• 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

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