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Publications associées (35)

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

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

Emotion on FPGA: Model Driven Approach

Arash Arami

Implementation of intelligent and bio-inspired algorithms in industrial and real applications is arduous, time consuming and costly; in addition, many aspects of system from high level behavior of algorithm to energy consumption of targeted system must be ...

Elsevier2009

DecoCHina, a Chinese-Swiss collaborative network of industrial SMEs

Rémy Glardon, Michel Pouly

Industrial SMEs face new challenges in global markets with customers requiring more complete solutions and ability to source their procurements anywhere in the world. If large companies have erough resources to gain from the new opportunities provided by t ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2008

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

Auswirkungen langfristig hoher Ölpreise

Frank Vöhringer

This report for the Swiss energy office examines, with the help of top-down and bottom-up models, the consequences for Switzerland of world oil prices remaining durably at 100 US$. ...

2007

Generation Capacity Investments in Competitive Electricity Markets: A Preliminary Assessment after 10 years of Liberalization in Europe

Matthias Finger, Bastian Wolfgang Schwark

Balancing supply and demand in energy markets is not an easy task. Competitive markets oblige private actors to justify their investments towards their shareholders by appropriate rates of return. Consequently, electricity markets may lead to under-investm ...

2007

Airline Disruptions: Aircraft Recovery with Maintenance Constraints

Michel Bierlaire, Matteo Salani, Niklaus Eggenberg

In this paper we consider the recovery of an airline schedule after an unforeseen event, commonly called disruption, that makes the planned schedule unfeasible. In particular we consider the aircraft recovery problem for an heterogeneous fleet of aircrafts ...

2007

Column generation methods for disrupted airline schedules

Michel Bierlaire, Matteo Salani, Niklaus Eggenberg

2007

Multi-agent modelling of electricity markets

Abdelaziz Lahlou

This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...

EPFL2007

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