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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
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Swing options valuation : a BSDE with constrained jumps approach
Bernhart, Marie; Pham, Huyen; Tankov, Peter; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 379-400). 2012
Persistent link: https://www.econbiz.de/10009577188
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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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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
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Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications
Aleksian, Ashot; Villeneuve, Stéphane - 2025
Persistent link: https://www.econbiz.de/10015192337
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Accident risk, limited liability and dynamic moral hazard
Biais, Bruno; Mariotti, Thomas; Rochet, Jean-Charles; … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003563701
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Accident risk, limited liability and dynamic moral hazard
Biais, Bruno; Mariotti, Thomas; Rochet, Jean-Charles; … - In: 35th Seminar of the European Group of Risk and …, (pp. 1-45). 2008
Persistent link: https://www.econbiz.de/10003852075
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On a monotone dynamic approach to optimal stopping problems for continuous-time Markov chains
Miclo, Laurent; Villeneuve, Stéphane - 2019
Persistent link: https://www.econbiz.de/10012181506
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Gaussian agency problems with memory and linear contracts
Abi Jaber, Eduardo; Villeneuve, Stéphane - In: Finance and stochastics 29 (2025) 1, pp. 143-176
Persistent link: https://www.econbiz.de/10015394780
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A stochastic non-zero-sum game of controlling the debt-to-GDP ratio
Dammann, Felix; Rodosthenous, Néofytos; Villeneuve, … - 2024
Persistent link: https://www.econbiz.de/10015097460