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A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously.
A survey of electricity spot and futures price models for risk management applications
This review presents the set of electricity price models proposed in the literature since the opening of power markets.
Electricity intraday price modeling with marked Hawkes processes
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets.
On the control of the difference between two Brownian motions: an application to energy markets modeling
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier.
Probability
Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems.
