Archives

1
Sep

Systemic risk in derivative markets: A graph-theory analysis

D. Lautier, F. Raynaud soumis Septembre 2011

1
Août

Hedging and Vertical integration in electricity market- RR-FiME-09-01

R. Aïd, G. Chemla, A. Porchet, N. Touzi Management Science 57 (8), 1438-1452 - Août 2011 Plus d'infos.

1
Août

On the Robustness of the Snell envelope- RR-FiME-11-03

P. Del Moral, P. Hu, N. Oudjane, B. Rémillard SIAM Journal of Financial Mathematics 2, 587-626 - Août 2011 Plus d'infos.

1
Juil

Application of convex lexicographical optimization to the balance of GRTgaz gas grid,

S. Adam, J.F. Bonnans, R. Paraisy, S. Veyrat Journal of Global Optimization 49(3), pp 415-423 - Juillet 2011 Plus d'infos.

1
Juin

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs- RR-FiME-09-05

A. Fahim, N. Touzi, X. Warin Annals of Applied Probability 21 (4) 1322-1364. - Juin 2011 Plus d'infos.

1
Juin

Optimal structure of gas transmission networks

J. André, J. F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Juin 2011

1
Mar

A structural risk-neutral model for pricing and hedging power derivatives

R. Aïd, L. Campi, N. Langrené à paraître dans Mathematical Finance Mars 2011

1
Mar

Environmental Policies in an Electricity Sector: Test on the French Electricity Sector

C. Chaton, M.-L. Guillerminet chapitre dans Handbook of Sustainable energy Mars 2011 Plus d'infos.

1
Mar

Statistical properties of derivatives: A journey in term structures

D. Lautier, F. Raynaud Physica A 390, 2009-2019 - Mars 2011 Plus d'infos.

1
Mar

Gas storage hedging

RR-FiME-11-04 Xavier WARIN Gaz storage valuation has been an intense subject of research during the recent years. This problem is related to optimal control problems [17], [15] and more precisely ...

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