Category Archives: Working Papers
Strategic Capacity Investment under Holdup Threats: The Role of Contract Length and Width
by Laure Durand-Viel & Bertrand Villeneuve (Cahier de la Chaire n°26) This article analyzes the impact of incomplete contracts’ length on investment in a bilateral relationship. The seller has the power to set the contract terms whereas the buyer decides … Continue reading
A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
by Nazim Regnard and Jean-Michel Zakoïan (Cahier de la Chaire n°25) A novel GARCH(1,1) model, with coefficients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature of the model … Continue reading
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