Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Asymptotic optimal valuation with asymmetric risk and applications in finance.
Asymmetric Risk, Asymptotic optimality, Electricity market, Empirical regression, Equations aux Dérivées Partielles Non-Linéaires, Marché d’électricité, Nonlinear Partial Differential Equations, Optimalité asymptotique, Risque asymétrique, Régression empirique
A power plant valuation under an asymmetric risk criterion taking into account maintenance costs.
Asymmetric risk, Cost management, Fully nonlinear PDE, Hedging, Power plant
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations.
Asymmetric risk, Fully nonlinear parabolic PDE, Hedging, Regression Monte Carlo
Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations.
Asymmetric risk, Fully nonlinear parabolic PDE, Hedging, Regression Monte Carlo