René Aïd

Université Paris-Dauphine

Professor

Place du Maréchal de Lattre de Tassigny

Paris, 75016

France

SCHOLARLY PAPERS

9

DOWNLOADS

697

SSRN CITATIONS
Rank 40,575

SSRN RANKINGS

Top 40,575

in Total Papers Citations

2

CROSSREF CITATIONS

12

Scholarly Papers (9)

Hedging and Vertical Integration in Electricity Markets

EFA 2009 Bergen Meetings Paper
Number of pages: 28 Posted: 19 Feb 2009 Last Revised: 02 Feb 2011
Université Paris-Dauphine, Imperial College Business School, Citibank, N.A. and Ecole Polytechnique, Paris
Downloads 416 (71,795)

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hedging, forward, wholesale spot price, retail, vertical integration

Hedging and Vertical Integration in Electricity Markets

CEPR Discussion Paper No. DP8313
Number of pages: 32 Posted: 18 Apr 2011
Université Paris-Dauphine, Imperial College Business School, Citibank, N.A. and Ecole Polytechnique, Paris
Downloads 3 (684,311)
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electricity markets, forward, hedging, producers, retailers, spot, vertical integration

2.

Capacity Expansion Games with Application to Competition in Power Generation Investments

Number of pages: 41 Posted: 25 Jan 2017
Université Paris-Dauphine, University of California, Santa Barbara (UCSB) and University of California, Santa Barbara
Downloads 139 (216,327)

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Capacity Expansion; Continuous-time Games of Timing; Non-zero-sum Stopping Games; Power generation investments

3.

Electricity Generation Technologies Systematic Risk

Number of pages: 26 Posted: 20 Nov 2013
Université Paris-Dauphine, Finance for Energy Market Research Centre and NYU, Department of Economics and Courant Institute
Downloads 59 (373,611)

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systematic risk, cost of capital, electricity generation, capm.

4.

Explicit Investment Rules with Time-to-Build and Uncertainty

Journal of Economic Dynamics and Control, Vol. 51, pp. 240-256, 2015
Number of pages: 22 Posted: 25 Jun 2014 Last Revised: 09 May 2017
Université Paris-Dauphine, University of Milan, Université Paris VII Denis Diderot and Université Paris-Dauphine, PSL Research University
Downloads 47 (413,785)
Citation 2

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optimal capacity; irreversible investments; singular stochastic control; time-to-build; delay equations

5.

Optimal Electricity Demand Response Contracting With Responsiveness Incentives

Number of pages: 36 Posted: 26 Nov 2018 Last Revised: 09 Jun 2019
René Aïd, Dylan Possamaï and Nizar Touzi
Université Paris-Dauphine, Columbia University and Ecole Polytechnique, Paris
Downloads 19 (548,197)

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responsiveness incentive, optimal contract, demand response

6.

The Coordination of Centralised and Distributed Generation

Number of pages: 35 Posted: 09 May 2017
René Aïd, Matteo Basei and Huyên Pham
Université Paris-Dauphine, Université Paris Diderot and Université Paris VII Denis Diderot
Downloads 12 (592,336)

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decarbonation, distributed generation, stochastic game, McKean-Vlasov

7.

A Policy Iteration Algorithm for Nonzero-Sum Stochastic Impulse Games

ESAIM: ProcS: 27-45, 2019
Number of pages: 23 Posted: 27 Feb 2020
Université Paris-Dauphine, affiliation not provided to SSRN, Ecole Nationale d'Ingénieurs de Tunis (ENIT), London School of Economics & Political Science (LSE) and affiliation not provided to SSRN
Downloads 1

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Stochastic Impulse Game, Nonzero-Sum Game, Nash Equilibrium, Policy Iteration, Howard’s Algorithm, Quasi-Variational Inequality, Stochastic Impulse Control

8.

A Structural Risk‐Neutral Model for Pricing and Hedging Power Derivatives

Mathematical Finance, Vol. 23, Issue 3, pp. 387-438, 2013
Number of pages: 52 Posted: 09 Jun 2013
Université Paris-Dauphine, London School of Economics & Political Science (LSE) and Université Paris VII Denis Diderot
Downloads 1 (675,705)
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Electricity spot and forward prices, fuels, capacity, electricity demand, scarcity function, local risk minimization, minimal martingale measure, power derivatives, spread options, extended incomplete Goodwin–Staton integral

9.

A Structural Risk-Neutral Model of Electricity Prices

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 925-947, 2009
Posted: 25 Apr 2010
René Aïd, Luciano Campi and Nizar Touzi
Université Paris-Dauphine, London School of Economics & Political Science (LSE) and Ecole Polytechnique, Paris

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Energy markets, electricity prices, fuel prices, risk-neutral probability, no-arbitrage pricing, forward contract