
Jun
2010
Commitment strategies and market power in the natural gas market.
in Reports
Laure Durand-Viel This thesis is devoted to the analysis of commitment strategies in oligopolistic markets, with a particular focus on the European market for natural gas. The first chapter focuses ...
May
2010
No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs
in Reports
Bruno Bouchard, Adrien Nguyen Huu We consider a class of production-investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the ...
May
2010
Monte-Carlo Valorisation of American Options: Facts and New Algorithms to Improve Existing Methods
in Reports
Bruno Bouchard, Xavier Warin The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian ...
Apr
2010
Real Asset Valuation Based on Spot Prices: Can We Forget About Market Fundamentals?
in Reports
Corinne Chaton, Laure Durand-Viel Real assets are usually valued by assuming a liquid spot market with competitive traders who buy or sell until arbitrage opportunities are exhausted; the value of ...
Apr
2010
Long-Term Electricity Contract Valuation Using Rollover Hedging
in Reports
René Aïd, François Barjon, Christine Vialas This paper proposes a market-based method to provide a selling price for long-term contract on electricity market. In market-based approaches, one searches to fulfil ...
Feb
2010
Privatization and Governance Regulation in Frontier Emerging Markets: the Case of Romania
in Reports
Gilles Chemla Adrian Pop Diana Pop We investigate the link between the regulation of control transactions and the institutional and corporate features of public companies, by analyzing the massive delisting ...
Jan
2010
Strategic Capacity Investment under Holdup Threats: the Role of Contract Length and Width
in Reports
Laure Durand-Viel Bertrand Villeneuve This article analyzes the impact of incomplete contracts’ length on investment in a bilateral relationship. The seller has the power to set the contract terms whereas ...
Jan
2010
Competition and Environmental Policies in an Electricity Sector
in Reports
Corinne Chaton Marie-Laure Guillerminet In this paper, we study the impact of competition and environmental policy (feed-in tari¤s vs. the EU ETS) on investment, CO2 emissions and welfare in an ...
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