Recently added

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

An Introduction to Particle Methods with Financial Applications

Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia (2012) Chapitre d'ouvrage

Natural and Industrial Disasters : Land Use and Insurance

Grislain-Letrémy, Céline; Villeneuve, Bertrand (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

Dealing with the Inventory Risk

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

Mortality transition and differential incentives for early retirement

D'Albis, Hippolyte; Lau, Paul S.; Sanchez-Romero, Miguel (2012) Article accepté pour publication ou publié

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

A class of DCC asymmetric GARCH models driven by exogenous variables

Zakoïan, Jean-Michel (2010) 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

Detecting the Maximum of a Scalar Diffusion with Negative Drift

Espinosa, Gilles-Edouard; Touzi, Nizar (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

Wellposedness of Second Order Backward SDEs

Zhang, Jianfeng; Touzi, Nizar; Soner, Halil Mete (2012) 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

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

Privately Optimal Securitization and Publicly Suboptimal Risk Sharing

Chemla, Gilles; Hennessy, Christopher A. (2011) Communication / Conférence

Discounting the Future: the Case of Climate Change

Ekeland, Ivar (2010) Document de travail / Working paper

Strategic Capacity Investment under Holdup Threats: The Role of Contract Length and Width

Villeneuve, Bertrand; Durand-Viel, Laure (2011) Document de travail / Working paper

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

GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation

Zakoïan, Jean-Michel; Regnard, Nazim (2008) Document de travail / Working paper

Chaires d'entreprise: Recent submissions

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

An Introduction to Particle Methods with Financial Applications ﻿

Natural and Industrial Disasters : Land Use and Insurance ﻿

Optimal Portfolio Liquidation with Limit Orders ﻿

Dealing with the Inventory Risk ﻿

From infinity to one: The reduction of some mean field games to a global control problem ﻿

Mortality transition and differential incentives for early retirement ﻿

On a mean ﬁeld game approach modeling congestion and aversion in pedestrian crowds ﻿

A class of DCC asymmetric GARCH models driven by exogenous variables ﻿

Statistical properties of derivatives: a journey in term structures ﻿

Detecting the Maximum of a Scalar Diffusion with Negative Drift ﻿

Large liquidity expansion of super-hedging costs ﻿

Wellposedness of Second Order Backward SDEs ﻿

A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs ﻿

On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights ﻿

Privately Optimal Securitization and Publicly Suboptimal Risk Sharing ﻿

Discounting the Future: the Case of Climate Change ﻿

Strategic Capacity Investment under Holdup Threats: The Role of Contract Length and Width ﻿

A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices ﻿

GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation ﻿