Category Rapports

RR-FiME-13-03 Giuseppe Benedetti, Luciano Campi We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to ...

RR-FiME-13-02 Adrien Nguyen Huu We attempt to formalize a randomization procedure undertaken in pre-emptive real option games without simultaneous investment. This allows to propose a unified treatment of both real ...

RR-FIME-13-01 Corinne CHATON, Anna CRETI, Benoît PELUCHON In this article we focus on carbon price dynamics, more specfically the impact of a policy envisaged by the European Commission to increase ...

RR-FiME-12-07 René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve ...

RR-FiME-12-04 Carmine De Franco, Peter Tankov, Xavier Warin We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using ...

R. Aïd This paper provides an introduction to optimal investment rules in electricity generation. It attempts to bring together methods commonly used in practice to assess electricity generation investments as ...

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 ...

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 ), ...

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 ...

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 ...