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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

13
Nov
2017

Assessing the implementation of the Market Stability Reserve

Corinne Chaton, Anna Creti, and Maria-Eugenia Sanin, Abstract In October 2015 the European Parliament has established a market stability reserve (MSR) in the Phase 4 of the EU-ETS, as part of the 2030 framework for climate policies. In this paper we model the EU-ETS in presence of the Market Stability Reserve (MSR) as it...
09
Jun
2017

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...
29
May
2017

StOpt library

 Next events

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

    2 February @ 14 h 00 min - 15 h 00 min
  2. Marius Zoikan (Paris Dauphine)

    16 February @ 14 h 00 min - 15 h 00 min
  3. Thematic Semester on Statistics for Energy Markets

    16 March @ 14 h 00 min - 15 h 00 min
  4. Tba

    30 March @ 14 h 00 min - 15 h 00 min
  5. Tba

    13 April @ 14 h 00 min - 15 h 00 min