Archives

1
Dec

Swing options valuation: a BSDE with constrained jumps approach

M. Bernhart, H. Pham, P. Tankov, X. Warin à paraître dans Numerical Methods in Finance ouvrage édité par R. Carmona, P. Del Moral, P. Hu, N. Oudjane chez Springer Décembre 2011

1
Dec

Quasi-sure Stochastic Analysis through Aggregation

M. Soner, N. Touzi, J. Zhang à paraître dans Electronic Journal of Probability Décembre 2011

1
Dec

Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods - RR-FiME-10-07

B. Bouchard, X. Warin à paraître dans Numerical methods in finance Décembre 2011

1
Dec

Inference in models with multiple equilibria

A. Galichon, M. Henry Review of Economic Studies 78(4), pp 1264-1298 - Décembre 2011 Plus d'infos.

1
Dec

Energy contracts management by stochastic programming techniques

J. F. Bonnans, Z. Cen, T. Christel à paraître dans Annals of Operations Research Décembre 2011

1
Nov

Snell Envelope with Small Probability Criteria

RR-FiME-11-09 Pierre Del Moral, Peng Hu, Nadia Oudjane We present a new algorithm to compute the Snell envelope in the specific case where the criteria to optimize is associated with ...

1
Nov

An arbitrage-free interest rate model, consistent with economic constraints for long-term asset liability management - RR-FiME-09-06

R. Aïd, O. Féron, N. Touzi, C. Vialas à paraître dans Bankers, Markets & Investors Novembre 2011 Plus d'infos.

1
Oct

Testing the Nullity of Coefficients of a GARCH Model with Exogenously-Driven Volatility

RR-FiME-11-08 Nazim Regnard This paper establishes the asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of a GARCH(1,1) process with time-varying cofficients driven by an exogenous variable, when some true ...

1
Oct

L2 density estimation under constraints- RR-FiME-09-03

N. Oudjane, F. Russo à paraître dans ESAIM Octobre 2011

1
Oct

Gas Release and Transport Capacity Investment as Instruments to Foster Competition in Gas Markets

C. Chaton, F. Gasmi, M.-L. Guillerminet, J. D. Oviedo soumis Octobre 2011

Page 8 of 16