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Increasing user decision accuracy using suggestions

Publications associées (37)

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Hedging Electricity Swing Options in Incomplete Markets

Daniel Kuhn, Wolfram Wiesemann

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

Real options valuation of fusion energy R&D programme

Edgard Gnansounou, Denis Bednyagin

This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

Elsevier2010

Option Contracting in the California Water Market

Thomas Alois Weber

Temporary water transfers, as achievable under option contracts, capture gains from trade that would go unrealized if only permanent transfers of water rights were possible. This paper develops a bilateral option contracting model for water which includes ...

Springer Verlag2010

Dynamic investment and financing under personal taxation

Erwan Morellec, Norman Schuerhoff

This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...

2010

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

XuvTools: free, fast and reliable stitching of large 3D datasets

Alessandra Griffa

Current biomedical research increasingly requires imaging large and thick 3D structures at high resolution. Prominent examples are the tracking of fine filaments over long distances in brain slices, or the localization of gene expression or cell migration ...

2009

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

From e-government to e-governance: implications for technology management

Matthias Finger, Pierre Rossel

Our paper draws upon concrete research cases to show: firstly, how the approach, the perspective and the representational framework of eGovernment initiatives influence the nature of the changes taking place and, as too many problems remain unaddressed, wh ...

2006

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

An Option Pricing Formula for the GARCH Diffusion Model

Claudia Ravanelli, Giovanni Barone-Adesi

We derive analytically the first four conditional moments of the integrated variance implied by the GARCH diffusion process. From these moments we obtain an analytical closed-form approximation formula to price European options under the GARCH diffusion mo ...

Elsevier2005