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Uncertainty and Investment in Electricity Generation with an Application to the Case of Hydro-Québec
Doucet, Joseph A.; Chaton, Corinne - Université Paris-Dauphine (Paris IX) - 2003
uncertainty. The model explicitly accounts for equipment availability and load duration curves in selecting optimal investment …
Persistent link: https://www.econbiz.de/10010707789
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Sunspot equilibrium as a game theoretical solution concept
Forges, Françoise - Université Paris-Dauphine (Paris IX) - 1991
Persistent link: https://www.econbiz.de/10010905050
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Financial markets survey written for encyclopedia EOLSS
Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2000
In the last forty years, the theory of financial markets has become a growing field of interest for academics as well as for practitioners. We present here an overview of the main topics.
Persistent link: https://www.econbiz.de/10010706711
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Financial markets in continuous time
Jeanblanc, Monique; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2007
This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...
Persistent link: https://www.econbiz.de/10010708856
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Trois modèles de structure par terme des prix du pétrole : une comparaison
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2002
La présentation de la théorie du stockage et de la notion de convenience yield permet d’exposer les fondements théoriques des modèles de structure par terme des prix des commodités. Ces derniers peuvent être utilisés pour réaliser des opérations de couverture ou dans le cadre de...
Persistent link: https://www.econbiz.de/10011071877
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Variance risk-premia in CO2markets
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
Persistent link: https://www.econbiz.de/10010707135
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Sévi, Benoît; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and...
Persistent link: https://www.econbiz.de/10010708614
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L'utilisation des produits dérivés et les caractéristiques financières des entreprises : le cas français
Mefteh, Salma - Université Paris-Dauphine (Paris IX) - 2005
This paper empirically tests the determinants of derivatives use using a sample of French nonfinancial firms- a relatively under investigated area in the risk management literature. It shows that several factors related to maximizing the firm's value significantly affect the decision to use...
Persistent link: https://www.econbiz.de/10010905110
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On Abel's Concepts of Doubt and Pessimism
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2008
-order conditions on subjective probability beliefs in order to increase the market price of risk for all nondecreasing utility …In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We … introduce, on the set of subjective probability beliefs, market-price-of-risk dominance concepts and we relate them to well …
Persistent link: https://www.econbiz.de/10010905355
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Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - Université Paris-Dauphine (Paris IX) - 2015
parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for … that is robust to parameter uncertainty. Our robust portfolio corresponds theoretically to the global minimum variance …
Persistent link: https://www.econbiz.de/10011228180