Aïd René - CV


Aïd René

Professeur des universités

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Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015. EDF R&D research-engineer in financial economics of energy markets (1998-2003) and manager (2003-2006). Co-founder and Director (2006-2013) of the Finance for Energy Markets Research Initiative, which received the AEF 2014 award of the best enterprise - university research initiative. Deputy-Director of EDF R&D Research department on generation and financial risk management (2014-2016). Plenary speaker at the SIAM Financial Mathematics & Engineering conference (2016) and at the World Congress Bachelier Finance Society (2018). Member of the Scientific Office of the Institut Louis Bachelier. Author of the monography Electricity Derivatives, Springer, 2015. Co-editor of the book Commodities, Energy and Environmental Finance, Fields Institute Communications, Springer, 2015.



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., 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., 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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