Category Publications

May
2017

StOpt library

The whole library with headers, examples and python libs can be installed with the provided packages. Windows : ********* To use the StOpt library on windows with the python interface without compiling the library. - Install Python. Either python 2.7 or python 3.6 and numpy. We recommend to use anaconda for a single installation : ...
Jul
2016

Technology transition to electric mobility

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Jun
2012

Variance Optimal hedging for continuous time additive processes and applications

S. Goutte, N. Oudjane, F. Russo à paraître dans Journal of Computational Finance Juin 2012

Jun
2012

No arbitrage of the second kind for high production regime in discrete time production-investment models with proportional transaction costs

B. Bouchard, A. Nguyen Huu à paraître dans Mathematical Finance Juin 2012

Jun
2012

Multivariate utility maximization with proportional transaction costs and random endowment

G. Benedetti, L. Campi à paraître dans SIAM Journal on Optimization and Control Juin 2012  

Jun
2012

Joint Econometric Modeling of Spot Electricity Prices, Forward and Options

A. Monfort, O. Féron à paraître dans Journal of Financial Derivatives Juin 2012

Jun
2012

Error estimates for the logarithmic barrier method in stochastic linear quadratic optimal control problems

F. J. Bonnans, F. Silva à paraître dans Systems and Control Letters – Juin 2012

Jun
2012

Dual theory of choice with multivariate risks

A. Galichon, M. Henry à paraître dans Journal of Economic Theory Juin 2012

Jun
2012

Discrete-time Approximation of Multidimensional BSDEs with oblique reflections

J.-F. Chassagneux, R. Elie, I. Kharroubi à paraître dans Annals of Applied Probability Juin 2012 Plus d’infos.

Jun
2012

Comonotonic measures of multivariate risks

I. Ekeland, A. Galichon, M. Henry à paraître dans Mathematical Finance Juin 2012 Plus d’infos.

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