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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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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.
Quantitative Finance, 2019, 19 (3), pp.519-532. ⟨10.1080/14697688.2018.1524155⟩
Article dans une revue hal-02909207v1
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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.
The Journal of Computational Finance, 2019, 23 (1), pp.97-127. ⟨10.21314/JCF.2019.368⟩
Article dans une revue hal-02909342v1

Accounting for tailings dam failures in the valuation of mining projects

 Margaret Armstrong , Nicolas Langrené , Renato Petter , Wen Chen , Carlos Petter
Resources Policy, 2019, 63, pp.101461. ⟨10.1016/j.resourpol.2019.101461⟩
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 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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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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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
Mathematics , 2021, 9 (5), pp.528. ⟨10.3390/math9050528⟩
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
The Annals of Applied Probability, 2015, 25 (4), pp.2301-2338. ⟨10.1214/14-AAP1049⟩
Article dans une revue hal-00905416v3

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
International Journal of Theoretical and Applied Finance, 2016, 19 (05), pp.1650031. ⟨10.1142/S021902491650031X⟩
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
Journal of Computational and Graphical Statistics, 2019, 28 (3), pp.596-608. ⟨10.1080/10618600.2018.1549052⟩
Article dans une revue hal-02909366v1

Dynamic volatility management: from conditional volatility to realized volatility

 Rongju Zhang , Nicolas Langrené , Yu Tian , Zili Zhu
Journal of Investment Strategies, 2019, ⟨10.21314/JOIS.2019.109⟩
Article dans une revue hal-02909380v1
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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
SIAM Journal on Numerical Analysis, 2021, 59 (1), pp.525-557. ⟨10.1137/20M1316640⟩
Article dans une revue hal-01949213v2
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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

Dynamic constraints for aggregated units: formulation and application

 Nicolas Langrené , Wim van Ackooij , Frédéric Bréant
IEEE Transactions on Power Systems, 2011, 26 (3), pp.1349-1356. ⟨10.1109/TPWRS.2010.2089539⟩
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

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

A structural risk-neutral model for pricing and hedging power derivatives

 R. Aïd , L. Campi , N. Langrené
Mathematical Finance, 2013, 23 (3), pp.387-438. ⟨10.1111/j.1467-9965.2011.00507.x⟩
Article dans une revue istex hal-00938253v1
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