7 papers
Portfolio Decarbonization under Incomplete Carbon and Transition Information
Olivier Féron, Ruben Haalebos
We study dynamic portfolio decarbonization under incomplete information about firms' carbon intensities and the underlying transition state. The investor maximizes expected utility…
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…
Price formation and optimal trading in intraday electricity markets with a major player
Olivier Féron, Peter Tankov, Laura Tinsi
We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategic…
Price formation and optimal trading in intraday electricity markets
Olivier Féron, Peter Tankov, Laura Tinsi
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory,…
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…
Estimation of covariance matrices based on hierarchical inverse-Wishart priors
Mathilde Bouriga, Olivier Féron
This paper focuses on Bayesian shrinkage for covariance matrix estimation. We examine posterior properties and frequentist risks of Bayesian estimators based on new hierarchical in…
Bayesian segmentation of hyperspectral images
Adel Mohammadpour, Olivier Féron, Ali Mohammad-Djafari
In this paper we consider the problem of joint segmentation of hyperspectral images in the Bayesian framework. The proposed approach is based on a Hidden Markov Modeling (HMM) of t…