The Finance fo Energy Market Research Centre is a joint research project between the Université Paris-Dauphine, the Centre for Research in Economics and Statistics (CREST), the Ecole Polytechnique and the R&D Division of the EDF group.
This research centre is part of the Chair Dauphine Ecole Polytechnique EDF Credit Agricole CIB "Finance and Sustainable Development - A Quantitative Approach". It aims to allow researchers from all academic institutions interested in working with research engineers of EDF R&D on issues of mathematical economics and quantitative finance long-term energy sector.
New open-source stochastic optimization library
The STochastic OPTimization library (StOpt) aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. A python binding is available for some C++ objects provided permitting to easily solve an optimization problem by regression.
Different methods are available : dynamic programming methods based on Monte Carlo with regressions (global, local and sparse regressors), for underlying states following; some uncontrolled Stochastic Differential Equations ; Semi-Lagrangian methods for Hamilton Jacobi Bellman general equations for underlying states following some controlled Stochastic Differential Equations and Stochastic Dual Dynamic Programming methods to deal with stochastic stocks management problems in high dimension
