Category Publications

May
2022

Ergodic control of a heterogeneous population and application to electricity pricing - Q. Jacquet, W. van Ackooij, C. Alasseur & S. Gaubert

We consider a dynamic pricing model, in which a population of customers can change contracts at any time depending on pricing conditions and customer-specific characteristics such as inertia (propensity to ...

Jan
2019

Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach - J. Badosa, E. Gobet, M. Grangereau and D. Kim

In this work, we derive a probabilistic forecast of the solar irradiance during a day at a given location, using a stochastic differential equation (SDE for short) model. We propose ...

Dec
2018

REGRESSION MONTE CARLO FOR MICROGRID MANAGEMENT - C. ALASSEUR, A. BALATA, S. BEN AZIZA, A. MAHESHWARI, P. TANKOV AND X. WARIN

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 ...

Dec
2018

Variance optimal hedging with application to Electricity markets - Xavier Warin

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 ...

Jul
2018

Estimating fast mean-reverting jumps in electricity Market models - Thomas Deschatre, Olivier Féron, and Marc Hoffmann

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, ...

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 ...

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 ...

May
2017

StOpt library

Read more [...]

Jul
2016

Technology transition to electric mobility

bb

Jun
2012

Variance Optimal hedging for continuous time additive processes and applications

S. Goutte, N. Oudjane, F. Russo à paraître dans Journal of Computational Finance Juin 2012

Page 1 of 8