RR-FiME-12-06 Giuseppe Benedetti We analyze a principal-agent problem between the state (principal) and a firm (agent) which produces carbon emissions. In particular, the aim of the state is to motivate ...
Category Rapports
Fév
2012
On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII process
in Rapports
RR-FiME-12-05 Stéphane GOUTTE, Nadia OUDJANE, Francesco RUSSO Given a process with independent increments X (not necessarily a martingale) and a large class of square integrable r.v. H = f(XT ), ...
Fév
2012
Optimal Liquidity Management and Hedging in the Presence
in Rapports
Stéphane Villeneuve, Xavier Warin In this paper, we develop a dynamic model that captures the interaction between a firm's cash reserves, the risk management policy and the profitability of a ...
Jan
2012
A note on super-hedging for investor-producers
in Rapports
Adrien Nguyen Huu We study the situation of an investor-producer who can trade on a financial market in continuous time and can transform some assets into others by means of ...
Nov
2011
Snell Envelope with Small Probability Criteria
in Rapports
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 ...
Oct
2011
Testing the Nullity of Coefficients of a GARCH Model with Exogenously-Driven Volatility
in Rapports
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 ...
Oct
2011
Variance Optimal Hedging for Discrete Time Processes with Independent Increments. Application to Electricity Markets
in Rapports
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 ...
Mar
2011
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 ...
Fév
2011
A Finite Dimensional Approximation for Pricing Moving Average Options
in Rapports
<h3><strong><span style="color: #005d63;">M. Bernhart, P. Tankov, X. Warin</span></strong></h3> We propose a method for pricing American options whose pay-o depends on the moving average of the underlying asset price. The method ...
Fév
2011
Swing Options Valuation: a BSDE with Constrained Jumps Approach
in Rapports
M. Bernhart, H. Pham, P. Tankov, X. Warin We introduce a new of probabilistic method for solving a class of impulse control problems based on their representation as Backward Stochastic ...
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