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Finance For Energy Market Research Centre

The Finance fo Energy Market Research Centre is a joint research project between the Université Paris-Dauphine, the Centre for Research in Economics and Statistics (CREST), the Ecole Polytechnique and the R&D Division of the EDF group.

This research centre is part of  the Chair Dauphine Ecole Polytechnique EDF Credit Agricole CIB  “Finance and Sustainable Development – A Quantitative Approach”. It aims to allow researchers from all academic institutions interested in working with research engineers of  EDF R&D on issues of mathematical economics and quantitative finance long-term energy sector.

 Last publications

06
Jul
2016

On the Robustness of the Snell envelope

Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Remillard We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider a series of approximation schemes, including cut-off type approximations, Euler discretization schemes, interpolation models, quantization tree models, and the Stochastic Mesh method of Broadie-Glasserman....
01
May
2016

Nonzero-sum Stochastic Differential Games with Impulse Controls and Applications to Retail Energy Markets

RR-Fime-16-05 Rene Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. Moreover, we give regularity properties of the...