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J.-F. Chassagneux, R. Elie, I. Kharroubi Electronic Communications in Probability 16, pp 120-128 - Février 2011 Plus d'infos.

M. Soner, N. Touzi, J. Zhang Stochastic Processes and their Applications 121(2), pp 265-287 - Février 2011 Plus d'infos.

M. Soner, N. Touzi et J. Zhang Probability Theory and Related Fields Février 2011 Plus d'infos.

<h3><strong><span style="color: #005d63;">M. Bernhart, P. Tankov, X. Warin</span></strong></h3> We propose a method for pricing American options whose pay-o depends on the moving average of the underlying asset price. The method uses a nite dimensional approximation of the innite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a finite-dimensional optimal stopping problem, which we Read more [...]

M. Bernhart, H. Pham, P. Tankov, X. Warin We introduce a new of probabilistic method for solving a class of impulse control problems based on their representation as Backward Stochastic Differential Equations (BDSE) with constrained jumps. As an example, our method is used to price swing options. We deal with the jump contraints by a penalization procedure and apply a discrete-time backward scheme to the resulting penalized BSDE with jumps. We study the convergence of this numerical method with Read more [...]

P. Del Moral, N. Oudjane soumis Décembre 2010

Jean-Michel Zakoïan This paper considers Dynamic Conditional Correlations (DCC) GARCH models in which the time-varying coefficients, including the conditional correlation matrix, are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of second-order moments of these solutions. Potential applications concern Read more [...]

René Aïd, Luciano Campi, Nicolas Langrené We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in [Aïd et al., 2009]. In particular a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities Read more [...]

Pierre-Noël Giraud, Aline Sutter, Timothée Denis, Cédric Léonard As conventional oil reserves are declining, the debate on the oil production peak has become a burning issue. An increasing number of papers refer to Hubbert's peak oil theory to forecast the date of the production peak, both at regional and world levels. However, in our views, this theory lacks microeconomic foundations. Notably, it does not assume that exploration and production decisions in the oil industry depend on market Read more [...]

B. Villeneuve, V. Yanhua Zhang soumis Septembre 2010