M. Soner, N. Touzi, J. Zhang à paraître dans Electronic Journal of Probability Décembre 2011
Archives
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Déc
Swing options valuation: a BSDE with constrained jumps approach
in Publications
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
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Nov
An arbitrage-free interest rate model, consistent with economic constraints for long-term asset liability management - RR-FiME-09-06
in Publications
R. Aïd, O. Féron, N. Touzi, C. Vialas à paraître dans Bankers, Markets & Investors Novembre 2011 Plus d'infos.
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Nov
Snell Envelope with Small Probability Criteria
in Rapports
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 a small probability or a rare event. This new approach combines the Stochastic Mesh approach of Broadie and Glasserman with a particle approximation scheme based on a specific change of measure designed to concentrate the computational effort in regions pointed out by the criteria. The theoretical analysis of this Read more [...]
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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
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Oct
Estimation of Covariance Matrices Based on Hierarchical Inverse-Wishart Priors
in Publications
M. Bourriga, O. Féron soumis Octobre 2011
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Oct
Gas Release and Transport Capacity Investment as Instruments to Foster Competition in Gas Markets
in Publications
C. Chaton, F. Gasmi, M.-L. Guillerminet, J. D. Oviedo soumis Octobre 2011
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Oct
L2 density estimation under constraints- RR-FiME-09-03
in Publications
N. Oudjane, F. Russo à paraître dans ESAIM Octobre 2011
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Oct
Testing the Nullity of Coefficients of a GARCH Model with Exogenously-Driven Volatility
in Rapports
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 coefficients may be null. The QMLE is shown to be consistent. Its asymptotic distribution is a projection of a normal vector distribution onto a convex cone. Furthermore, the QMLE is shown to converge to its asymptotic distribution locally uniformly. We then consider the Read more [...]
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Oct
Variance Optimal Hedging for Discrete Time Processes with Independent Increments. Application to Electricity Markets
in Rapports
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 [...]
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