Archives

R. Elie, I. Kharroubi Statistics and Probability letters 80 (17-18) pp 1388-1396 - Septembre 2010 Plus d'infos.

R. Carmona, M. Fehr, J. Hinz, A. Porchet SIAM Review 52, pp. 403-452 - Août 2010 Plus d'infos.

N. Regnard, J.-M. Zakoïan Journal of Time Series Analysis 31(5) pp 348–364 - Juillet 2010 Plus d'infos.

M. Soner, N. Touzi and J. Zhang soumis Juin 2010

A. Creti, B. Villeneuve soumis Juin 2010

A. Galichon International Journal on Theoretic and Applied Finance 23(4), pp 503-506 - Juin 2010 Plus d'infos.

Moahamed Ben Abdelhamid, Chaker Aloui, Corinne Chaton Given the volatility of the prices of fossil fuels and of environmental constraints, the nuclear power plants can be the least expensive solution to satisfy the demand of electricity. In this paper, we present a dynamic modeling for an optimal operational planning by considering the possibility to switch from natural gas to nuclear power. A switching options approach is applied to address an optimal power generation strategy. We show that, when Read more [...]

R. Aïd International Journal of Theoretical and Applied Finance 13(4), pp 517-535, - Mai 2010 Plus d'infos.

Bruno Bouchard, Xavier Warin The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and effciency. We also discuss several technics for the estimation of the corresponding hedging strategies. Numerical tests and comparisons, including the quantization approach, are performed. Plus Read more [...]

Bruno Bouchard, Adrien Nguyen Huu We consider a class of production-investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the no-arbitrage of the second kind condition introduced by M. Rasonyi [13]. We show that this condition implies the closedness of the set of attainable claims and is equivalent to the existence of a strictly consistent price system under which the evaluation of future production profits are strictly Read more [...]