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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.

 News

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

 Last publications

05
May
2022

Ergodic control of a heterogeneous population and application to electricity pricing // Q. Jacquet, W. van Ackooij, C. Alasseur & S. Gaubert

We consider a dynamic pricing model, in which a population of customers can change contracts at any time depending on pricing conditions and customer-specific characteristics such as inertia (propensity to stay with the same supplier). A supplier then seeks to maximise its average revenue per unit time, assuming that the population is of infinite...
17
Jan
2019

Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach - J. Badosa, E. Gobet, M. Grangereau and D. Kim

In this work, we derive a probabilistic forecast of the solar irradiance during a day at a given location, using a stochastic differential equation (SDE for short) model. We propose a procedure that transforms a deterministic forecast into a probabilistic forecast: the input parameters of the SDE model are the AROME numerical weather predictions...
11
Dec
2018

REGRESSION MONTE CARLO FOR MICROGRID MANAGEMENT - C. ALASSEUR, A. BALATA, S. BEN AZIZA, A. MAHESHWARI, P. TANKOV AND X. WARIN

We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage system device is used to shift power from times of high renewable production to times of high demand. We build on the mathematical model introduced in...

 Next events

  1. Séminaire commun FDD-FiME

    3 June @ 14 h 00 min - 15 h 00 min
  2. Séminaire commun FDD-FiME

    17 June @ 14 h 00 min - 15 h 00 min
  3. Séminaire commun FDD-FiME

    1 July @ 14 h 00 min - 15 h 00 min