D. Lautier, F. Raynaud soumis Septembre 2011
Archives
1
Août
Hedging and Vertical integration in electricity market- RR-FiME-09-01
in Publications
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
in Publications
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,
in Publications
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
in Publications
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
in Publications
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
in Publications
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
in Publications
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
in Publications
D. Lautier, F. Raynaud Physica A 390, 2009-2019 - Mars 2011 Plus d'infos.
1
Mar
Gas storage hedging
in Rapports
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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