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Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Rongju Zhang
,
Nicolas Langrené
,
Yu Tian
,
Zili Zhu
,
Fima Klebaner
,
et al.
Article dans une revue
hal-02909207v1
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Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo
,
Nicolas Langrené
,
Gregoire Loeper
,
Wei Ning
2020
Pré-publication, Document de travail
hal-02910261v1
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Probabilistic numerical methods for high-dimensional stochastic control and valuation problems on electricity markets
Nicolas Langrené
Computational Finance [q-fin.CP]. Université Paris-Diderot - Paris VII, 2014. English. ⟨NNT : ⟩
Thèse
tel-00957948v2
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Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Rongju Zhang
,
Nicolas Langrené
,
Yu Tian
,
Zili Zhu
,
Fima Klebaner
,
et al.
Article dans une revue
hal-02909342v1
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Accounting for tailings dam failures in the valuation of mining projects
Margaret Armstrong
,
Nicolas Langrené
,
Renato Petter
,
Wen Chen
,
Carlos Petter
Article dans une revue
hal-02909376v1
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STochastic OPTimization library in C++
Hugo Gevret
,
Nicolas Langrené
,
Jérôme Lelong
,
Rafael D Lobato
,
Thomas Ouillon
,
et al.
[Research Report] EDF Lab. 2018
Rapport
hal-01361291v11
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A probabilistic numerical method for optimal multiple switching problems in high dimension
René Aïd
,
Luciano Campi
,
Nicolas Langrené
,
Huyên Pham
2012
Pré-publication, Document de travail
hal-00747229v1
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A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Idris Kharroubi
,
Nicolas Langrené
,
Huyên Pham
2013
Pré-publication, Document de travail
hal-00905899v1
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Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Achref Bachouch
,
Côme Huré
,
Nicolas Langrené
,
Huyen Pham
Methodology and Computing in Applied Probability, In press
Article dans une revue
hal-01949221v3
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Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
Qinwen Zhu
,
Gregoire Loeper
,
Wen Chen
,
Nicolas Langrené
Article dans une revue
hal-02910724v2
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Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Idris Kharroubi
,
Nicolas Langrené
,
Huyên Pham
Article dans une revue
hal-00905416v3
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A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization
I. Kharroubi
,
N. Langrené
,
H. Pham
Monte Carlo Methods and Applications, 2014, 20 (2), pp.145-165
Article dans une revue
hal-01019472v1
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Deep neural network for optimal retirement consumption in defined contribution pension system
Wen Chen
,
Nicolas Langrené
2020
Pré-publication, Document de travail
hal-02909818v1
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Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model
Nicolas Langrené
,
Geoffrey Lee
,
Zili Zhu
Article dans une revue
hal-02909113v1
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Fast and stable multivariate kernel density estimation by fast sum updating
Nicolas Langrené
,
Xavier Warin
Article dans une revue
hal-02909366v1
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Dynamic volatility management: from conditional volatility to realized volatility
Rongju Zhang
,
Nicolas Langrené
,
Yu Tian
,
Zili Zhu
Article dans une revue
hal-02909380v1
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A structural risk-neutral model for pricing and hedging power derivatives
René Aïd
,
Luciano Campi
,
Nicolas Langrené
2010
Pré-publication, Document de travail
hal-00525800v1
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Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
Côme Huré
,
Huyên Pham
,
Achref Bachouch
,
Nicolas Langrené
Article dans une revue
hal-01949213v2
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Dynamic constraints for aggregated units: formulation and application
Nicolas Langrené
,
Wim van Ackooij
,
Frédéric Bréant
Article dans une revue
hal-02909396v1
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Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
Nicolas Langrené
,
Xavier Warin
2020
Pré-publication, Document de travail
hal-02910373v1
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A structural risk-neutral model for pricing and hedging power derivatives
R. Aïd
,
L. Campi
,
N. Langrené
Article dans une revue
istex
hal-00938253v1
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A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
R. Aid
,
L. Campi
,
N. Langrené
,
H. Pham
SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.191-231
Article dans une revue
hal-01025760v1
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