Browsing Chaire Finance et développement durable - Approches quantitatives by Issue Date

Now showing items 1-20 of 34

Optimal Liquidity management and Hedging in the presence of a non-predictable investment opportunity

Villeneuve, Stéphane; Warin, Xavier (2014) Article accepté pour publication ou publié
Wellposedness of Second Order Backward SDEs

Zhang, Jianfeng; Touzi, Nizar; Soner, Halil Mete (2012) Article accepté pour publication ou publié
Detecting the Maximum of a Scalar Diffusion with Negative Drift

Espinosa, Gilles-Edouard; Touzi, Nizar (2012) Article accepté pour publication ou publié
Comonotonic Measures of Multivariate Risks

Ekeland, Ivar; Galichon, Alfred; Henry, Marc (2012) Article accepté pour publication ou publié
Large liquidity expansion of super-hedging costs

Possamaï, Dylan; Soner, Halil Mete; Touzi, Nizar (2012) Article accepté pour publication ou publié
Strategic Capacity Investment under Holdup Threats: The Role of Contract Length and Width

Villeneuve, Bertrand; Durand-Viel, Laure (2011) Document de travail / Working paper
Statistical properties of derivatives: a journey in term structures

Raynaud, Franck; Lautier, Delphine (2011) Article accepté pour publication ou publié
A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices

Zakoïan, Jean-Michel; Regnard, Nazim (2011) Article accepté pour publication ou publié
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Fahim, Arash; Touzi, Nizar; Warin, Xavier (2011) Article accepté pour publication ou publié
Privately Optimal Securitization and Publicly Suboptimal Risk Sharing

Chemla, Gilles; Hennessy, Christopher A. (2011) Communication / Conférence
On a mean ﬁeld game approach modeling congestion and aversion in pedestrian crowds

Wolfram, Marie-Thérèse; Lachapelle, Aimé (2011) Article accepté pour publication ou publié
Merger Remedies and Industry Restructuring: A Case for Affirmative Action

Villeneuve, Bertrand; Yanhua Zhang, Vanessa (2011) Document de travail / Working paper
Weak Dynamic Programming Principle for Viscosity Solutions

Bouchard, Bruno; Touzi, Nizar (2011) Article accepté pour publication ou publié
Dealing with the Inventory Risk

Guéant, Olivier; Lehalle, Charles-Albert; Tapia, Joaquin Fernandez (2011) Document de travail / Working paper
Optimal Portfolio Liquidation with Limit Orders

Guéant, Olivier; Lehalle, Charles-Albert; Tapia, Joaquin Fernandez (2011) Document de travail / Working paper
From infinity to one: The reduction of some mean field games to a global control problem

Guéant, Olivier (2011) Document de travail / Working paper
Natural and Industrial Disasters : Land Use and Insurance

Grislain-Letrémy, Céline; Villeneuve, Bertrand (2011) Document de travail / Working paper
Discounting the Future: the Case of Climate Change

Ekeland, Ivar (2010) Document de travail / Working paper
The VaR at Risk

Galichon, Alfred (2010) Article accepté pour publication ou publié
On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights

Touzi, Nizar; Manolarakis, Konstantinos; Crisan, Dan (2010) Article accepté pour publication ou publié