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A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

Pham, Huyên; Langrené, Nicolas; Kharroubi, Idris - Université Paris-Dauphine (Paris IX) - 2014

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems...

Persistent link: https://www.econbiz.de/10011072311

A theory of bond portfolios

Ekeland, Ivar; Taflin, Erik - Université Paris-Dauphine (Paris IX) - 2005

general utility functions, under a condition of no-arbitrage in the zero-coupon market. A mutual fund theorem is proved, in …

Persistent link: https://www.econbiz.de/10011166342

Financial Markets Equilibrium with Heterogeneous Agents

Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Persistent link: https://www.econbiz.de/10010708121

Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization

Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - Université Paris-Dauphine (Paris IX) - 2011

In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

Persistent link: https://www.econbiz.de/10010764081

Energy Risk Management with Carbon Assets

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2009

This article proposes a mean-variance optimisation and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylised exercise, we compute returns, standard deviations and correlations for various...

Persistent link: https://www.econbiz.de/10011072739

The number of securities giving the maximum return in the presence of transaction costs

Lajili, Souad; Rakotondratsimba, Yves - Université Paris-Dauphine (Paris IX) - 2008

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...

Persistent link: https://www.econbiz.de/10010748209

Option pricing with a dynamic fat-tailed model

Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2014

has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various … model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the …

Persistent link: https://www.econbiz.de/10011115231

Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine (Paris IX) - 2012

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that … as an indispensable “technical” hypothesis in previous papers on hedging (super-replication) of contingent claims under …

Persistent link: https://www.econbiz.de/10011073059

Investment and arbitrage opportunities with short sales constraints

Jouini, Elyès; Carassus, Laurence - Université Paris-Dauphine (Paris IX) - 1998

absence of arbitrage opportunities is equivalent to the existence of a discount rate such that the net present value of all …

Persistent link: https://www.econbiz.de/10011073130

Arbitrage and state price deflators in a general intertemporal framework

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …

Persistent link: https://www.econbiz.de/10011073862