We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as macroeconomic variables are found to significantly impact yields. Secondary trading in a centralized transparent electronic limit order book enhances liquidity and thus reduce yields....

This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...

It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this...

The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical...

After having been considered as a public good during decades, electricity is now regarded as a tradable commodity in most developed countries. Since they were launched twenty years ago, electricity derivative markets exhibit sustained rises in their transaction volumes. Even if these markets are...

This paper deals with inertia functions in control theory introduced in Aubin, Bernardo and Saint-Pierre (2004, 2005) and their adaptation to dynamical games. The inertia function associates with any initial state-control pair the smallest of the worst norms over time of the velocities of the...