FERON Olivier

Home   /   Non classé   /   FERON Olivier
1
Jul

1 July 2016
by
in Non classé

FERON Olivier

Olivier Féron, Senior-Researcher in Market Modeling and Risk management at EDF R&D

E-mail. olivier-2.feron ...at... edf.fr

Other :

  • Member of the scientific executive bureau, LABEX Finance and Sustainable Development
  • ILB fellows
  • Member of Association française des Investisseurs Institutionnels (af2i)

 

News

  • The rating agency Moody's has assigned a NZ-2 net zero assessment (NZA) score (advanced) to EDF's carbon transition plan
  • (https://www.edf.fr/sites/groupe/files/2024-02/edfgroup_moodys_nza-2_20240215_en.pdf).  The group’s emission reduction targets are consistent with the most ambitious Paris Agreement goals of limiting temperature increases. This is a tribute to EDF's strong commitment to decarbonization, which began long before the climate emergency! Very few, if any, other energy companies are so aligned. If, like me, you're committed to the goals of energy transition, come and work at EDF!

 

 

Research topics

  • Market Modelling
  • Risk management and pricing
  • Statistical estimation
  • Forecasting

 

Training courses

 

Publication

  1. G. Dutot, M. Zaffran, OF and Y. Goude, "Adaptive probabilistic forecasting of French electricity spot prices", submitted to Applied Energy, 2024. http://arxiv.org/abs/2405.15359
  2. OF and P. Gruet, Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets. In: Benth, F.E., Veraart, A.E.D. (eds) Quantitative Energy Finance. Springer, Cham. https://doi.org/10.1007/978-3-031-50597-3_1
  3. M. Zaffran, A. Dieuleveut, OF, Y. Goude and J. Josse, "Adaptive Conformal Predictions for Time Series", 39th Intern. Conf. on Machine Learning (ICML), 2022, https://hal.archives-ouvertes.fr/hal-03573934/
  4. OF, P. Tankov and L. Tinsi, " Price formation and optimal trading in intraday electricity markets", Mathematics and Financial Economics 16:205--237, 2022, https://link.springer.com/article/10.1007/s11579-021-00307-z.
  5. T. Deschatre, OF and P. Gruet, "A survey of electricity spot and futures price models for risk management applications", Energy Economics 102(C), 2021, http://arxiv.org/abs/2103.16918
  6. OF, P. Tankov and L. Tinsi, " Price formation and optimal trading in intraday electricity markets with a major player", Risks 2020, 8(4), 133, 2020, https://doi.org/10.3390/risks8040133.
  7. OF and P. Gruet, Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets, pre-print, 2020, https://hal.archives-ouvertes.fr/hal-02880824.
  8. OF, P. Gruet and M. Hoffmann, Efficient volatility estimation in a two-factor model, Scandinavian Journal of Statistics, vol.47(3): 862-898, 2020, https://onlinelibrary.wiley.com/doi/full/10.1111/sjos.12431.
  9. T. Deschatre, OF and M. Hoffmann, "Estimating fast mean-reverting jumps in electricity market models", ESAIM:PS, vol.24: 963-1002, 2020, https://doi.org/10.1051/ps/2020027.
  10. C. Alasseur and OF, "Structural price model for coupled electricity markets", Energy Economics 75: 104-119, 2018
  11. OF, F. Orieux and J.-F. Giovannelli, "Gradient Scan Gibbs Sampler: an efficient algorithm for high-dimensional Gaussian distributions, Journal of Selected Topics in Signal Processing, IEEE, 10(2): 343-352,  2016. 〈10.1109/JSTSP.2015.2510961〉
  12. F. Orieux, O. Féron and J.-F. Giovannelli, " Gradient Scan Gibbs Sampler: An efficiant high-dimensional sampler, application in inverse problems, 40th IEEE International Conference on Acoustics, Speech and Signal Processin (ICASSP 2015), Apr. 2015, Brisbane, Australia, 〈10.1109/ICASSP.2015.7178739〉
  13. OF and E. Daboussi, « Calibration of Electricity price models », in Commodities, Energy and Environmental Finance, Fields Institute Communications, pp. 183-210,  2014.
  14. A. Monfort and OF, « Joint econometric modeling of spot electricity prices, forwards and options », Review of derivatives research, 15(3): 217-256, 2012.
  15. F. Orieux, OF and J.F. Giovannelli, « Sampling high-dimensional Gaussian distributions for general linear inverse problems », IEEE Signal Processing Letters, 19(5): 251-254, 2012.
  16. M. Bouriga and OF, « Estimation of covariance matrix based on hierarchical inverse-Wishart priors », Journal of Statistical Planning and Inference, 143(4): 795-808, 2012.
  17. R. Aïd, OF, N. Touzi and C. Vialas, « An arbitrage-free interest rate model consistent with economic constraints for long-term asset liability management », Bankers, Markets & Investors, 116: 4-19, 2012.

