A structural risk-neutral model for pricing and hedging power derivatives
René Aïd
,
Luciano Campi
,
Nicolas Langrené
2010
Preprints, Working Papers, ...
hal-00525800v1
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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
Journal articles
hal-01353757v4
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Banking and back-loading emission permits
Corinne Chaton
,
Anna Creti
,
Benoît Peluchon
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
2021
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
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
2023
Preprints, Working Papers, ...
hal-04052232v1
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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
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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
2022
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
2022
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
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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
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
2022
Preprints, Working Papers, ...
hal-03737457v1
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Multivariate utility maximization with proportional transaction costs and random endowment
Giuseppe Benedetti
,
Luciano Campi
2011
Preprints, Working Papers, ...
hal-00586377v1
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A note on market completeness with American put options
Luciano Campi
2011
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
2023
Preprints, Working Papers, ...
hal-03927644v2
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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
Journal articles
hal-01419981v2
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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
2018
Preprints, Working Papers, ...
hal-01740707v1
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