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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.

Actualité

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

18
Juin
2018

Fast and stable multivariate kernel density estimation by fast sum updating - N. Langrené, X. Warin

Kernel density estimation and kernel regression are powerful but computationally expensive techniques: a direct evaluation of kernel density estimates at M evaluation points given N input sample points requires a quadratic O(MN) operations, which is prohibitive for large scale problems. For this reason, approximate methods such as binning with Fast Fourier Transform or the...
18
Juin
2018

Monte Carlo for high-dimensional degenerated Semi Linear and Full Non Linear PDEs - Xavier Warin

We extend a recently developed method to solve semi-linear PDEs to the case of a degenerated diffusion. Being a pure Monte Carlo method it does not su er from the so called curse of dimensionality and it can be used to solve problems that were out of reach so far. We give some results of...
18
Juin
2018

Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations - Emmanuel Gobet, Isaque Pimentel and Xavier Warin

Discrete time hedging produces a residual risk, namely, the tracking error. The major problem is to get valuation/hedging policies minimizing this error. We evaluate the risk between trading dates through a function penalizing asymmetrically profits and losses. After deriving the asymptotics within a discrete time risk measurement for a large number of trading dates,...

Prochains séminaires - 14h à l'IHP

  1. Semestre thématique “Statistiques pour les marchés de l’énergie”

    18 juin - 22 juin
  2. David Martimort (TSE)

    28 septembre @ 14 h 00 min - 15 h 00 min
  3. Jean-Michel Lasry (Dauphine University)

    12 octobre @ 14 h 00 min - 15 h 00 min
  4. TBA

    9 novembre @ 14 h 00 min - 15 h 00 min
  5. David Benatia (CREST-ENSAE)

    23 novembre @ 14 h 00 min - 15 h 00 min