D. Lautier Bankers, Markets & Investors 102, pp 59-66 - Novembre 2009 Plus d'infos.

1

Nov

in Publications

D. Lautier Bankers, Markets & Investors 102, pp 59-66 - Novembre 2009 Plus d'infos.

1

Nov

in Publications

R. Aïd, L. Campi, A. Nguyen Huu, N. Touzi International Journal of Theoretical and Applied Finance 2(7) pp 925-947 - Novembre 2009 Plus d'infos.

1

Nov

in Rapports

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 (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still satisfying the no-arbitrage constraints. We describe the methodology to calibrate the model in this particular constrainted setting, i.e. to find the Read more [...]

1

Nov

in Rapports

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 of Monte Carlo and finite differences scheme without appealing to the theory of backward stochastic differential equations. Our first main result provides the convergence of the discrete-time approximation and derives a bound on the discretization error in terms of the time step. An explicit implementable scheme Read more [...]

1

Nov

in Rapports

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 an extension of the notion of comonotonicity to random vectors through generalized quantile functions. Moreover, we propose to replace the current law invari- ance, subadditivity and comonotonicity axioms by an equivalent property we call strong coherence and that we argue has more natural Read more [...]

1

Oct

in Rapports

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 some of the mathematical challenges posed by the implementation of the new phase of the European Union Emissions Trading Scheme as well as the cap-and-trade schemes touted by the US, Canada, Australia and Japan. From a practical point of view, the main thrust of the paper is the design and numerical Read more [...]

1

Sep

in Rapports

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 approximation is the projection of the free density estimation on the set of the probability densities satisfying the constraints. In some cases, the solution of this projection problem can be expressed in a simple parametric form as a function of the free density estimate. Plus d'infos. Read more [...]

1

Juin

in Rapports

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 on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at the maturity T, and on the random available capacity of each production means. Read more [...]

1

Juin

in Publications

A. Porchet, N. Touzi, X. Warin Mathematical Methods of Operations research 70(1) pp 47-75 - Juin 2009 Plus d'infos.

1

Mai

in Publications

P. Vezolle, S.Vialle, X.Warin Large-Scale Parallel Processing 2009 Mai 2009 Plus d'infos.

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