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Warin, Xavier
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Numerical methods in finance : Bordeaux, June 2010
15
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All
ECONIS (ZBW)
15
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1
Sensitivity analysis of energy contracts by stochastic programming techniques
Bonnans, J. Frédéric
;
Cen, Zhihao
;
Christel, Thibault
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 447-471)
.
2012
Persistent link: https://www.econbiz.de/10009577185
Saved in:
2
Gas storage hedging
Warin, Xavier
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 421-445)
.
2012
Persistent link: https://www.econbiz.de/10009577186
Saved in:
3
Swing option pricing by optimal exercise boundary estimation
Turboult, François
;
Youlal, Yassine
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 401-419)
.
2012
Persistent link: https://www.econbiz.de/10009577187
Saved in:
4
A practical view on valuation of multi-exercise American style options in gas and electricity markets
Wiebauer, Klaus
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 353-378)
.
2012
Persistent link: https://www.econbiz.de/10009577189
Saved in:
5
Pricing American options in an infinite activity Lévy market : Monte Carlo and deterministic approaches using a diffusion approximation
Powers, Lisa J.
;
Nešlehová, Johanna
;
Stephens, David
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 291-321)
.
2012
Persistent link: https://www.econbiz.de/10009577191
Saved in:
6
Least-squares Monte Carlo for backward SDEs
Bender, Christian
;
Steiner, Jessica
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 257-289)
.
2012
Persistent link: https://www.econbiz.de/10009577192
Saved in:
7
Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods
Bouchard, Bruno
;
Warin, Xavier
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 215-255)
.
2012
Persistent link: https://www.econbiz.de/10009577193
Saved in:
8
Optimal delaunay and Voronoi quantization schemes for pricing American style options
Pagès, Gilles
;
Wilbertz, Benedikt
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 171-213)
.
2012
Persistent link: https://www.econbiz.de/10009577194
Saved in:
9
Optimal hedging of American options in discrete time
Rémillard, Bruno
;
Hocquard, Alexandre
;
Langlois, Hugues
; …
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 145-170)
.
2012
Persistent link: https://www.econbiz.de/10009577195
Saved in:
10
Monte Carlo approximations of American options that preserve monotonicity and convexity
Del Moral, Pierre
;
Rémillard, Bruno
;
Rubenthaler, Sylvain
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 115-143)
.
2012
Persistent link: https://www.econbiz.de/10009577196
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