Aïd René - CV

LEDa

Aïd René

Professeur des universités

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Biographie

Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015, René Aid was before EDF R&D research-engineer in financial economics of energy markets and then manager, before becoming Deputy-Director of EDF R&D Research department on generation and financial risk management. He cofounded and managed the Finance for Energy Markets Research Initiative, which received the AEF 2014 award of the best enterprise - university research initiative. He is specialized in energy markets and worked at the frontier of economics and mathematics.

Publications

Articles

Aïd R., Basei M., Pham H. (2019), A McKean-Vlasov approach to distributed electricity generation development, Mathematical Methods of Operations Research, p. 1-42

Aïd R., Bernal F., Mnif M., Zabaljauregui D., Zubelli J. (2019), A policy iteration algorithm for non-zero sum stochastic impulse games, ESAIM: Proceedings and Surveys, vol. 65, n°CEMRACS 2017, p. 27 - 45

Aïd R., Basei M., Callegaro G., Campi L., Vargiolu T. (2019), Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications, Mathematics of Operations Research

Aïd R., Li L., Ludkovski M. (2017), Capacity Expansion Games with Application to Competition in Power Generation Investments, Journal of Economic Dynamics & Control, vol. 84, p. 31

Aïd R., Gruet P., Pham H. (2016), An optimal trading problem in intraday electricity markets, Mathematics and Financial Economics, vol. 10, p. 49-85

Aïd R., Federico S., Pham H., Villeneuve B. (2015), Explicit investment rules with time to built and uncertainty, Journal of Economic Dynamics & Control, vol. 51, p. 240-256

Aïd R., Campi L., Langrené N., Pham H. (2014), A probabilistic numerical method for optimal multiple switching problem in high dimension, SIAM Journal on Financial Mathematics, vol. 5, n°1, p. 191–231

Aïd R., Campi L., Langrené N. (2012), A structural risk-neutral model for pricing and hedging electricity derivatives, Mathematical Finance, vol. 23, n°3, p. 387-438

Aïd R., Chemla G., Porchet A., Touzi N. (2011), Hedging and Vertical Integration in Electricity Markets, Management Science, vol. 57, n°8, p. iv-1509

Aïd R., Campi L., Nguyen Huu A., Touzi N. (2009), A structural risk-neutral model of electricity prices, International Journal of Theoretical and Applied Finance, vol. 12, n°7, p. 925-947

Chapitres d'ouvrage

Aïd R., Campi L., Lautier D. (2019), A model on the spot-futures no-arbitrage relations in commodity markets, in J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji, Financial Mathematics, Volatility and Covariance Modelling Routledge , p. 170-190

Aïd R., Ben Tahar I. (2015), Transition to electric mobility: an optimal subsidy price rule, in Aïd R., Ludkovski M., Sircar R., Commodities, Energy and Environmental Finance. Fields Institute Communications, vol 74 Springer, p. 301-313|

Aïd R. (2013), A review of optimal investment rules in electricity generation, in Benth F., Kholodnyi V., Laurence P., Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets Springer, p. 3-40

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