Archives

D. Lautier, F. Raynaud soumis Septembre 2011

R. Aïd, G. Chemla, A. Porchet, N. Touzi Management Science 57 (8), 1438-1452 - Août 2011 Plus d'infos.

P. Del Moral, P. Hu, N. Oudjane, B. Rémillard SIAM Journal of Financial Mathematics 2, 587-626 - 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.

A. Fahim, N. Touzi, X. Warin Annals of Applied Probability 21 (4) 1322-1364. - Juin 2011 Plus d'infos.

J. André, J. F. Bonnans Optimization and Engineering 12(1-2), pp 175-198 - Juin 2011

R. Aïd, L. Campi, N. Langrené à paraître dans Mathematical Finance Mars 2011

C. Chaton, M.-L. Guillerminet chapitre dans Handbook of Sustainable energy Mars 2011 Plus d'infos.

D. Lautier, F. Raynaud Physica A 390, 2009-2019 - Mars 2011 Plus d'infos.

RR-FiME-11-04 Xavier WARIN Gaz storage valuation has been an intense subject of research during the recent years. This problem is related to optimal control problems [17], [15] and more precisely to the class of optimal switching problem. On the energy market, the gaz storage management can be seen as a so called swing option [12] with some operational contraints : each day the manager of the gas storage has to decide either to inject gaz in the storage, buying it on the gas market, either to withdraw Read more [...]