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. Maximilien Germain,​_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
  • "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, Annales de l’Institut Henri Poincaré Probabilité Statistiques , Volume 55, Number 1 (2019), 184-210.  [2019]
    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",  2019, with Wim Van-Ackooij, to appear in  EURO Journal on Computational Optimization  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, CEMRACS 2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field, ESAIM: Proceedings and Surveys, Volume 65  , p 309 - 329, (2019)  BTW17
  • "Variance optimal hedging with application to Electricity markets"   in Journal Of Computational Finance, volume 23, number 3, dec 2019  varHedging
  • "Fast and stable multivariate kernel density estimation by fast sum updating", with Nicolas Langrené, Journal of Computational and Graphical Statistics ,Volume 28, 2019 - Issue 3, Pages 596-608 , fastKDE_JCGS_final
  • "Regression Monte Carlo for microgrid management", with  Clémence Alasseur, Alexandro Balata, Sahar Ben Aziza, Aditya Maheshwari, Peter Tankov,  CEMRACS 2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field, ESAIM: Proceedings and Surveys, Volume 65 , p 46 - 67, (2019)  microgrid_proceedings_14092018
  • "Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations", with Emmanuel gobet and Isaque Pimentel,  Finance Stoch (2020). https://doi.org/10.1007/s00780-020-00428-1 ,   paperAsymptotic
  • "Nesting Monte Carlo for high-dimensional Non Linear PDEs" , Monte Carlo Methods and Applications, volume 24, issue 4, 2018 ,  MCPDE_arxiv
  • "Monte Carlo for high-dimensional degenerated SemiLinear and Full Non Linear PDEs", MC2PDE_Arxiv
  • "Machine Learning for semi linear PDEs" with  Chan-Wai-Nam, Q., Mikael, Journal of Scientific Computing, 79(3), 1667-1712,  2019, https://doi.org/10.1007/s10915-019-00908-3   Machine_Learning_and_nesting_Monte_Carlo_for_semi_linear_PDEs
  • "Some non monotone schemes for Hamilton Jacobi Bellman equations", CEMRACS 2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field, ESAIM: Proceedings and Surveys, Volume 65 , p 476 - 497 (2019)icon_pdf hjb_2018_08
  • "Some machine learning schemes for high-dimensional nonlinear PDEs", with Côme Huré and Huyên Pham, 2019,  to appear in Mathematics of computations,  BSDE_MachineLearning
  • "A power plant valuation under asymmetric risk criterion taking into acount maintenance costs", with Clémence Alasseur, Isaque Pimentel and Emmanuel Gobet, 2019 https://www.fime-lab.org/wp-content/uploads/2019/03/AssymRiskEnergy.pdf
  • "Neural networks-based backward scheme for fully nonlinear PDEs" with Maximilien Germain, Huyên Pham, 2019, 2BSDEExplictMachineLearning
  • "Numerical resolution of McKean-Vlasov FBSDEs using neuralnetworks", with Maximilien Germain, Joseph Mikael, 2019 MckeanVlassovFBDSE
  • 'Risk management with machine learning based algorithms" , with Simon Fecam and Joseph Mikael, 2019, Machine_Learning_for_Hedging_V2
  • "Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process", with Idris Kharroubi and Thomas Lim, 2020 BSDEConst
  • "Fast multivariate empirical cumulative distribution function with connection to kernel density estimation", with Nicolas Langrené, Laplacian_kernel (1)
  • "Deep backward multistep schemes for nonlinear PDEsand approximation error analysis", with Maximilien Germain and Huyên Pham Multistep