Pierre Gruet

GRUET Pierre

Pierre Gruet

EDF Lab Saclay
7 boulevard Gaspard Monge
91120 PALAISEAU
FRANCE

E-mail: pierre (dot) gruet (at) edf (dot) fr

Position

• Research engineer at EDF R&D, member of the Finance for Energy Market Research Centre (FiME)
• Developer of the Debian GNU/Linux operating system

Research topics

• Statistics of stochastic processes
• Stochastic control and optimization
• Finance of electricity markets

Publications

[7]

Nicolas Langrené, Xavier Warin and PG: New random projections for isotropic kernels using stable spectral distributions. arXiv preprint, 2024.

[6]

Olivier Féron and PG: Estimation of the Number of Factors in a Multi-Factorial Heath-Jarrow-Morton Model in Power Markets, pages 3--39. Springer Nature Switzerland, 2024.

[5]

Thomas Deschatre and PG: Electricity intraday price modelling with marked Hawkes processes. Applied Mathematical Finance, 29(4):227–260, 2022.

[4]

Thomas Deschatre, Olivier Féron, and PG: A survey of electricity spot and futures price models for risk management applications. Energy Economics, 102, 2021.

[3]

Paulina A. Rowińska, Almut E.D. Veraart, and PG: A multi-factor approach to modelling the impact of wind energy on electricity spot prices. Energy Economics, 104, 2021.

[2]

Olivier Féron, PG, and Marc Hoffmann: Efficient volatility estimation in a two-factor model. Scandinavian Journal of Statistics, 47(3):862–898, 2020.

[1]

René Aïd, PG, and Huyên Pham: An optimal trading problem in intraday electricity markets. Mathematics and Financial Economics, 10(1):49–85, 2016.

Selected talks

• • A survey of electricity spot and futures price models for risk management applications, Eleventh International Ruhr Energy Conference, Essen (Germany), September 2022.
  • A multifactor approach to modelling the impact of wind energy on electricity spot prices, Thirteenth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief (France), January 2019.
  • Optimal number of factors in a N -factor model for electricity prices, Workshop on statistical inference in energy markets, Paris, May 2018.
  • Estimation in a two-factor model: application to electricity prices, Conference on the Mathematics of Energy Markets, Vienna, July 2016.
  • An Optimal Trading Problem in Intraday Electricity Markets, Energy Finance Christmas Workshop 2015, December 2015.
  • Estimation of volatility in a diffusion process: the context of electricity forward contracts, Second NUS-UParis Diderot Workshop on Quantitative Finance, September 2015.

Academic degrees

2012–2015

PhD at University Paris Diderot:
“Some problems of statistics and optimal control for stochastic processes in the field of electricity markets prices modeling”, defended on 02/12/2015. With highest honour.
Advisors: Prof. Marc Hoffmann and Prof. Huyên Pham.

2011–2012

Master “Modélisation aléatoire” in Statistics, Probability and Finance at University Paris-Diderot.

2009–2012

Graduate degree in Statistics and Actuarial sciences at École Nationale de la Statistique et de l’Administration Économique (Paris).

Training courses

• Course on energy markets for undergraduate students at University Paris Cité, France
• Stochastic calculus for undergraduate students at University Paris-Dauphine, France
• Quantitative Methods in Economics and Finance, Iéseg, Lille, France