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2. Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea.
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3. Pricing and risk of swing contracts in natural gas markets. (2019). Muhlichen, Hermann ; Kohrs, Hendrik ; Schuhmacher, Frank ; Auer, Benjamin R.
   In: Review of Derivatives Research.
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2. B. Bouchard, X. Warin: Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods. Numerical methods in ïnance, Springer (2012)

3. C. H. Kao and Y. D. Lyuu, Pricing of moving-average-type options with applications, J. Futures Market,23, 425-440 (2003)
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10. M. Bernhart, P. Tankov, X. Warin: A Finite-Dimensional Approximation for Pricing Moving Average Option. Siam J. Financial Math, 2, 989-1013 (2011)

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1. Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Yang, Jiefei ; Li, Guanglian.
   In: Papers.
   RePEc:arx:papers:2405.02570.

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2. Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks. (2024). Langren, Nicolas ; Wu, Jiahao ; Guo, Ivan.
   In: Papers.
   RePEc:arx:papers:2302.12439.

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3. Polynomial time algorithm for optimal stopping with fixed accuracy. (2024). Chen, Yilun ; Goldberg, David A.
   In: Papers.
   RePEc:arx:papers:1807.02227.

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4. Deep multi-step mixed algorithm for high dimensional non-linear PDEs and associated BSDEs. (2023). Bussell, