- A Class of DCC Asymmetric GARCH Models Driven by Exogenous Variables (11/1/2010)
- A Conditionally Heteroskedastic Model with Time-Varying Coefficients for Daily Gas Spot Prices (12/1/2009)
- A Finite Dimensional Approximation for Pricing Moving Average Options (2/1/2011)
- A Non-Intrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Non-Linear Equations (9/27/2016)
- A note on super-hedging for investor-producers (1/1/2012)
- A Note on the Spot-Forward No-Arbitrage Relations in an Investment-Production Model for Commodities (12/1/2014)
- A Principal-Agent approach to study Capacity Remuneration Mechanisms - Clémence Alasseur, Heythem Farhat and Marcelo Saguan (4/21/2020)
- A Principal-Agent Problem for Emissions' Reduction (6/1/2012)
- A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs (11/1/2009)
- A Probabilistic Numerical Method for Optimal Multiple Switching Problem and Application to Investments in Electricity Generation (10/1/2012)
- A review of optimal decision rule for investment in electricity generation (7/1/2012)
- A review of optimal decision rule for investment in electricity generation (8/1/2012)
- A Simple Equilibrium Model for a Commodity Market with Spot and Futures Trades (9/1/2013)
- A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives (10/1/2010)
- A Structural Risk-Neutral Model of Electricity Prices (6/1/2009)
- An Adverse Selection Approach to Power Tarification (6/9/2017)
- An Arbitrage-Free Interest Rate Model Consistent with Economic Constraints for Long-Term Asset Liability Management (11/1/2009)
- Assessing the implementation of the Market Stability Reserve (11/13/2017)
- Avoiding Fuel Poverty through Insurance - Corinne Chaton (4/24/2019)
- Banking and Backloading Emission Permits (1/1/2013)
- Branching Diffusion Representation of Semilinear PDEs and Monte Carlo Approximation (3/1/2016)
- Capacity Expansion Games with Application to Competition in Power Generation Investments (3/2/2017)
- Comonotonic Measures of Multivariate Risks (11/1/2009)
- Competition and Environmental Policies in an Electricity Sector (1/1/2010)
- Computing Expectations for General SDE with Pure Monte Carlo Methods (1/1/2016)
- Contracting Theory with Competitive Interacting Agents (10/12/2016)
- Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach - J. Badosa, E. Gobet, M. Grangereau and D. Kim (1/17/2019)
- Deep backward multistep schemes for nonlinear PDEs and approximation error analysis - M. Germain, H. Pham & X. Warin (7/1/2020)
- Deep neural networks algorithms for stochastic control problems on finite horizon, Part 2: numerical applications - A. Bachouch, C. Huré, N. Langrené, H. Pham (1/18/2019)
- Deep neural networks algorithms for stochastic control problems on finite horizon, part I : convergence analysis - C. Hure, H. Pham, A. Bachouch and N. Langrené (1/18/2019)
- Does France Have a Fuel Poverty Trap? (1/1/2015)
- Efficient Volatility Estimation in a Two-factor Model - O. Féron, P. Gruet, and M. Hoffmann (6/27/2019)
- Environmental Policies in an Electricity Sector: Test on the French Electricity Sector (12/1/2009)
- Estimating fast mean-reverting jumps in electricity Market models - Thomas Deschatre, Olivier Féron, and Marc Hoffmann (7/23/2018)
- Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets - Olivier Féron & Pierre Gruet (7/1/2020)
- Explicit Investment Rules with Time-to-build and Uncertainty (5/1/2014)
- Fast and stable multivariate kernel density estimation by fast sum updating - N. Langrené, X. Warin (6/18/2018)
- Fast multivariate empirical cumulative distribution function with connection to kernel density estimation - Nicolas Langrené & Xavier Warin (7/1/2020)
- Forward Feynman-Kac Type Representation for Semilinear Nonconservative Partial Differential Equations (9/8/2016)
- Fuel Poverty as a Major Determinant of Perceived Health: The Case of France (6/1/2014)
- Garch (1,1) Models with Exogeneously Driven Volatility:Structure and Estimation (10/1/2008)
- Gas storage hedging (3/1/2011)
- Generation Capacity Expansion Under Long-Term Uncertainties in the Us Electric Market (12/1/2008)
- Hedging and Vertical Integration in Electricity Markets (2/1/2009)
- Hedging Expected Losses on Derivatives in Electricity Futures Markets (4/1/2014)
- Hubbert’s Oil Peak Revisited by a Simulation Model (10/1/2010)
- Information Flows across the Futures Term Structure:Evidence from Crude Oil Prices (8/1/2014)
- Integration of Commodity Derivative Markets:Has It Gone Too Far? (7/1/2014)
- L2 Density Estimation Under Constraints (9/1/2009)
