GRUET Pierre

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Affiliations
  • 2019 - 2020
    Electricité de France
  • 2019 - 2020
    Edf r & d
  • 2014 - 2015
    Université Paris Diderot
  • 2014 - 2015
    Laboratoire de probabilités et modèles aléatoires
  • 2014 - 2015
    Communauté d'universités et établissements Université Sorbonne Paris Cité
  • 2014 - 2015
    Sciences mathematiques de paris centre
  • 2012 - 2013
    Institut national de l'environnement industriel et des risques
  • 2020
  • 2019
  • 2018
  • 2015
  • 2013
  • Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets.

    Olivier FERON, Pierre GRUET
    2020
    In this paper we study the calibration of specific multi-factorial Heath-Jarrow-Morton models to electricity market prices, with a focus on the estimation of the optimal number of factors. We describe a common statistical procedure based on likelihood maximisation and Akaike / Bayesian information criteria, in the case of calibration on futures prices, as well as on both spot and futures prices. We perform a detailed analysis on 6 European markets: Belgium, France, Germany, Italy, Switzerland and UK. The results show a lot of similarities on all the markets considered, especially on the optimal number of factors equal to 5. and on the behaviour of the different factors.
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