D. Lautier, F. Raynaud Physica A 390, 2009-2019 - Mars 2011 Plus d'infos.
Archives
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
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
Gas storage hedging
in Reports
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 ...
1
Feb
Wellposedness of second order backward SDEs
in Publications
M. Soner, N. Touzi et J. Zhang Probability Theory and Related Fields Février 2011 Plus d'infos.
1
Feb
Stochastic representation of G-martingales
in Publications
M. Soner, N. Touzi, J. Zhang Stochastic Processes and their Applications 121(2), pp 265-287 - Février 2011 Plus d'infos.
1
Feb
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
in Publications
J.-F. Chassagneux, R. Elie, I. Kharroubi Electronic Communications in Probability 16, pp 120-128 - Février 2011 Plus d'infos.
1
Feb
Swing Options Valuation: a BSDE with Constrained Jumps Approach
in Reports
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 ...
1
Feb
On the Robustness of the Snell envelope
in Reports
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 ...
1
Feb
A Finite Dimensional Approximation for Pricing Moving Average Options
in Reports
M. Bernhart, P. Tankov, X. Warin We propose a method for pricing American options whose pay-o depends on the moving average of the underlying asset price. The method uses a ...
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