WARIN Xavier


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)


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]

« 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]

« 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]

« 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,  to appear in  Monte Carlo Methods And Applications  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 fast-stable-multivariate

« 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