- Long-Term Electricity Contract Valuation Using Rollover Hedging (4/1/2010)
- Long-Term Risk Management for Utility Companies: the Next Challenges (12/1/2008)
- Market Design for Emission Trading Schemes (10/1/2009)
- Modeling Power Generation Switch as a Real Switching Option: Nucleus Vs. Gas (6/1/2010)
- Monte Carlo for high-dimensional degenerated Semi Linear and Full Non Linear PDEs - Xavier Warin (6/18/2018)
- Monte-Carlo Valorisation of American Options: Facts and New Algorithms to Improve Existing Methods (5/1/2010)
- Nesting Monte Carlo for high-dimensional Non Linear PDEs - Xavier Warin (5/24/2018)
- Neural networks-based backward scheme for fully nonlinear PDEs - H. Pham, X. Warin (7/27/2019)
- No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs (5/1/2010)
- Nonzero-sum Stochastic Differential Games with Impulse Controls and Applications to Retail Energy Markets (5/1/2016)
- Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities (4/1/2016)
- Numerical resolution of McKean-Vlasov FBSDEs using neural networks - Maximilien GERMAIN, Joseph MIKAEL, and Xavier WARIN (12/19/2019)
- On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII process (2/1/2012)
- On the Control of the Difference between two Brownian Motions: A Dynamic Copula Approach (1/1/2016)
- On the Robustness of the Snell envelope (7/6/2016)
- Optimal electricity demand response contracting with responsiveness incentives - R. Aïd, D. Possamaï, and N. Touzi (1/18/2019)
- Optimal Liquidity Management and Hedging in the Presence (2/1/2012)
- Optimal Pits and Optimal TransportationConservative (1/1/2015)
- Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations - Emmanuel Gobet, Isaque Pimentel and Xavier Warin (6/18/2018)
- Prévention des catastrophes naturelles : viser le long terme sans attendre (1/1/2015)
- Pricing American options using martingale bases (9/27/2016)
- Privatization and Governance Regulation in Frontier Emerging Markets: the Case of Romania (2/1/2010)
- Probabilistic Representation of a Class of Non Conservative Nonlinear Partial Differential Equations (4/1/2015)
- Reaching New Lows? The Pandemic's Consequences for Electricity Markets - David Benatia (7/1/2020)
- Real Asset Valuation Based on Spot Prices: Can We Forget About Market Fundamentals? (4/1/2010)
- Real option game with a random regulator: the value of being preferred (5/1/2013)
- Regression Monte Carlo for microgrid management - C. Alasseur, A. Balata, S. Ben Aziza, A. Maheshwari, P. Tankov, and X. Warin (12/11/2018)
- Simulation of fuel poverty in France - Corinne Chaton, Alexandre Gouraud. (4/24/2019)
- Snell Envelope with Small Probability Criteria (11/1/2011)
- Some machine learning schemes for high-dimensional nonlinear PDEs - C. HURE, H. PHAM, X. WARIN (2/26/2019)
- Strategic Capacity Investment under Hold-up Threats: The Role of Contract Length and Width (2/1/2015)
- Strategic Capacity Investment under Holdup Threats: the Role of Contract Length and Width (1/1/2010)
- Strategic Storage and Market Power in the Natural Gas Market (9/1/2007)
- Stratified Regression Monte-Carlo Scheme For Semilinear PDES and BSDES with Large Scale Parallelization on GPUS (9/1/2015)
- Structure and Estimation of a Class of Nonstationary Yet Nonexplosive GARCH Models (12/1/2009)
- Swing Options Valuation: a BSDE with Constrained Jumps Approach (2/1/2011)
- Testing the Nullity of Coefficients of a GARCH Model with Exogenously-Driven Volatility (10/1/2011)
- The financialization of the term structure of risk premia in commodity markets (2/7/2017)
- Two Algorithms for the Discrete Time Approximation of Markovian Backward Stochastic Differential Equations under Local Conditions (9/1/2013)
- Unbiased Monte Carlo estimate of stochastic differential equations expectations (1/25/2017)
- Untangling systemic risk in financialized commodity markets - Julien Ling. (2/24/2019)
- Utility Indifference Valuation for Non-Smooth Payoffs with an Application to Power Derivatives (7/1/2013)
- Valuation of a Power Plant Under Production Constraints and Market Incompleteness (1/1/2007)
- Variance Optimal Hedging for Continuous Time Processes with Independent Increments and Applications (12/1/2009)
- Variance Optimal Hedging for Discrete Time Processes with Independent Increments. Application to Electricity Markets (10/1/2011)
- Variance optimal hedging with application to Electricity markets - Xavier Warin (12/11/2018)
- Volatility in electricity derivative markets: the Samuelson effect revisited (9/22/2016)