Stéphane Goutte, Nadia Oudjane, Francesco Russo For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) ...
Category Reports
Dec
2009
Variance Optimal Hedging for Continuous Time Processes with Independent Increments and Applications
in Reports
Dec
2009
Structure and Estimation of a Class of Nonstationary Yet Nonexplosive GARCH Models
in Reports
Nazim Regnard, Jean-Michel Zakoïan This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model ...
Dec
2009
Environmental Policies in an Electricity Sector: Test on the French Electricity Sector
in Reports
Corinne Chaton Marie-Laure Guillerminet Feed-in Tariffs promoting renewable energy sources and quotas of CO2 emissions have been implemented jointly in France to reduce CO2 emissions. We develop on GAMS a ...
Dec
2009
A Conditionally Heteroskedastic Model with Time-Varying Coefficients for Daily Gas Spot Prices
in Reports
Nazim Regnard, Jean-Michel Zakoïan A novel GARCH(1,1) model, with coe cients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature ...
Nov
2009
Comonotonic Measures of Multivariate Risks
in Reports
Ivar Ekeland, Alfred Galichon, Marc Henri We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves ...
Nov
2009
An Arbitrage-Free Interest Rate Model Consistent with Economic Constraints for Long-Term Asset Liability Management
in Reports
René Aïd, Olivier Féron, Nizar Touzi, Christine Vialas This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management ...
Nov
2009
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
in Reports
Arash Fahim, Nizar Touzi, Xavier Warin We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in [10], and show that it can be introduced naturally as a combination ...
Oct
2009
Market Design for Emission Trading Schemes
in Reports
René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet This paper is concerned with the mathematical analysis of emissions markets. We review the existing quantitative analyses on the subject and introduce ...
Sep
2009
L2 Density Estimation Under Constraints
in Reports
Christian Musso, Nadia Oudjane This paper presents a general methodology to estimate a probability density under linear constraints (on the support, bounded moments or quantiles,. . . ). The proposed ...
Jun
2009
A Structural Risk-Neutral Model of Electricity Prices
in Reports
René Aïd, Luciano Campi, Adrien Nguyen Huu, Nizar Touzi The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies ...
Page 8 of 9