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On the Stochastic Properties of Carbon Futures Prices

Chevallier, Julien; Sévi, Benoît - HAL - 2012

Pricing carbon is a central concern in environmental economics, due to the importance of emissions trading schemes worldwide to regulate pollution. This paper documents the presence of small and large jumps in the stochastic process of the CO2 futures price. The large jumps have a discrete...

Persistent link: https://www.econbiz.de/10010899754

Sim.DiffProc: A Package for Simulation of Diffusion Processes in R

Boukhetala, Kamal; Guidoum, Arsalane - HAL - 2011

The Sim.DiProc package provides a simulation of diffusion processes and the differences methods of simulation of solutions for stochastic differential equations (SDEs) of the Ito's type, in financial and actuarial modeling and other areas of applications, for example the stochastic modeling and...

Persistent link: https://www.econbiz.de/10009328157

Mini-perm Structures in PPP Contracts: Risks and Opportunities

Dupas, Nicolas; Marty, Frédéric; Voisin, Arnaud - HAL - 2011

Prior to the 2008 financial crisis, the economic model of PPPs benefited from a very favorable environment in terms of credit availability and cost. The high level of liquidity in financial markets allowed rising abundant and not expensive external resources, because of both the low level of...

Persistent link: https://www.econbiz.de/10010541078

A range based Multi-Actor Multicriteria Analysis to incorporate uncertainty in stakeholder based evaluation processes

Baudry, Gino; Macharis, Cathy; Vallée, Thomas - HAL - 2014

Increasing concerns about environmental and social impacts have made multicriteria analysis (MCA) increasingly popular in decision making processes. The present paper proposes a new methodology which allows taking into account multicriteria aspects, stakeholder's preferences and long time...

Persistent link: https://www.econbiz.de/10010821438

Pilotage d'une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire

Giard, Vincent; Sali, Mustapha - HAL - 2012

This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...

Persistent link: https://www.econbiz.de/10010899826

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems

Aloy, Marcel; Truchis, Gilles De - HAL - 2013

Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...

Persistent link: https://www.econbiz.de/10010933833

Double Kernel estimation of sensitivities

Elie, Romuald - HAL - 2009

This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...

Persistent link: https://www.econbiz.de/10008790983

Stochastic Risk vs. Policy Oriented Uncertainties: The Case of the Alpine Crossings

Brunel, Julien - HAL - 2004

This paper focuses on uncertainties in traffic forecasting. Three major sources of uncertainties are observed for … uncertainties over forecasting hypotheses. A mean to control such uncertainties lies in the introduction of risk in the Costs … shows that transport policy is a major determinant of traffics. Furthermore, long term forecasting cannot exclude the …

Persistent link: https://www.econbiz.de/10008792030

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor...

Persistent link: https://www.econbiz.de/10008793719

Mathematical Model for Forecasting and Estimating of Market Demand

Nicolae, Dan; Pau, Valentin; Jaradat, Mihaela; … - HAL - 2010

The scientific study article (a monograph) presents a model for forecasting and estimating the evolution of the market …

Persistent link: https://www.econbiz.de/10010821018