Simon Fecamp

Simon Fecamp joined EDF R&D in 2009 as a mid-term portfolio management researcher. His work focused on calculating optimal policies for a variety of stock (hydropower river chains, nuclear power plants, classic thermal power plants), simulating the electricity demand supply balance in France, optimizing the schedule of stops of nuclear plants. He is interested in finding algorithms of lesser complexity to solve these high dimensional problems. From September 2021 he is working on energy market risk management and electricity price modelling at EDF R&D.

Articles by Simon Fecamp

Original research

Deep learning for discrete-time hedging in incomplete markets

This paper presents several algorithms based on machine learning to solve hedging problems in incomplete markets.

07 Sep 2021