Category Publications

Aug
2011

Hedging and Vertical integration in electricity market- RR-FiME-09-01

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

Jul
2011

Application of convex lexicographical optimization to the balance of GRTgaz gas grid,

S. Adam, J.F. Bonnans, R. Paraisy, S. Veyrat Journal of Global Optimization 49(3), pp 415-423 - Juillet 2011 Plus d'infos.

Jun
2011

Optimal structure of gas transmission networks

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

Jun
2011

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs- RR-FiME-09-05

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

Mar
2011

Statistical properties of derivatives: A journey in term structures

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

Mar
2011

Environmental Policies in an Electricity Sector: Test on the French Electricity Sector

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

Mar
2011

A structural risk-neutral model for pricing and hedging power derivatives

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

Feb
2011

Wellposedness of second order backward SDEs

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

Feb
2011

Stochastic representation of G-martingales

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

Feb
2011

A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

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

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