Laboratoire de Finance des Marchés de l’Energie

Projet de recherche commun entre l’Université Paris Dauphine, l’école Polytechnique, le Centre de Recherche en Economie et en Statistique (CREST) et la R&D du groupe EDF.

Créé en même temps que la Chaire Dauphine Ecole Polytechnique EDF – CA CIB« Finance et Développement Durable – Approches Quantitatives », il a pour vocation d’accueillir des chercheurs de toutes institutions académiques désireux de travailler avec des ingénieurs-chercheurs de la R&D d’EDF sur les problématiques d’économie mathématique et de finance quantitative de long terme du secteur énergétique.


New open-source stochastic optimization library

The STochastic OPTimization library (StOpt) aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. A python binding is available for some C++ objects provided permitting to easily solve an optimization problem by regression.

Different methods are available : dynamic programming methods based on Monte Carlo  with regressions (global, local and  sparse regressors), for underlying states following;  some uncontrolled Stochastic Differential Equations  ;  Semi-Lagrangian methods for Hamilton Jacobi Bellman general equations for underlying states following some controlled  Stochastic Differential Equations  and Stochastic Dual Dynamic Programming methods to deal with stochastic stocks management problems in high dimension

Derniers rapports de recherche


An Adverse Selection Approach to Power Tarification

Clémence Alasseur, Ivar Ekeland, Romuald Élie, Nicolás Hernández Santibáñez and Dylan Possamaï We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problem in presence of adverse selection. The particular features of electricity induce an unusual structure on the production...

Capacity Expansion Games with Application to Competition in Power Generation Investments

R. Aid, L. Li, M. Ludkovski, We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically uctuating costs and interact through aggregate supply. Capacity expansion is irreversible and modeled in terms of timing strategies characterized through threshold rules. Because the impact of changing costs on the...

The financialization of the term structure of risk premia in commodity markets

Edouard Jaeck In this paper, I examine how financialization affects the term structure of risk premia by using an equilibrium model for commodity futures markets. I define financialization as the entry of cross-asset investors, who are exposed to a commodity risk, into a commodity market. Qualitatively, the model shows that the financialization decreases the...

Prochains séminaires – 14h à l’IHP