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Denis Mazieres

PhD Mathematics

 

Research interests:

• Approximation theory applied to Radial Basis Functions (RBF) , Tensor of  Basis Functions (TBF) and Hybrid TBF-RBF

• Tensor algebra and spaces

• Valuation in energy market: Gas storage, gas swing contract, basket and multi-spread options...

Working paper:

"Tensor product of compactly supported basis functions: convergence order and reduction in computing time" with Simon Hubbert.

"A Radial Basis Function Approach to Gas Storage Valuation" with Alexander Boogert, submitted to the Journal of Energy Markets, Nov. 2011. Mazieres_Boogert_RBF_GasStorage.pdf

Speaker/Participant:

Speaker at the ESE Energy & Finance Conference, Oct. 2011, Rotterdam. Title:"A Radial Basis Function Approach to Gas Storage Valuation"

Participant at the INREC, Mar. 2012, Essen. Title:"A Radial Basis Function Approach to Gas Storage Valuation in High Dimensions "

Speaker at the SIAM Conference on  Financial Mathematics & Engineering, Jul. 2012, Minneapolis. Title:" A Kernel Based Approach to Gas Storage and Swing Contracts Valuations in High Dimensions"

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