Category Publications

In this paper we study the calibration of specific multi-factorial Heath-Jarrow-Morton models to electricity market prices, with a focus on the estimation of the optimal number of factors. We describe ...

We propose to study electricity capacity remuneration mechanism design through a Principal-Agent approach. The Principal represents the aggregation of electricity consumers (or a representative entity), subject to the physical risk of shortage, ...

We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations. Our schemes rely on the approximating power of neural networks to estimate the solution or its gradient through ...

We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction the solution and its gradient by multi-layer ...

We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is ...

The assessment of fuel poverty in mainland France is based mainly on data provided by the French national housing survey (ENL). However, the last two surveys date from 2006 and ...

Twenty percent of French non-fuel poor households will fall into fuel poverty. The existence of energy insurance can reduce this percentage. This article focuses on non-fuel poor households that can ...

We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate ...

Systemic risk is a multifaceted concept that is of crucial importance for regulators. In order to ensure financial stability, they need to properly assess this risk, preventing financial shocks from ...

This paper presents several numerical applications of deep learning-based algorithms that have been analyzed in [11]. Numerical and comparative tests using TensorFlow illustrate the performance of our different algorithms, namely ...