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).


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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

Longevity risk management and valuation of derivative products.

Couverture, Derivatives, Dérivés de longévité, Esscher transform, Hedging, Jumps, Longevity/mortality risk, Modèles de mortalité, Mortality models, Risque de longévité / mortalité, Sauts, Transformées de Esscher, Transformées de Wang, Wang transform

Asset and liability management elements: Management of interest rate margin risk on demand deposits.

Couverture Taux, Hedging, Interest rate margin, Options on rates, Options sur Taux, Risk Management, Risque de Taux

Currency exposure, hedging policy and agency conflicts.

Agency conflicts, Conflits d'agence, Couverture, Currency derivatives, Dettes en devises, Dérivés de change, Firm value, Foreign debt, Foreign exchange residuel risk., Foreign exchange risk, Hedging, Risque de change, Risque de change résiduel., Valeur de l'entreprise

Marketing contract choices in agriculture: The role of price expectation and price risk management.

Hedging, Marketing contracts, Risk management, Risk perception, Storage