1 citations · 1 across the 5 of their papers we have counts for
6 papers
A non-local estimator for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We consider the problem of estimating the parameters of a non-stationary Hawkes process with time-dependent reproduction rate and baseline intensity. Our approach relies on the sta…
Some limit theorems for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties…
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…
Efficient volatility estimation in a two-factor model
Olivier Féron, Pierre Gruet, Marc Hoffmann
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility…
An optimal trading problem in intraday electricity markets
René Aïd, Pierre Gruet, Huyên Pham
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random resi…