René Aïd

Université Paris-Dauphine

Professor

Place du Maréchal de Lattre de Tassigny

Paris, 75016

France

SCHOLARLY PAPERS

8

DOWNLOADS

677

CITATIONS
Rank 42,075

SSRN RANKINGS

Top 42,075

in Total Papers Citations

11

Scholarly Papers (8)

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 414 (68,780)

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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 (655,468)
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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 131 (216,941)

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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 57 (363,834)

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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 45 (403,590)

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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 17 (536,693)

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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 9 (585,417)

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decarbonation, distributed generation, stochastic game, McKean-Vlasov

7.

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 (648,804)
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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

8.

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

Abstract:

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