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 ...
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 ...
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 ...
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 ...
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. ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...