Category Publications

We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have ...

We develop multistep machine learning schemes for solving nonlinear partial differential equations (PDEs) in high dimension. The method is based on probabilistic representation of PDEs by backward stochastic differential equations ...

This paper revisits the problem of computing empirical cumulative distribution functions (ECDF) efficiently on large, multivariate datasets. Computing an ECDF at one evaluation point requires O(N) operations on a dataset ...

The large reductions in electricity demand caused by the COVID-19 crisis have disrupted electricity systems worldwide. This article draws insights from New York into the consequences of the pandemic for ...

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 ...