The academic research of the Chaire EEM will be characterized by a plurality of approaches while remaining vigilant that the methodological standards of the best international journals (Energy Journal, Energy Policy, Energy Economics, Electricity Journal, European Review of Energy Markets ...) are respected. The problems and methods of econometrics, industrial economics, game theory and institutional economics will receive special attention in order to analyze and understand the current status and possible future trajectories of the European electricity industry.
Current Position
- Assistant Professor on Applied Mathematics and Economics - Université Paris 8.
- Associated Lecturer, Center for Research in Economic Analysis (CREA). University of Luxembourg.
Research Interests
- Mathematical finance: Hedging and Pricing in incomplete market, Mean variance hedging, Electricity market, Backward stochastic differential equations (BSDE), Regime switching, Credit risk modeling.
- Probability and Stochastic processes: Stochastic analysis and simulation. Squares Bessel Process (BESQ), Bessel bridge.
- Economic and Econometric: Simulation, modelization. Foreign exchange rate, Unemployment, Efficiency, Flexibility and Resilience of Small European Open Economies.
- Statistics: Regime switching model calibration. Datamining, (Non)-Supervised classification.
Education
PhD in Mathematic and Applied Mathematics in co-tutel with University Paris 13 et University LUISS in Rome.
Title : “Variance Optimal Hedging in incomplete market for processes with independent increments and application to electricity markets”.
Previous Position
2010-2013: Post PhD position in Centre National de la Recherche Scientifique (CNRS), Laboratoire de Probabilité et Modèles Aléatoires (LPMA), Université Paris 6 and 7.
Publications
[1] : "Variance Optimal Hedging for discrete time processes with independent increments.
Application to Electricity Markets" (2011), with Francesco Russo and Nadia Oudjane. Journal of Computational Finance, Forthcoming.
[2] : "Variance Optimal Hedging for exponential of additive processes" (2011), with Francesco Russo and Nadia Oudjane. Stochastics : An International Journal of Probability and Stochastic Processes, Forthcoming.
[3] : "Defaultable bond pricing using regime switching intensity model" (2013), with Ngoupeyou, A. Journal of Applied Mathematics and Informatics, Vol.31, No.3-4.
[4] : "About an explicit Föllmer-Schweizer decomposition for processes with independent increments with related global quadratic variance error" (2013), with Francesco Russo and Nadia Oudjane. Stochastic Analysis and Applications Vol.31, p 108-141.
[5] : "Pricing and hedging in stochastic volatility regime switching models" (2013). Journal of Mathematical Finance Vol.3, No.1.
[6] : Bessel bridges decomposition with varying dimension. Applications to finance. (2012), with Gabriel Faraud. Journal of Theoretical Probabilty. Forthcoming.
[7] : "Conditional Markov regime switching model applied to economic modelling." (2013).Economic Modelling. Forthcoming.
[8] : Continuous time regime switching model applied to foreign exchange rate (2013), with Zou,B. Mathematical Finance Letters. Forthcoming.
[9] : "Dual Optimization problem on defaultable claims" (2013), with Ngoupeyou, A. Mathematical Economics Letters, Forthcoming.
[10] : Optimization problem and mean variance hedging on defaultable Claims (2011), with Ngoupeyou, A.
[11] : Mean variance hedging under defaults risk. (2012), with Sebastien Choukroun and Armand Ngoupeyou.
[12] : Markov switching quadratic term structure models (2013).
[13] : Tobin tax and trading volume tightening : a reassessment (2014), with Olivier Damette.
The governance of the Chaire EEM will follow the framework established for all Chaires at Dauphine which is organised around the Steering Committee. The Steering Committee's responsibilities include: (1) defining of the Chaire’s research program and its further utilisation; (2) Determining the composition of the Chaire’s research team; (3) Defining and reviewing the annual budget as well as verifying the commitments of the Chaire EEM; (4) Validating the annual report on the progress of the Chaire’s work established under the responsibility of the scientific director.
Éric Fallas
Head of Studies and Applied Models, Total Direct Energie
Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon
Fabienne Salaün
Chargée de Mission, Directions Régulations, EDF
Graham Weale
Honorary Professor for Energy Economics and Politics, Faculty of Management and Economics, Ruhr Uni Bochum
Jan Horst Keppler
Scientific director of the Chaire EEM
Jérôme Pigat
Chef du Pôle Équilibre Offre-Demande Court terme, Direction R/D, RTE
Patrice Bruel
Directeur Régulation, EDF
Patrice Geoffron
Professeur d’économie, Université ParisDauphine - PSL
Philippe Vassilopoulos
Director of Product Design, EPEX Spot
Prof. David Newbery
Director Cambridge Energy Policy Research Group, Faculty of Economics
Sandra Bouscal
Director of the Foundation Paris-Dauphine
Vincent Rious
Chef du Pôle Études Économiques à la Direction de l’Économie du Système Électrique, RTE
Yannick Jacquemart
Directeur, Direction de l’Économie du Système Électrique (DiESE), RTE
In addition to the Steering Committee whose existence is specifically foreseen in the Chaire’s Partnership Agreement, the Chaire EEM will have a Scientific Council. The Scientific Council will be Chaireed by an eminent scientific authority and will unite a small number of top researchers who will develop the outlines of the research programme to be submitted to the Steering Committee. It will also ensure a high level of the methodological standards of the Chaire’s research.
Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon
Jan Horst Keppler
Scientific director of the Chaire EEM
Patrice Geoffron
Professeur d’économie, Université ParisDauphine - PSL
Prof. Alfred Voss
President of the scientific Council of the CEEM, Institute for Energy Economics (University of Stuttgart)
Prof. David Newbery
Director Cambridge Energy Policy Research Group, Faculty of Economics
Prof. Jacques Percebois
CREDEN (Université de Montpellier).
Prof. John Parsons
Centre for Energy and Environmental Policy Research (MIT),
Prof. William D’Haeseleer
University of Leuven Energy Institute
Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon
Jan Horst Keppler
Scientific director of the Chaire EEM
Michel Cruciani
Researcher
Patrice Geoffron
Professeur d’économie, Université ParisDauphine - PSL
Philippe Vassilopoulos
Director of Product Design, EPEX Spot
Sandra Bouscal
Director of the Foundation Paris-Dauphine
Vincent Rious
Chef du Pôle Études Économiques à la Direction de l’Économie du Système Électrique, RTE
Small group responsible for assuring that the articles are in compliance with the spirit and objectives of the Chaire European Electricity Markets.
Éric Fallas
Head of Studies and Applied Models, Total Direct Energie
Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon
Fabienne Salaün
Chargée de Mission, Directions Régulations, EDF
Jan Horst Keppler
Scientific director of the Chaire EEM
Jérôme Pigat
Chef du Pôle Équilibre Offre-Demande Court terme, Direction R/D, RTE
Patrice Bruel
Directeur Régulation, EDF
Patrice Geoffron
Professeur d’économie, Université ParisDauphine - PSL
Philippe Vassilopoulos
Director of Product Design, EPEX Spot
Romain Verdier
Total Power and Gas Europe - Energy Management
Vincent Rious
Chef du Pôle Études Économiques à la Direction de l’Économie du Système Électrique, RTE
Yannick Jacquemart
Directeur, Direction de l’Économie du Système Électrique (DiESE), RTE
Yannick Le Pen
Researcher
Contributing to the research.
Alexandre Coquentin
Former Research Assistant from the École des Mines de Paris
Alexis Paskoff
Ancien Assistant de recherche CEEM, École des Mines de Paris
Alvaro Alcazar Andaluz
Researcher
Amaury Testu de Balincourt
Ancien Assistant de recherche CEEM, École des Mines de Paris
Ángela Torres Corona
Phd Student
Anna Creti
Researcher
Antoine Verrier
Researcher
Arnaud Lemant
Executive Doctorate in preparation, Salarié chez EDF-Énergies nouvelles
Cédric Clastres
Researcher
Charlotte Boureau
Former Research Assistant from Université ParisDauphine - PSL
Charlotte Scouflaire
Researcher
Cyril Martin de Lagarde
Researcher
Daniel Herrera
Researcher
Dominique Finon
Researcher
Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon
Florent Cogen
Phd Student
Frédéric Gonand
Researcher
Guillaume Dezobry
Associate Professor, Université d’Amiens and Lawyer at Paris bar
Jan Horst Keppler
Scientific director of the Chaire EEM
Julie Hyun Jin Yu
Researcher
Julien Fouquau
Associate Professor, Rouen Business School
Lamine Ducard Dake
Ancien Assistant de recherche CEEM, Master Énergie Finance Carbone Paris-Dauphine - PSL
Léopold Monjoie
Phd Student
Mamadou Gueye
Researcher
Manuel Villavicencio
Researcher
María Eugenia Sanin
Assistant Professor, Université d´Evry Val d´Essonne
Maria-Juliana Suarez Forero
Phd Student
Marie Bessec
Researcher
Marie Petitet
Researcher
Marion Pichoud
Phd Student
Mauricio Cepeda
Researcher
Michel Cruciani
Researcher
Morwenna Guichoux
Researcher
Olivier Massol
Researcher
Patrice Geoffron
Professeur d’économie, Université ParisDauphine - PSL
Patricia Van Horn Florin
Independent Researcher and Energy Consultant
Pierre Bouffort
Researcher
Pierre Uginet
Researcher
Régis Bourbonnais
Assistant Professor, Université Paris-Dauphine - PSL
Romain Gaté
Researcher
Sébastien Phan
Researcher
Seungman Lee
Researcher
Stéphane Goutte
Researcher
Thao Pham
Researcher
Théo Dronne
Phd Student
William Meunier
Former Research Assistant from the École des Mines de Paris
Yannick Le Pen
Researcher
Yuanjing Li
Researcher
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