Publication during my PhD : olivierferon.free.fr

Communication

  1. G. Dutot, OF, Y. Goude et M. Zaffran, "Short-term power price forecasting", Power price forecasting Summit, Amsterdam, 2023.
  2. OF, "Electricity Storage: Optimal management & Valuation", 9th Annual Electricity Price Modeling and Forecasting Forum, Berlin, 2022.
  3. M. Zaffran, A. Dieuleveut, OF, Y. Goude and J. Josse, "Adaptive Conformal Predictions for Time Series", 39th Intern. Conf. on Machine Learning (ICML), 2022, https://hal.archives-ouvertes.fr/hal-03573934/
  4. OF, "Some insights on the representation of intraday electricity markets on long-term scenarios", Power price forecasting Summit, Barcelona, 2021.
  5. T. Deschatre, OF and P. Gruet, "Electricity price modelling for risk management purposes", 8th Annual Electricity Price Modeling and Forecasting Forum, online, 2020
  6. C. Alasseur, OF and D. Benatia, "Covid-19 and the economic recession: modelling the negative impact on prices", 7th Annual Electricity Price Modeling and Forecasting Forum, Ber-
    lin, 2020.
  7. D. Benatia, C. Alasseur and OF, "Estimation par réseaux de neurones des impacts de la crise sanitaire sur le système énergétique français », Séminaire R&D et IA/Data Science, Pa-
    ris, 2020.
  8. C. Alasseur and OF, "Electricity price models comparison for spread option", Energy Finance Conference, London, 2015
  9. F. Orieux, O. Féron and J.-F. Giovannelli, " Gradient Scan Gibbs Sampler: An efficiant high-dimensional sampler, application in inverse problems, 40th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2015), Apr. 2015, Brisbane, Australia, 〈10.1109/ICASSP.2015.7178739〉
  10. OF, "Commodity price modeling in EDF. Parameter estimation and calibration", séminaire de l’ENSTA, Palaiseau, 2014.
  11. C. Alasseur, M. Da Silva and OF, "A structural model for electricity spot and forward for coupled markets", in Energy Finance Conference, Erice, Italie, 2014.
  12. E. Daboussi and OF, "Commodity price modeling in EDF. Parameter estimation and calibration", in Workshop on Electricity, Energy and Commodities Risk Management, Fields Institute, Toronto, Canada, 2013.
  13. M. Bouriga, OF, J. M. Marin and C. Robert, "Objective Bayesian model selection and estimation for non-decomposable Gaussian graphical models", in Workshop on Bayesian Inference for Latent Gaussian Models with Applications, Zurich, Suisse, 2011.
  14. M. Bouriga, OF, J. M. Marin and C. Robert, "Bayesian estimation of a covariance matrix. Application for Asset and Liabiliy Management", in International Society for Bayesian Analysis, Benidorn, Espagne, 2010.
  15. R. Aïd, OF and N. Touzi, "Automatic calibration of HJM models from long-term economic expectations", in Fourth International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, Ravello, Italie, 2010.
  16.  OF, S. Goutte et N. Langrené, "Valorisation et couverture sur les marchés de l’énergie", Minisymposium  Finance des marchés de l’énergie, in  Congrès SMAI, Seignosse, France, 2013.
  17. OF, F. Orieux et J. F. Giovannelli, "Échantillonnage de champs gaussiens de grande dimension", in 42èmes Journées de Statistique, Marseille, France, 2010.
  18. M. Bouriga, OF, J. M. Marin et C. Robert, "Modélisation bayésienne hiérarchique pour l’estimation de matrice de covariance - Application à la gestion actif-passif de portefeuilles financiers", in 42èmes Journées de Statistique, Marseille, France, 2010.
  19. OF and N. touzi, "An HJM modeling of the yield curve that fits historical data and respects exogeneous constraints", in Conference on Optimization and Practices in Industry COPI’08, Paris, France, 2008.

 

Supervised PhDs

  1. M. Zaffran, Prévision de prix sur les marchés à court terme de l'énergie, Institut polytechnique de Paris. Supervisors: Julie Josse (Senior Researcher at INRIA), Aymeric Dieuleveut (Professor at Ecole polytechnique), OF and Yannig Goude (Senior Researcher at EDF R&D)
  2. L. Tinsi, Modeling and optimal strategies in short-term energy markets, Institut polytechnique de Paris, 2021. Supervisors: Peter Tankov (professor at ENSAE-CREST), Arnak Dalayan (professor at ENSAE-CREST) and OF.
  3. P. Rowinska, Stochastic modelling and statistical inference for electricity prices, wind energy production and wind speed, Imperial College, 2020. Supervisors: Almut Veraart, professeure à l'Imperial College,
  4. T. Deschatre, Dependence modelling between continuous time stochastic processus. An application to electricity markets modelling and risk management, Université Paris-Dauphine, 2017. Supervisors: Marc Hoffmann (professor at Université Paris-Dauphine) and OF.
  5. P. Gruet, Quelques problèmes d'estimation et de contrôle optimal pour les processus stochastiques dans un cadre de modélisation des prix des marchés de l'électricité, Université Paris-Cité, 2015. Supervisors: Huyen Pham (professor at Université Paris-Cité), Marc Hoffmann (professor at Université Paris-Dauphine) and OF.
  6. M. Bouriga, Estimation de matrices de covariances. Application à la gestion des risques  sur les marchés, Université Paris-Dauphine, 2012. Supervisors: Christian P. Robert (professor at Université Paris-Dauphine), Jean-Michel Marin (professor at Université de Montpellier) and OF.