Edouard Jaeck In this paper, I examine how financialization affects the term structure of risk premia by using an equilibrium model for commodity futures markets. I define financialization as the ...
Category Rapports
Jan
2017
Unbiased Monte Carlo estimate of stochastic differential equations expectations
in Rapports
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin We propose an unbiased Monte Carlo method to compute E(g(XT )) where g is a Lipschitz function and X an Ito process. This ...
Oct
2016
Contracting Theory with Competitive Interacting Agents
in Rapports
Romuald Elie, Dylan Possamaï In a framework close to the one developed by Holmstrom and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each ...
Sep
2016
A Non-Intrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Non-Linear Equations
in Rapports
EMMANUEL GOBET, GANG LIU, AND JORGE P. ZUBELLI Abstract. Our goal is to solve certain dynamic programming equations associated to a given Markov chain X, using a regression-based Monte Carlo algorithm. ...
Sep
2016
Pricing American options using martingale bases
in Rapports
J. Lelong In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers [2002]. Our approach relies on approximating the ...
Sep
2016
Volatility in electricity derivative markets: the Samuelson effect revisited
in Rapports
Edouard Jaeck, Delphine Lautier This article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern ...
Sep
2016
Forward Feynman-Kac Type Representation for Semilinear Nonconservative Partial Differential Equations
in Rapports
Anthony LE CAVIL, Nadia OUDJANE and Francesco RUSSO We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a nonconservative semilinear parabolic Partial Differential Equations (PDE). We show ...
Juil
2016
On the Robustness of the Snell envelope
in Rapports
Pierre Del Moral, Peng Hu, Nadia Oudjane, Bruno Remillard We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider ...
Mai
2016
Nonzero-sum Stochastic Differential Games with Impulse Controls and Applications to Retail Energy Markets
in Rapports
RR-Fime-16-05 Rene Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained ...
Avr
2016
Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities
in Rapports
RR-Fime-16-04 Erwan Pierre, Stéphane Villeneuve, Xavier Warin We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function ...
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