WARIN Xavier

1
Juil

EDF/R&D
1 avenue du Général de Gaulle
Département OSIRIS
92141 Clamart cede
Email. xavier.warin@edf.fr
Tel, Fax. 0147654184
Fonction :
Affiliation :

Domaines de recherche

  • Stochastic control
  • Finance
  • Scientific computing

Enseignement et Formation

  • Ecole Nationale Superieures de Techniques Avancées (P1991)
  • Diplome Etudes Approfondies Paris VI

Expériences professionnelles

  • 1992-1999 : Working on transport equation and diffusion equation in neutronic
  • 1999-          : Working on numerical methods in finance, stochastic optimization, scientific computing

Open Source :

The STochastic OPTimization library (StOpt)

https://gitlab.com/stochastic-control/StOpt

Parutions :

"Discrete Ordinates Methods in xy Geometry with Spatially Varying Angular Discretizations " (with G Bal) Nuclear science and engineering, vol. 127, no2, pp. 169-181 , 1997 [Publications] [1997]

"A regression-based Monte Carlo method to solve backward stochastic differential equations " (with J.P. Lemor, E Gobet) Annals of applied probability : Volume 15, Number 3, pp 2172-2202, 2005 [Publications] [2005]
icon_pdfgobetlemorwarin2-2

"Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations " (with J.P. Lemor, E Gobet) Bernoulli : Volume 12, Number 5 , pp 889-916, 2006 [Publications] [2006]
icon_pdfgobetlemorwarin1

"Distribution of a Stochastic Control Algorithm Applied to Gas Storage Valuation " (with C. Makassikis, S. Vialle) The 7th International Symposium on Signal Processing and Information Technology (ISSPIT-2007), IEEE Computer Society Press ,2007 [Publications] [2007]
icon_pdf isspit-07-it_1714-makassikis-vialle-warin

"A N-dimensional Stochastic Control Algorithm for Electricity Asset Management on PC cluster and Blue Gene Supercomputer" (with S Vialle, P Mercier) Workshop on State-of-the-Art in Scientific and Parallel Computing. NTNU, Trondheim, NorwayMay 13-16, 2008 [Publications] [2008]
icon_pdf para-2008-viallewarinmercier

"Large Scale Distribution of Stochastic Control Algorithms for Financial Applications" (with C. Makassikis, S. Vialle), PDCoF08, pages 1-8, 2008-04 [Publications] [2008]
icon_pdf pdcof-2008-makassikis-vialle-warin

"Stochastic control optimization & simulation applied to energy management: From 1-D to N-D problem distributions, on clusters, supercomputers and Grids " (with S. Vialle, C. Makassikis, and P. Mercier) Grid@Mons conference, 2008 [Publications] [2008]
icon_pdf lncs_warin_vialle_mercier

"Large Scale Experiment and Optimization of a Distributed Stochastic Control Algorithm. Application to Energy Management Problems" (with P. Vezolle, S.Vialle) Workshop on Large-Scale Parallel Processing (LSPP 2009). Friday, May 29, 2009, Rome, Italy. [Publications] [2009]
icon_pdf vezollewarinvialle_lspp_2009

"Valuation of a powerplant under production constraints and markets incompleteness " (with A. Porchet, N. Touzi) Mathematical Methods of Operations research, Volume 70, Number 1 , pp 47-75, 2009. [Publications] [2009]
icon_pdf ptwmmor

"Design and Experimentation of a Large Scale Distributed Stochastic Control Algorithm Applied to Energy Management Problems" (with S Vialle) SBN 978-953-307-121-3, InTech, August 2010 [Articles de presse] [2010]
icon_pdf chapter-mariva

"A finite dimensional approximation for pricing moving average options" (with M Bernhart, P Tankov) SIAM Journal of Financial Mathematics Vol 2, pp 989-1013, 2011 [Publications] [2011]
icon_pdf ma_options_r1

" A Probabilistic Numerical Scheme for Fully Nonlinear PDEs " (with A. Fahim, N. Touzi) The Annals of Applied Probability, Vol 21, No 4, 1322-1364 [Publications] [2011]
icon_pdf fahimtouziwarin-6avril2010

