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Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity

Villeneuve, Stéphane; Warin, Xavier - In: Mathematics and financial economics 8 (2014) 2, pp. 193-227

Persistent link: https://www.econbiz.de/10010342479

Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity

Villeneuve, Stéphane; Warin, Xavier - 2012

Persistent link: https://www.econbiz.de/10009578848

Gas storage hedging

Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 421-445). 2012

Persistent link: https://www.econbiz.de/10009577186

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

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

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

Liquidity risk and corporate demand for hedging and insurance

Rochet, Jean-Charles; Villeneuve, Stéphane - 2004

Persistent link: https://www.econbiz.de/10002524521

Liquidity management and corporate demand for hedging and insurance

Rochet, Jean-Charles; Villeneuve, Stéphane - In: Journal of financial intermediation 20 (2011) 3, pp. 303-323

Persistent link: https://www.econbiz.de/10009304820

Risk-sharing or risk-taking? An incentive theory of counterparty risk, clearing and margins

Biais, Bruno; Heider, Florian; Hoerova, Marie - Toulouse School of Economics (TSE) - 2014

Derivatives activity, motivated by risk-sharing, can breed risk taking. Bad news about the risk of the asset underlying the derivative increases the expected liability of a protection seller and undermines her risk prevention incentives. This limits risk-sharing, and may create endogenous...

Persistent link: https://www.econbiz.de/10010934780