Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Intermittent renewable generation and network congestion: an empirical analysis of Italian Power Market.

Congestion, Electricity markets, Renewable production, Zonal prices

The economic potential of Demand Response in liberalised electricity markets – A quantitative assessment for the French power system.

Aggregator, Agrégateur, Demand Response, Effacements de Demande, Electricity markets, Incertitude, Marchés de l’électricité, Stochastic Dual Dynamic Programming, Uncertainty

Capacity payment mechanisms: an analytical assessment of contemporary experiences and lessons for future electricity market design.

Capacity remuneration, Cross-country analysis, Electricity markets, Information provision in regulation, Marché de l'électricité, Market design, Mécanismes de capacité, Précision de l'information, Regulation, Règlementation, Security of supply, Sécurité d'approvisionnement

Testing electric vehicle participation in energy markets: vehicle-to-grid (V2X) economics and battery degradation considerations.

Analyses de faisabilité économique, Ancillary Services, Economic Feasibility Analyses, Electricity Markets, Energy Economics, Marchés de l'électricité, Services auxiliaires, Vehicle-To-Anything (V2X), Vehicle-To-Grid (V2G), Véhicule a réseau (V2G), Véhicule à tout (V2X), Économie de l'énergie

Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets.

Electricity markets, Model calibration, Model selection, Power price model

Mechanism design and allocation algorithms for network markets with piece-wise linear costs and externalities.

Allocation algorithm, Auctions, Electricity markets, Fixed point, Mechanism design

Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.

Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production

Rationales for capacity remuneration mechanisms: Security of supply externalities and asymmetric investment incentives.

Asymmetric investment incentives, Capacity remuneration mechanisms, Electricity markets, Investment, Security of supply externalities, VOLL pricing

Long-term dynamics of investment decisions in electricity markets with variable renewables development and adequacy objectives.

Adéquation de capacité, Capacity adequacy, Electricity markets, Energies renouvelables, Investissements, Investments, Marchés électriques, Modélisation en System Dynamics, Renewable energy sources, System Dynamics modelling

Variance optimal hedging for continuous time additive processes and applications.

Additive processes, Electricity markets, Föllmer-Schweizer decomposition, Lévy's processes, Processes with independent increments, Variance-optimal
hedging

Hedging Expected Losses on Derivatives in Electricity Futures Markets.

Electricity markets, HJB equation, Loss control, Numerical scheme, Partial hedging, Stochastic target

Hedging Expected Losses on Derivatives in Electricity Futures Markets.

Electricity markets, HJB equation, Loss control, Numerical scheme, Partial hedging, Stochastic target