Category Archives: Working Papers
A structural risk-neutral model of electricity
by René Aïd, Luciano Campi, Adrien Nguyen Huu and Nizar Touzi (Cahier de la Chaire n°24) The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying … Continue reading
The Precautionary Principle and the Evaluation of Environmental Policies
by Olivier Guéant (Cahier de la Chaire n°23) This general readership article proposes an approach to evaluate what an economically and socially acceptable cost can be in the context of policies that aim at improving the environment. We stress the … Continue reading
Convenience Yield and Commodity Markets
by Delphine Lautier (Cahier de la Chaire n°22) This article explains the role of the convenience yield in the relationships linking spot and futures prices in commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices … Continue reading