Browsing Chaire Finance et développement durable - Approches quantitatives by Title

Now showing items 13-32 of 34

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

Guéant, Olivier (2011) Document de travail / Working paper
GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation

Zakoïan, Jean-Michel; Regnard, Nazim (2008) Document de travail / Working paper
Large liquidity expansion of super-hedging costs

Possamaï, Dylan; Soner, Halil Mete; Touzi, Nizar (2012) Article accepté pour publication ou publié
Long Term Risk

Scheinkman, José (2008-03) Document de travail / Working paper
Long Term Risk : An Operator Approach

Hansen, Lars Peter; Scheinkman, José (2008) Article accepté pour publication ou publié
Market Design for Emission Trading Schemes

Carmona, René; Fehr, Max; Hinz, Juri; Porchet, Arnaud (2010) Article accepté pour publication ou publié
Mean Field Games

Lions, Pierre-Louis; Lasry, Jean-Michel (2007) 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
Natural and Industrial Disasters : Land Use and Insurance

Grislain-Letrémy, Céline; Villeneuve, Bertrand (2011) Document de travail / Working paper
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
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
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
Optimal Portfolio Liquidation with Limit Orders

Guéant, Olivier; Lehalle, Charles-Albert; Tapia, Joaquin Fernandez (2011) Document de travail / Working paper
Privately Optimal Securitization and Publicly Suboptimal Risk Sharing

Chemla, Gilles; Hennessy, Christopher A. (2011) Communication / Conférence
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

Fahim, Arash; Touzi, Nizar; Warin, Xavier (2011) Article accepté pour publication ou publié
Statistical properties of derivatives: a journey in term structures

Raynaud, Franck; Lautier, Delphine (2011) Article accepté pour publication ou publié
Stochastic target problems with controlled loss

Bouchard, Bruno; Elie, Romuald; Touzi, Nizar (2009) 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
Sustainable Development Fund

Gouriéroux, Christian (2007) Document de travail / Working paper
The VaR at Risk

Galichon, Alfred (2010) Article accepté pour publication ou publié