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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
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Liquidity risk and corporate demand for hedging and insurance
Rochet, Jean-Charles; Villeneuve, Stéphane - 2004
Persistent link: https://www.econbiz.de/10002524521
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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
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Gas storage hedging
Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 421-445). 2012
Persistent link: https://www.econbiz.de/10009577186
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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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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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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
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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