Category Publications

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 ...

In this article, we use the mean variance hedging criterion to value contracts in incomplete markets. Although the problem is well studied in a continuous and even discrete framework, very ...

Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itö semimartingale and a a mean-reverting compound Poisson process. In a first part, ...

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 ...

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 suer from the so ...

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R. Aïd, I. Ben Tahar In Commodities, Energy and Environmental Finance, ed. M. Ludkovki, R. Sircar & R. Aïd, Fields Institute Communication Series, Springer, 2015.  

L. Campi A paraître dans Musiela Festschrift, Springer Juin 2012  

I. Ekeland, A. Galichon, M. Henry à paraître dans Mathematical Finance Juin 2012 Plus d'infos.

J.-F. Chassagneux, R. Elie, I. Kharroubi à paraître dans Annals of Applied Probability Juin 2012 Plus d'infos.