M. Bourriga, O. Féron soumis Octobre 2011
M. Bourriga, O. Féron soumis Octobre 2011
F. Le Gland, N. Oudjane soumis Octobre 2011
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 underlying is the exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated Föllmer-Schweizer decomposition for solving the mean-variance hedging problem. In particular, we establish that decomposition explicitly, for Read more [...]
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, the underlying is the exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated Föllmer-Schweizer decomposition for solving the mean-variance hedging problem. In particular, we establish that decomposition explicitly, Read more [...]
D. Lautier, F. Raynaud soumis Septembre 2011
P. Del Moral, P. Hu, N. Oudjane, B. Rémillard SIAM Journal of Financial Mathematics 2, 587-626 - Août 2011 Plus d'infos.
R. Aïd, G. Chemla, A. Porchet, N. Touzi Management Science 57 (8), 1438-1452 - Août 2011 Plus d'infos.
S. Adam, J.F. Bonnans, R. Paraisy, S. Veyrat Journal of Global Optimization 49(3), pp 415-423 - Juillet 2011 Plus d'infos.
J. André, J. F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Juin 2011
A. Fahim, N. Touzi, X. Warin Annals of Applied Probability 21 (4) 1322-1364. - Juin 2011 Plus d'infos.