In this paper, we propose a general methodology to analyse model risk for discount bond options within a unified Heath, Jarrow, Morton (1992) framework. We illustrate its applicability by focusing on the hedging of discount bond options and options portfolios. We show how to decompose the...

In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...

In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying \co2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...

We construct a confined Langevin type process aimed to satisfy a mean no-permeability condition at the boundary. This Langevin process lies in the class of conditional McKean Lagrangian stochastic models studied by Bossy, Jabir and Talay (2010) [5]. The confined process considered here is a...

In this paper we present two parallel Monte Carlo based algorithms for pricing multi-dimensional Bermudan/American options. First approach relies on computation of the optimal exercise boundary while the second relies on classification of continuation and exercise values. We also evaluate the...

[eng] Insurance-Company Risk Connected with Life-Insurance Contracts . by Christophe Berthelot, Mireille Bossy and Nathalie Pistre . Life-insurance contracts in francs are in fact capitalisation contracts which provide a return with the dual advantage of offering a guaranteed rate and benefiting...