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La volatilité des prix des matières premières

Lautier, Delphine; Simon, Yves - Université Paris-Dauphine (Paris IX) - 2004

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 … volatility of crude oil futures prices illustrates the presentation. The last section underlines the interest of the information …

Persistent link: https://www.econbiz.de/10010905033

A Matter of Principal

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005

Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements, test their stability over time and to...

Persistent link: https://www.econbiz.de/10010707599

Dynamic hedging strategies: An application to the crude oil market

Lautier, Delphine; Galli, Alain - Université Paris-Dauphine (Paris IX) - 2010

This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Persistent link: https://www.econbiz.de/10010707938

Dynamic Hedging Strategies: An Application to the Crude Oil Market

Lautier, Delphine; Galli, Alain - Université Paris-Dauphine (Paris IX) - 2010

This article analyzes long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Persistent link: https://www.econbiz.de/10011166328

Real Options : Still looking for Evidence ?

Philippe, Henri - Université Paris-Dauphine (Paris IX) - 2005

Despite a large body of literature on the topic, empirical tests of real option models are scarce. The lack of data offers an initial explanation for this. However other intrinsic reasons could well explain why real options are difficult to test on large-scale studies. We show that the use of...

Persistent link: https://www.econbiz.de/10010707729

A simple equilibrium model for a commodity market with spot trades and futures contracts

Ekeland, Ivar; Lautier, Delphine; Villeneuve, Bertrand - Université Paris-Dauphine (Paris IX) - 2013

We propose a simple equilibrium model, where the physical and the derivative markets of the commodity interact. There are three types of agents: industrial pro- cessors, inventory holders and speculators. Only the two first of them operate in the physical market. All of them, however, may...

Persistent link: https://www.econbiz.de/10010707373

High dimensionality in finance: a graph-theory analysis

Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2012

Persistent link: https://www.econbiz.de/10010960549

Systemic Risk and Complex Systems: A Graph-Theory Analysis

Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2013

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

Persistent link: https://www.econbiz.de/10010960550

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011

market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …

Persistent link: https://www.econbiz.de/10010707678

Managing Commodity Risk : Can Sovereign Funds Help ?

Brière, Marie - Université Paris-Dauphine (Paris IX) - 2012

A number of countries have recently responded to high and volatile commodity prices by setting up commodity funds. In several cases, these funds have proved effective in stabilising government spending and boosting savings, but on the whole they have unfortunately not achieved the hoped-for...

Persistent link: https://www.econbiz.de/10010708593

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