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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

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...

Persistent link: https://www.econbiz.de/10011082464

Martingales and arbitrage in securities markets with transaction costs

Kallal, Hedi; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 1995

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...

Persistent link: https://www.econbiz.de/10010706980

Volatility Exposure for Strategic Asset Allocation

Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2010

volatility risk premium strategies. An analytical framework, which offers pragmatic solutions for long-term investors who seek … exposure to volatility, is used to calibrate and assess the risk-return profiles of portfolios. The benefit of volatility … exposure for a conventional portfolio is shown through a mean-modified value at risk portfolio optimization. A pure volatility …

Persistent link: https://www.econbiz.de/10010708814

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

Persistent link: https://www.econbiz.de/10010799319

On Real Options and Information Costs

Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine (Paris IX) - 2002

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...

Persistent link: https://www.econbiz.de/10010708647

Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index

De Winne, Rudy; Gresse, Carole; Platten, Isabelle - Université Paris-Dauphine (Paris IX) - 2014

processing and order imbalance costs. This most probably results from additional risk sharing capacities provided by increased …

Persistent link: https://www.econbiz.de/10010861453

The Role of Nuclear Power in Reducing Risk of the Fossil Fuel Prices and Diversity of Electricity Generation in Tunisia: A Portfolio Approach

Souissi, Jomâa; Chaton, Corinne; Aloui, Chaker; … - Université Paris-Dauphine (Paris IX) - 2010

from gas to nuclear. Next, we use the portfolio theory to manage risk of the electricity generation portfolio and to … optimal mix than the mix fixed for the Tunisian mix for the horizon 2010–2020, with lower cost for the same risk degree. In …

Persistent link: https://www.econbiz.de/10011072771

Les marchés d'actifs sûrs

Folus, Didier - Université Paris-Dauphine (Paris IX) - 2012

Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...

Persistent link: https://www.econbiz.de/10011073328

Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement

Riva, Fabrice - Université Paris-Dauphine (Paris IX) - 2012

Les entreprises présentant des titres liquides créent-elles davantage de valeur ? En apparence, la liquidité semble appelée à ne jouer qu’un rôle secondaire dans la valorisation des firmes. Cependant, différentes théories économiques, corroborées par de nombreuses études empiriques...

Persistent link: https://www.econbiz.de/10011073659

Intra-day market activity

Gouriéroux, Christian; Jasiak, Joanna; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 1999

This paper presents a study of intra-day patterns of stock market activity and introduces duration based activity measures for single stocks and multiple assets. The proposed measures involve weighted durations, i.e. times necessary to sell (buy) a predetermined volume or value of stocks. As...

Persistent link: https://www.econbiz.de/10011074170