Author Archives: admin

Conference on Commodities, Volatility, and Risk Management The Impacts of Trade Restrictions, Market Imperfections, and Green Finance

13-15 May 2019, Université Paris-Dauphine The conference will cover commodity pricing and risk management, viewed through the prisms of market imperfections and environmental concerns. The main focus is on agricultural and energy markets, with specific themes intended to shine light … Continue reading

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Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach

by Jordi Badosa, Emmanuel Gobet, Maxime Grangereau & Daeyoung 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 … Continue reading

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Optimal electricity demand response contracting with responsiveness incentives

by René Aïd, Dylan Possamai & Nizar Touzi Despite the success of demand response programs in retail electricity markets in reducing average consumption, the literature shows failure to reduce the variance of consumers’ responses. This paper aims at designing demand … Continue reading

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Conference “Advances in Modelling and Control for Power Systems of the Future”

Conference CAESARS 2018 September 5-7 2018 – EDF Lab, Palaiseau In electrical system, strong evolutions are under way that will change deeply the organisation of the whole sector in the short and long term horizon: quick development of renewable technology, volatile … Continue reading

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“Des Mathématiques de la décision aux jeux à champ moyen”

Conférence en l’honneur de Jean-Michel Lasry  27 JUIN 2018 – Université Paris Dauphine #JML70 Le programme de la conférence en l’honneur de Jean-Michel Lasry pour son 70e anniversaire fait écho à la riche carrière scientifique de celui-ci, mêlant divers champs des mathématiques … Continue reading

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Thematic Semester “Statistics for Energy Markets”

The large-scale development of renewable energy production prompts us to rethink the structure of the modelling of pricing processes and how we conceive financial risks in the energy markets. Because this development accentuates the impact on market prices of global … Continue reading

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HJB Equations and Extensions of Classical Stochastic Control Theory

by Charafeddine Mouzouni These notes are a transcription of the course ”Equations de HJB et extensions de la théorie classique du contrôle stochastique”, given by P.-L. Lions at the Collège de France in 2016/2017. The course contains a few developments … Continue reading

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Mean Field Games and Related Topics #4

Chiostro di S. Pietro in Vincoli, Rome June 14-16, 2017 Mean field games theory describes the equilibria in strategic interactions of a large number of rational agents. In the recent years, this research area has been rapidly spreading in several … Continue reading

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PDE and Probability Methods for Interactions

Sophia Antipolis (France) – March 30-31, 2017 The conference PDE and Probability Methods for Interactions will be held at Inria, on the French Riviera, March 30-31, 2017. The goal of this conference is to exchange ideas on new trends in PDE … Continue reading

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Volatility in electricity derivative markets: the Samuelson effect revisited

by Edouard Jaeck & Delphine Lautier This article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern in the volatilities along the price curve in … Continue reading

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A Long-Term Mathematical Model for Mining Industries

by Yves Achdou, Pierre-Noel Giraud, Jean-Michel Lasry & Pierre-Louis Lions A parcimonious long term model is proposed for a mining industry. Knowing the dynamics of the global reserve, the strategy of each production unit consists of an optimal control problems … Continue reading

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Negotiated Red Zones Around Hazardous Plants

by Céline Grislain-Letrémy & Bertrand Villeneuve The industrialists are liable for any damage they cause to neighboring households. Consequently, households do not have to pay for the risk they create by locating in exposed areas. To contain their liabilities, the firm can … Continue reading

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Natural Disasters, Land-Use, and Insurance

by Céline Grislain-Letrémy & Bertrand Villeneuve This paper addresses the urbanization of areas exposed to natural disasters and studies its dependency on land-use and insurance policies. The risk-map paradox that we describe explains why an insurance system with simplistic maps … Continue reading

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StOpt: A New Stochastic Optimization Library

The STochastic OPTimization library (StOpt)   was developped at OSIRIS department at EDF R&D  and used in some operational projects as an open source project. The StOpt library aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. A … Continue reading

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Jeux à champ moyen – Bilan et perspectives

par Pierre-Louis Lions 16 juin 2016, Abbaye des Vaux de Cernay Présentation donnée dans le cadre des journées ateliers FiME à l’Abbaye des Vaux de Cernay. Lien vers la video (vimeo)  

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Journées ateliers FiME

Abbaye des Vaux de Cernay 16-17 juin 2016 L’objectif de ces deux journées était de faire le point sur les travaux conduits au sein de l’IdR FiME, les résultats déjà obtenus et les perspectives de développement de ces travaux. Les travaux … Continue reading

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Micro-finance et lutte contre la pauvreté: le rapport annuel de la Fondation Grameen – Crédit Agricole

Au 31 décembre 2015, la Fondation est active dans 27 pays en développement parmi les plus pauvres, auprès de 59 institutions de microfinance ou entreprises de social business. Les institutions de microcrédit partenaires de la Fondation comptent 3,3 millions d’emprunteurs … Continue reading

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Macrofinancial models for long-term asset returns

A lecture by Jean-Paul Renne (Université de Lausanne) July 7-8, Institut Henri Poincaré This lecture offers an extensive study of macro-founded asset pricing models which explicitly integrate the role of key macroeconomic variables (revenue growth, inflation and uncertainty). One of … Continue reading

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Les communs numériques : éléments d’économie politique

par Henri Verdier & Charles Murciano  Cet article interroge l’actualité intellectuelle et légale des communs. Plus précisément, notre travail explore la notion de commun numérique (ou informationnel) et ses spécificités au regard du concept classique de communs en théorie économique. Les … Continue reading

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The digital commons: a political and economic game-changer

by Henri Verdier and Charles Murciano This paper addresses the current intellectual and legal status of the commons. Specifically, we explore the notion of the digital (or information) commons and its specificities with regard to the classic concept of the commons … Continue reading

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