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Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
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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
Persistent link: https://www.econbiz.de/10014546269
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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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