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pro vyhledávání: '"Deschatre, Thomas"'
Autor:
Deschatre, Thomas, Warin, Xavier
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. This model, based on Poisson measures and inspired by the Com
Externí odkaz:
http://arxiv.org/abs/2307.16619
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their ability to
Externí odkaz:
http://arxiv.org/abs/2103.16918
Autor:
Deschatre, Thomas, Gruet, Pierre
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity, random jump si
Externí odkaz:
http://arxiv.org/abs/2103.07407
Autor:
Deschatre, Thomas
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of c
Externí odkaz:
http://arxiv.org/abs/2101.03041
Autor:
Deschatre, Thomas, Mikael, Joseph
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. The method models directly the policy and does not need the derivation of a d
Externí odkaz:
http://arxiv.org/abs/2001.11247
Autor:
Deschatre, Thomas
Cette thèse traite de problèmes de dépendance entre processus stochastiques en temps continu. Ces résultats sont appliqués à la modélisation et à la gestion des risques des marchés de l'électricité.Dans une première partie, de nouvelles c
Externí odkaz:
http://www.theses.fr/2017PSLED034/document
Akademický článek
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Autor:
Deschatre, Thomas
We consider a doubly stochastic Poisson process with stochastic intensity $\lambda_t =n q\left(X_t\right)$ where $X$ is a continuous It\^o semimartingale and $n$ is an integer. Both processes are observed continuously over a fixed period $\left[0,T\r
Externí odkaz:
http://arxiv.org/abs/1811.11614
Autor:
Deschatre, Thomas
We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of admissible
Externí odkaz:
http://arxiv.org/abs/1601.04546
Autor:
Deschatre, Thomas1 (AUTHOR), Gruet, Pierre1 (AUTHOR) pierre.gruet@edf.fr
Publikováno v:
Applied Mathematical Finance. Sep2022, Vol. 29 Issue 4, p227-260. 34p.
