C. Chaton, M.-L. Guillerminet révision pour Enery Economics Mars 2012
Archives
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Feb
Optimal Liquidity Management and Hedging in the Presence
in Reports
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 ...
1
Feb
On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII process
in Reports
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 ), ...
1
Jan
A note on super-hedging for investor-producers
in Reports
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 ...
1
Jan
Sensitivity analysis of energy contracts by stochastic programming techniques
in Publications
J.F. Bonnans, Z. Cen, Th. Christel à paraître dans Numerical Methods in Finance Janvier 2012
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Jan
Numerical Methods in Finance
in Publications
R. Carmona, P. Del Moral, P. Hu, N. Oudjane Springer Proceedings in Mathematics Janvier 2012
1
Jan
Multivariate utility maximization with proportional transaction costs and random endowment
in Publications
G. Benedetti, L. Campi à paraître dans SIAM Journal on Optimization and Control Janvier 2012
1
Jan
Gas storage hedging
in Publications
X. Warin à paraître dans Numerical methods in finance, ouvrage édité par R. Carmona, P. Del Moral, P. Hu, N. Oudjane chez Springer Janvier 2012
1
Jan
An introduction to particle methods in finance
in Publications
R. Carmona, P. Del Moral, P. Hu, N. Oudjane in Numerical Methods in Finance, Springer Proceedings in Mathematics Janvier 2012
1
Jan
A finite dimensional approximation for pricing moving average options
in Publications
M. Bernhart, P. Tankov, X. Warin à paraître dans Journal of Financial Mathematics Janvier 2012
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