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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

18
Jun
2018

t 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
Jun
2018

Monte Carlo for high-dimensional degenerated Semi Linear and Full Non Linear PDEs - X. 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
Jun
2018

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

 Next events

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

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

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

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

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

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