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Liquidity management with decreasing returns to scale and secured credit line

Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier - In: Finance and stochastics 20 (2016) 4, pp. 809-854

Persistent link: https://www.econbiz.de/10011569835

Variance optimal hedging with application to electricity markets

Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59

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Deep learning for efficient frontier calculation in finance

Warin, Xavier - In: The journal of computational finance 26 (2022) 1, pp. 1-36

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Valuation of power plants by utility indifference and numerical computation

Porchet, Arnaud; Touzi, Nizar; Warin, Xavier - In: Computational Statistics 70 (2009) 1, pp. 47-75

This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off times, ramp rates, or non-constant heat rates are important characteristics that can lead, if neglected, to overestimated values....

Persistent link: https://www.econbiz.de/10010847641

Valuation of power plants by utility indifference and numerical computation

Porchet, Arnaud; Touzi, Nizar; Warin, Xavier - In: Mathematical Methods of Operations Research 70 (2009) 1, pp. 47-75

Persistent link: https://www.econbiz.de/10010950062

A common shock model for multidimensional electricity intraday price modelling with application to battery valuation

Deschatre, Thomas; Warin, Xavier - In: Quantitative finance 24 (2024) 8, pp. 1157-1176

Persistent link: https://www.econbiz.de/10015196875

On conditional cuts for stochastic dual dynamic programming

Ackooij, Wim van; Warin, Xavier - In: EURO journal on computational optimization 8 (2020) 2, pp. 173-199

Persistent link: https://www.econbiz.de/10012240037

Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations

Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675

Persistent link: https://www.econbiz.de/10012518073

Deep learning for discrete-time hedging in incomplete markets

Fecamp, Simon; Mikael, Joseph; Warin, Xavier - In: The journal of computational finance 25 (2021) 2, pp. 51-85

Persistent link: https://www.econbiz.de/10012938887

Optimal dividend policy and growth option

Décamps, Jean-Paul; Villeneuve, Stéphane - In: Finance and Stochastics 11 (2007) 1, pp. 3-27

Persistent link: https://www.econbiz.de/10005390711