"FT-GReLoSSS a Skeletal-Based Approach towards Application Parallelization and Low-Overhead Fault Tolerance" (with C. Makassikis, S Vialle), Proceedings of the 20th International Euromicro Conference PDP, 2012 [Publications] [2012]
icon_pdfpdp2012_submission

"Hedging swing contract on gas market" [Publications] [2012]
icon_pdf swinggashedging

"Gas storage hedging" , Numerical methods in finance, Springer [Publications] [2012]
icon_pdf articlehedgingstockagegaz

Swing option valuation : a BSDE with constrainted jumps approach" (with M Bernhart, H Pham, P Tankov) ,Numerical methods in finance, Springer  [Publications] [2012]
icon_pdf swing_cjbsde_final_bptw

"Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods" (with B Bouchard) Numerical methods in finance  [Publications] [2012]
icon_pdf bouchardwarin

Adaptive sparse grids for time dependent Hamilton-Jacobi-Bellman equations in stochastic control [Publications] [2014]
icon_pdf hjb_sparse

"Optimal Liquidity management and Hedging in the presence of a non-predictable investment opportunity" (with S. Villeneuve) Mathematics and Financial Economics (2014) 8: 193-227  [Publications] [2014]
icon_pdf idei_osiris_optimalliquidity_version17122012

"Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line" with Erwan Pierre and Stéphane Villeneuve, Finance and Stochastics,October 2016, Volume 20, Issue 4, pp 809–854
icon_pdf fs14-2610-2ndeversion

"Some non monotone schemes for Hamilton Jacobi Bellman equations"  [Publications] [2015]
icon_pdf hjb_2015_02

"Numerical methods for the quadratic hedging problem in Markov models with jumps" (with C. De Franco, P. Tankov) Journal of Computational Finance,, Volume 19, Number 2  [Publications] [2015]
icon_pdf numerical_methods_for_the_quadratic_hedging_problem_in_markov_models_with_jumps_r2v3

"Some non monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control", Journal of Scientific Computing, june 2015, pp 1-26 [Publications] [2015]
icon_pdf hjb_jsc

"Numerical approximation of a cash-constrained firm value with investment opportunities" (with Erwan Pierre, Stéphane Villeneuve),  SIAM Journal on Financial Mathematics , vol 8, issue 1  [2017]
icon_pdf numericalapproximationsingular

"Branching diffusion representation of semilinear PDEs and Monte Carlo approximation" with Pierre Henry-Labordère, Nizar Touzi , Nadia Oudjane, Xiaolu Tan, to appear in Annales de l’Institut Henri Poincaré  [Publications] [2017]
icon_pdf Branching_Semilinear_rev

"Unbiased Monte Carlo estimate of stochastic differential equations expectations", with M. Doumbia and N. Oudjane, ESAIM P&S ,  21 (2017) 56-87 [Publications] [2017]
icon_pdf BranchOW2016_Final

"The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach",  [Publications] [2016] alm_publication

"Variations on branching methods for non linear PDEs" , 2017, VariationsOnBranching

"On conditional cuts for Stochastic Dual Dynamic Programming",  2017, with Wim Van-Ackooij CondCuts_SDDP_vanAckooij_Warin

"Numerical approximation of BSDEs using local polynomial drivers and branching processes" , with Bruno Bouchard, Xiaolu Tan, Yiyi Zou, 2017, Monte Carlo Methods and Applications, 2017, vol. 23, no 4, p. 241-263  BTWZ1

"Numerical approximation of general Lipschitz BSDEs with branching processes", with Bruno Bouchard, Xiaolu Tan, 2017  BTW17

"Variance optimal hedging with application to Electricity markets" 2017 varHedging

"Fast and stable multivariate kernel density estimation by fast sum updating", with Nicolas Langrené fastKDE_JCGS

"Regression Monte Carlo for microgrid management", with  Clémence Alasseur, Alexandro Balata, Sahar Ben Aziza, Aditya Maheshwari, Peter Tankov microgrid_proceedings

"Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations", with Emmanuel gobet and Isaque Pimentel paperAsymptotic

"Nesting Monte Carlo for high-dimensional Non Linear PDEs" ,MCPDE_arxiv

"Monte Carlo for high-dimensional degenerated SemiLinear and Full Non Linear PDEs", MC2PDE_Arxiv