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Structure: Internal structure identifier : 528389
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A structural risk-neutral model for pricing and hedging power derivatives

René Aïd , Luciano Campi , Nicolas Langrené
Preprints, Working Papers, ... hal-00525800v1

Arbitrage and completeness in financial markets with given N-dimensional distributions

Luciano Campi
Decisions in Economics and Finance, 2004, pp.57-80
Journal articles hal-00534279v1
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Dynamic Markov bridges motivated by models of insider trading

Luciano Campi , Umut Cetin , Albina Danilova
Stochastic Processes and their Applications, 2011, 121 (3), pp.534-567
Journal articles hal-00533936v1
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Echantillonnage de champs gaussiens de grande dimension

Olivier Feron , François Orieux , Jean-François Giovannelli
42èmes Journées de Statistique, 2010, Marseille, France, France
Conference papers inria-00494771v1
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Forward Feynman-Kac type representation for semilinear nonconservative Partial Differential Equations

Anthony Lecavil , Nadia Oudjane , Francesco Russo
Stochastics: An International Journal of Probability and Stochastic Processes, 2019, 91 (8), ⟨10.1080/17442508.2019.1594809⟩
Journal articles hal-01353757v4

Banking and back-loading emission permits

Corinne Chaton , Anna Creti , Benoît Peluchon
Energy Policy, 2015, 82, ⟨10.1016/j.enpol.2015.01.023⟩
Journal articles hal-01517406v1
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Computation and implementation of an optimal mean field control for smart charging

Adrien Seguret , Cheng Wan , Clémence Alasseur
Preprints, Working Papers, ... hal-03360851v1
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Neural networks-based algorithms for stochastic control and PDEs in finance *

Maximilien Germain , Huyên Pham , Xavier Warin
A. Capponi. and C.A. Lehalle. Machine Learning And Data Sciences For Financial Markets: A Guide To Contemporary Practices, Cambridge University Press, In press
Book sections hal-03115503v2
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Deep backward schemes for high-dimensional nonlinear PDEs

Côme Huré , Huyên Pham , Xavier Warin
Mathematics of Computation, 2020, 89 (324), pp.1547-1579. ⟨10.1090/mcom/3514⟩
Journal articles hal-02005362v2
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Fouling of Steam Generator Tubes in Nuclear Power Plants : Investigation on the Preventive Effect of Polyacrylic Acid on Iron Oxides Deposition

Marion Roy , Ricardo d'Angelo , Dominique You , Sophie Delaunay , Thierry Pauporte , et al.
NPC 2016 - 20th International Nuclear Plant Chemistry Conference, Oct 2016, Brighton, United Kingdom
Conference papers cea-02442333v1
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Hedging Expected Losses on Derivatives in Electricity Futures Markets

Adrien Nguyen Huu , Nadia Oudjane
Commodities, Energy and Environmental Finance, 74, Springer, 2015, Fields Institute Communications, 978-1-4939-2733-3
Book sections hal-00940327v1
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Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

Anthony Le Cavil , Nadia Oudjane , Francesco Russo
ALEA : Latin American Journal of Probability and Mathematical Statistics, 2016, 13, pp.1189-1233. ⟨10.30757/ALEA.v13-43⟩
Journal articles hal-01241701v2
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A Quantization Procedure for Nonlinear Pricing with an Application to Electricity Markets

Quentin Jacquet , Wim van Ackooij , Clémence Alasseur , Stéphane Gaubert
Preprints, Working Papers, ... hal-04052232v1

A note on completeness and extremality for financial markets with infinitely many assets

Luciano Campi
Rendiconti del Seminario Matematico della Università di Padova, 2004, 112, pp.181-198
Journal articles hal-00534276v1

Multidimensional Management and Analysis of Quality Measures for CRM Applications

Veronika Peralta , Virgine Thion-Goasdoué , Zoubida Kedad , Laure Berti-Équille , Isabelle Comyn-Wattiau , et al.
14th International Conference on Information Quality, 2009, Postdam, Germany
Conference papers hal-01024112v1
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A decentralized algorithm for a Mean Field Control problem of Piecewise Deterministic Markov Processes

Adrien Seguret , Thomas Le Corre , Nadia Oudjane
Preprints, Working Papers, ... hal-03910622v1
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Rate of convergence for particle approximation of PDEs in Wasserstein space *

Maximilien Germain , Huyên Pham , Xavier Warin
Journal of Applied Probability, In press, 59 (4)
Journal articles hal-03154021v3
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Robust Operator Learning to Solve PDE

Carl Remlinger , Joseph Mikael , Romuald Elie
Preprints, Working Papers, ... hal-03599726v2
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Adaptive Conformal Predictions for Time Series

Margaux Zaffran , Olivier Féron , Yannig Goude , Julie Josse , Aymeric Dieuleveut
PMLR 2022 - Proceedings of Machine Learning Research, Jul 2022, Baltimor - Maryland, United States
Conference papers hal-03573934v2

Optimal Electricity Demand Response Contracting with Responsiveness Incentives

René Aïd , Dylan Possamaï , Nizar Touzi
Mathematics of Operations Research, 2022
Journal articles hal-03670395v1
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A note on super-hedging for investor-producers

Adrien Nguyen Huu
Mathematics and Financial Economics, 2013, 7 (3), pp.341--357. ⟨10.1007/s11579-012-0080-7⟩
Journal articles hal-00653982v3
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A simple city equilibrium model with an application to teleworking

Yves Achdou , Guillaume Carlier , Quentin Petit , Daniela Tonon
Preprints, Working Papers, ... hal-03737457v1
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Multivariate utility maximization with proportional transaction costs and random endowment

Giuseppe Benedetti , Luciano Campi
Preprints, Working Papers, ... hal-00586377v1
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A note on market completeness with American put options

Luciano Campi
Preprints, Working Papers, ... hal-00566235v1
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Stochastic Primal Dual Hybrid Gradient Algorithm with Adaptive Step-Sizes

Antonin Chambolle , Claire Delplancke , Matthias J Ehrhardt , Carola-Bibiane Schönlieb , Junqi Tang
Preprints, Working Papers, ... hal-03927644v2

Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption

Luciano Campi , Alessandro Sbuelz
Risk letters, 2005, 1 (3)
Journal articles hal-00534284v1
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Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Anthony Le Cavil , Nadia Oudjane , Francesco Russo
Stochastics and Partial Differential Equations: Analysis and Computations, 2017, 5 (1), Stochastics and partial differential equations: Analysis and Computation., vol. 5 (1), pp. 1-37, Springer-Verlag, mar, 2017. ⟨10.1007/s40072-016-0079-9⟩
Journal articles hal-01241704v2
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Numerical approximation of BSDEs using local polynomial drivers and branching processes

Bruno Bouchard , Xiaolu Tan , Xavier Warin , Yiyi Zou
Monte Carlo Methods and Applications, 2017, 23 (4), pp.241-263. ⟨10.1515/mcma-2017-0116⟩
Journal articles hal-01419981v2

Optimal dynamic regulation of carbon emissions market

René Aïd , Sara Biagini
Mathematical Finance, 2022, 33 (1)
Journal articles hal-03959198v1
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An Extended Mean Field Game for Storage in Smart Grids

Anis Matoussi , Clémence Alasseur , Imen Ben Taher
Preprints, Working Papers, ... hal-01740707v1