Concept

List of commodities exchanges

Publications associées (6)

Equilibrium Models for Derivatives Markets with Frictions

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

Bioconversion of pentose sugars to value added chemicals and fuels: Recent trends, challenges and possibilities

Edgard Gnansounou, Vinod Kumar

Most of the crop plants contain about 30% of hemicelluloses comprising D-xylose and D-arabinose. One of the major limitation for the use of pentose sugars is that high purity grade D-xylose and D-arabinose are yet to be produced as commodity chemicals. Res ...

Elsevier2018

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Anders Trolle

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analyti ...

Oxford University Press2009

Strategic options of energy service companies in competitive energy markets

Gustave Nguene

In this dissertation, I determine the strategic options of energy service companies active in urban areas. This work is developed considering the wider EU policy framework, namely a liberalised energy market, environmental protection and security of supply ...

EPFL2009

Financial Transmission Rights in Europe’s Electricity Market

Matthias Finger, Christof Lorenz Duthaler

After their theoretical development in the early 1990s, Financial Transmission Rights (FTRs) have been applied in restructured US electricity markets for about a decade now. Lately, FTRs have also been proposed as a potential feature of the emerging Europe ...

2008