5 papers
A McKean-Vlasov game of commodity production, consumption and trading
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the co…
Optimal dynamic regulation of carbon emissions market: A variational approach
René Aïd, Sara Biagini
We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idi…
An Impulse-Regime Switching Game Model of Vertical Competition
René Aïd, Luciano Campi, Liangchen Li +1
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative up…
No-Arbitrage Commodity Option Pricing with Market Manipulation
René Aïd, Giorgia Callegaro, Luciano Campi
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a repre…
Optimal electricity demand response contracting with responsiveness incentives
René Aïd, Dylan Possamaï, Nizar Touzi
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their eff…