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Clémence Alasseur, Ivar Ekeland, Romuald Élie, Nicolás Hernández Santibáñez and Dylan Possamaï We study the optimal design of electricity contracts among a population of consumers with different needs. This question is ...

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R. Aid, L. Li, M. Ludkovski We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically uctuating costs and interact through aggregate ...

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 ...