Archives

D. Lautier, F. Raynaud Physica A 390, 2009-2019 - Mars 2011 Plus d'infos.

C. Chaton, M.-L. Guillerminet chapitre dans Handbook of Sustainable energy Mars 2011 Plus d'infos.

R. Aïd, L. Campi, N. Langrené à paraître dans Mathematical Finance Mars 2011

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 to the class of optimal switching problem. On the energy market, the gaz storage management can be seen as a so called swing option [12] with some operational contraints : each day the manager of the gas storage has to decide either to inject gaz in the storage, buying it on the gas market, either to withdraw Read more [...]

M. Soner, N. Touzi et J. Zhang Probability Theory and Related Fields Février 2011 Plus d'infos.

M. Soner, N. Touzi, J. Zhang Stochastic Processes and their Applications 121(2), pp 265-287 - Février 2011 Plus d'infos.

J.-F. Chassagneux, R. Elie, I. Kharroubi Electronic Communications in Probability 16, pp 120-128 - Février 2011 Plus d'infos.

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 Differential Equations (BDSE) with constrained jumps. As an example, our method is used to price swing options. We deal with the jump contraints by a penalization procedure and apply a discrete-time backward scheme to the resulting penalized BSDE with jumps. We study the convergence of this numerical method with Read more [...]

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 a series of approximation schemes, including cut-off type approximations, Euler discretization schemes, interpolation models, quantization tree models, and the Stochastic Mesh method of Broadie-Glasserman. In each situation, we provide non asymptotic convergence estimates, including Lp-mean error Read more [...]

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 nite dimensional approximation of the innite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a finite-dimensional optimal stopping problem, which we propose to solve with a least squares Monte-Carlo approach. We analyze the theoretical convergence Read more [...]