René Aïd, Gilles Chemla, Arnaud Porchet, Nizar Touzi This paper analyzes the interactions between vertical integration and (wholesale) spot, forward and retail markets in risk management. We develop an equilibrium ...
Category Reports
Dec
2008
Long-Term Risk Management for Utility Companies: the Next Challenges
in Reports
René Aïd Since the energy markets liberalisation at the beginning of the 1990s in Europe, electricity monopolies have gone through a profound evolution process. From an industrial organisation point of ...
Dec
2008
Generation Capacity Expansion Under Long-Term Uncertainties in the Us Electric Market
in Reports
Alexandre Klein, Julian Bouchard, Sabine Goutier In this paper, we deal with generation capacity expansion under long-term uncertainties regarding fuel prices and CO2 emissions regulation. We present a model based ...
Oct
2008
Garch (1,1) Models with Exogeneously Driven Volatility:Structure and Estimation
in Reports
Nazim Regnard, Jean-Michel Zakoïan This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model ...
Sep
2007
Strategic Storage and Market Power in the Natural Gas Market
in Reports
Laure Durand-Viel In a competitive setting, storage is traditionally used to smooth production costs or face demand variations. However, oligopolistic sellers can also use inventories as a commitment tool. We ...
Jan
2007
Valuation of a Power Plant Under Production Constraints and Market Incompleteness
in Reports
Arnaud Porchet, Nizar Touzi, Xavier Warin This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off ...
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