Archives

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Déc

Quasi-sure Stochastic Analysis through Aggregation

M. Soner, N. Touzi, J. Zhang à paraître dans Electronic Journal of Probability Décembre 2011

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Déc

Swing options valuation: a BSDE with constrained jumps approach

M. Bernhart, H. Pham, P. Tankov, X. Warin à paraître dans Numerical Methods in Finance ouvrage édité par R. Carmona, P. Del Moral, P. Hu, N. Oudjane chez Springer Décembre ...

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Nov

An arbitrage-free interest rate model, consistent with economic constraints for long-term asset liability management - RR-FiME-09-06

R. Aïd, O. Féron, N. Touzi, C. Vialas à paraître dans Bankers, Markets & Investors Novembre 2011 Plus d'infos.

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Nov

Snell Envelope with Small Probability Criteria

RR-FiME-11-09 Pierre Del Moral, Peng Hu, Nadia Oudjane We present a new algorithm to compute the Snell envelope in the specific case where the criteria to optimize is associated with ...

1
Oct

A new adaptive Monte Carlo method for variance reduction : applications to VaR computations and option pricing

F. Le Gland, N. Oudjane soumis Octobre 2011

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Oct

Estimation of Covariance Matrices Based on Hierarchical Inverse-Wishart Priors

M. Bourriga, O. Féron soumis Octobre 2011

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Oct

Gas Release and Transport Capacity Investment as Instruments to Foster Competition in Gas Markets

C. Chaton, F. Gasmi, M.-L. Guillerminet, J. D. Oviedo soumis Octobre 2011

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Oct

L2 density estimation under constraints- RR-FiME-09-03

N. Oudjane, F. Russo à paraître dans ESAIM Octobre 2011

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Oct

Testing the Nullity of Coefficients of a GARCH Model with Exogenously-Driven Volatility

RR-FiME-11-08 Nazim Regnard This paper establishes the asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of a GARCH(1,1) process with time-varying cofficients driven by an exogenous variable, when some true ...

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Oct

Variance Optimal Hedging for Discrete Time Processes with Independent Increments. Application to Electricity Markets

RR-FiME-11-10 Stéphane GOUTTE, Nadia OUDJANE, Francesco RUSSO We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the ...

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