1 citations · 1 across the 2 of their papers we have counts for
6 papers
Electricity intraday price modeling with marked Hawkes processes
Thomas Deschatre, Pierre Gruet
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 differ…
A survey of electricity spot and futures price models for risk management applications
Thomas Deschatre, Olivier Féron, Pierre Gruet
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 ri…
On the control of the difference between two Brownian motions: an application to energy markets modeling
Thomas Deschatre
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 corre…
Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing
Thomas Deschatre, Joseph Mikael
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 met…
Local polynomial estimation of the intensity of a doubly stochastic Poisson process with bandwidth selection procedure
Thomas Deschatre
We consider a doubly stochastic Poisson process with stochastic intensity where is a continuous Itô semimartingale and is an integer. Both proces…
Estimating fast mean-reverting jumps in electricity market models
Deschatre Thomas, Féron Olivier, Hoffmann Marc
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itô semimartingale and a a mean-reverting com…