M. Bourriga, O. Féron soumis Octobre 2011
Archives
1
Oct
Estimation of Covariance Matrices Based on Hierarchical Inverse-Wishart Priors
in Publications
1
Oct
A new adaptive Monte Carlo method for variance reduction : applications to VaR computations and option pricing
in Publications
F. Le Gland, N. Oudjane soumis Octobre 2011
1
Oct
Variance Optimal Hedging for Discrete Time Processes with Independent Increments. Application to Electricity Markets
in Reports
RR-FiME-11-10 Stéphane GOUTTE, Nadia OUDJANE, Francesco RUSSO We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the ...
1
Oct
Variance Optimal Hedging for Discrete Time Processes with Independent Increments. Application to Electricity Markets
in Reports
RR-FiME-11-10 Stéphane GOUTTE, Nadia OUDJANE and Francesco RUSSO We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, ...
1
Sep
Systemic risk in derivative markets: A graph-theory analysis
in Publications
D. Lautier, F. Raynaud soumis Septembre 2011
1
Aug
On the Robustness of the Snell envelope- RR-FiME-11-03
in Publications
P. Del Moral, P. Hu, N. Oudjane, B. Rémillard SIAM Journal of Financial Mathematics 2, 587-626 - Août 2011 Plus d'infos.
1
Aug
Hedging and Vertical integration in electricity market- RR-FiME-09-01
in Publications
R. Aïd, G. Chemla, A. Porchet, N. Touzi Management Science 57 (8), 1438-1452 - Août 2011 Plus d'infos.
1
Jul
Application of convex lexicographical optimization to the balance of GRTgaz gas grid,
in Publications
S. Adam, J.F. Bonnans, R. Paraisy, S. Veyrat Journal of Global Optimization 49(3), pp 415-423 - Juillet 2011 Plus d'infos.
1
Jun
Optimal structure of gas transmission networks
in Publications
J. André, J. F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Juin 2011
1
Jun
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs- RR-FiME-09-05
in Publications
A. Fahim, N. Touzi, X. Warin Annals of Applied Probability 21 (4) 1322-1364. - Juin 2011 Plus d'infos.
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