TH`ESE Docteur de l'Université Paris-Dauphine Morgan HERVÉ ...

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L’Université <strong>Paris</strong>-<strong>Dauphine</strong>n’entenddonneraucuneapprobationniimprobation aux opinions émises dans les thèses. Ces opinions doivent être considérées comme propres àleursauteurs. i
Page 1: UNIVERSITÉ PARIS-DAUPHINE ÉCOLE D
Page 5 and 6: années. Enfin, je dédie cette th
Page 8 and 9: Résumé court Cette thèse porte s
Page 10 and 11: Résumé long Cette thèse porte su
Page 12 and 13: cette phase avec l’apparition d
Page 14 and 15: àpartirdegaznaturel)ajouéunrôle
Page 16 and 17: opérations (111 réalisées pour p
Page 18 and 19: cultés àavoirrecoursàunmodèle d
Page 20 and 21: l’éolien et les prix déterminis
Page 22 and 23: pour augmenter la granularité desr
Page 24 and 25: d’arrêt du SCEQE (le plus proche
Page 26 and 27: Contents Remerciements iii Abstract
Page 28 and 29: List of Figures 1.1 Phase I EUA his
Page 30 and 31: List of Tables 1.1 Key operating da
Page 32 and 33: List of abbreviations AAU Assigned
Page 34 and 35: Introduction ”However good our fu
Page 36 and 37: to be verified by the empirical dat
Page 38: sponses (chapter 1) and an empirica
Page 41 and 42: climate policy context and then jum
Page 43 and 44: The EU ETS is a cap-and-trade polic
Page 45 and 46: alargelyover-allocatedmarket. Theov
Page 47 and 48: 2008, another reason invoked 4 not
Page 49 and 50: We observe that the carbon allowanc
Page 51 and 52: 1.1.4 EU ETS Phase III: towards mor
Page 53 and 54:
to limit the extent of adverse impa
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to such aforementioned sectors. Ano
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to achieve renewable targets or ten
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General impacts The financial crisi
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that not all energy-related infrast
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the EU ETS, this was not the case f
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year). Installations falling within
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6!7%,4% 6!7%19% 6!7%14% 6!7%12% 6!7
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on assets to surrender. In particul
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carbon cost at prevailing market pr
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intertemporal flexibility: borrowal
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• Participation to ”low-cost”
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investment over its lifetime (ignor
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of the policy exposure management t
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one entity would give access to x M
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(like auctioning, a decreased cap,
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In the next chapter, we will zoom o
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y the five most carbon-constrained
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tive, Third Energy Package, the Eur
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Second, we track a project from the
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!"#$%&'()'*+,%-.#%+.-'/.(.01'2'3334
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B%&'5";( !"B$ !"%$ )*+,-(.+/0( A=%#
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commissioned 13 . This reflected va
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ficiency lowered the plants’ emis
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Table 2.4: Financial operations cla
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These operations amounted to more t
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enefited (or still are benefiting)
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preliminary developments for 800 to
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CCGT and fossil fuel projects In ad
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%#!!!" %!!!!" $#!!!" $!!!!" #!!!" !
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Another part of the focus strategy
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the sale of additional shares in Te
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2.4 Impact of operating and financi
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2.4.2 Financial investments and ETS
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developers or regional utilities th
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-./012&34566527% -./012&8/33% )#*%
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to 12.7 millions ton of CO2e (2.3 M
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Chapter 3 Impact of the EU ETS on i
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prevent the effects of accounting-i
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DDCF approach entails accepting all
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low case scenario materialize, the
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probability distribution for the NP
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esponse is low, the investor has th
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Using a spreadsheet software, we fi
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Put option: an option to sell an as
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investments with positive NPVs. Sti
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The likely impact on the NPV profil
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other time interval) and (3) change
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used includes the Black-Scholes for
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estimation is performed using ordin
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mean-reverting process with jumps a
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ate of the carbon price longer-term
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the next section. (3) Compared inve
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3.2 Presentation of the investment
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!"#"$" @*$#A(;$*-( ,"."'0"%( !"#"'"
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carbon price history makes it diffi
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ies were designed prior to the entr
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the risk-neutral world. Calibration
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that the price of EUA would crash i
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• λ p and λ b are the market pr
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On the other hand, carbon and power
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uation sensitivity to them is quite
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plant takes 3 years to be built and
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We identified τ unique combination
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expected future benefits (knowing S
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��
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following form: V9(b9,S i 9)=max x9
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maximum value and optimal decisions
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oxes on Figure 3.13). 3.3.1 Influen
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,-$.(/-0-/1&".( 12--3( ('!" %'$" %'
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levels and carbon reduction pledges
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not enough to trigger a shift to th
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Short-term vs. long-term effects It
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In this equation, the carbon price
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CCS now. This can be achieved by (1
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implies that the price of carbon sh
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130/MWh). Figure 3.19 indicates the
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234#)&*54(6%* 74)8'9*43'%* @=>% @?>
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CH4, etc.) within the EU ETS. These
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hedges (offshore wind and nuclear).
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Conclusion The objective of this Ph
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elates to data availability and qua
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• Utilities operate in a multiple
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Appendices 187
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Laurikka & Koljonen (2006) MR EUR 7
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determine the value function accord
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The optimal path V0( ¯b)represents
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Table 19: Illustrative case - Decis
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In our illustrative case, only one
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At t=0, we only have one possible b
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.3 LSM matrices MAX stands for the
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φt+1( ¯ b − I N ,S Γ t+1) ...
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.4 MATLAB code %% INPUT %%%%%%%%%%%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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euets.ner2=0.01; % NER for phase II
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% populate, dimension it like carbo
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price.avgspotG(1,1,:)=0; price.avgs
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X=ones(1,1,1); for j=1:info.nTrials
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combi.SumCombiInves=sum(combi.Combi
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end (time+1),2,:), [3 2 1]), permut
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222
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[20] Caisse des Dépôts. Tendances
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[53] R.A. Brealey and S.C. Myers. P
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[81] A. Epaulard and S. Gallon. La
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[106] A. Quinet. La valeur tutelair
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TH`ESE Docteur de l'Université Paris-Dauphine Morgan HERVÉ ...

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