Innovative mathematical tools for the benefit of the energy transition

“Heat domes” in western Canada, as well as in Maghreb and in the Iberian Peninsula; torrential floods in Europe (Germany, Belgium, Netherlands...): recent news reminds us of the destructive nature, on the human and material level, of these extreme weather events.
Although the links between this or that particular phenomenon and climate change have not been formally established, it is now clear that this global imbalance, linked to the accumulation of greenhouse gases (GHGs) in the atmosphere, increases the frequency of these extreme phenomena.

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These recent events also remind us of the urgent need to act to reduce emissions and adapt our societies to this new climate regime, characterized by greater uncertainty. Recent actions include the ambitious plan presented by the European Commission on 14 July last year by the European Commission to significantly reduce GHG emissions by 2030, including a strengthening of the carbon market and a carbon tax at the borders of the European Union. Two days later, China officially launched its CO2 quota exchange, which will become — in volume — the first in the world.
Beyond political promises and the growing involvement of companies in what is akin to the “fight of the century”, scientific research must be at the heart of discussions and make its voice heard. As such, researchers from the Finance and Sustainable Development (FDD) chair and the research initiative Laboratoire de Finance des Marches de l'Energie (FiME) have been working, for 15 years, on topics related to the energy and ecological transition.
This scientific work involves both academic researchers and engineers. This original mode of interaction creates a strong emulation to find innovative and operational solutions to the problems posed by the climate crisis.

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In this new edition of Cahiers Louis Bachelier, you will thus find an overview of the research carried out in these two excellent research programs. In the first article, the optimal carbon market policies are analyzed, following work conducted by René Aïd. In the second text, the sub-daily electricity markets are studied by Laura Tinsi.

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Then, it is the integration and optimization of renewable energies in a decentralized electrical system, which are the subject of innovative work by Nadia Oudjane.
The fourth text gives the floor to Joseph Mikael, an expert in Artificial Intelligence and Machine Learning, who gives his point of view on the growing development of these technologies in the finance of energy markets.
Then, it was Peter Tankov's turn to unveil the advances in research in green and sustainable finance, a discipline that is so important for orienting financial flows in favor of ecological transition.

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Finally, the last article discusses the work of Jean-Michel Lasry, an eminent mathematician and economist, on the effects of storage on the dynamics of oil prices.

Happy reading!

Clémence Alasseur,
Research engineer and head of the market risk management and valuation team (Osiris department)
at EDF R&D

&

Olivier Féron,
Research engineer at EDF R&D, director of the FiME Laboratory

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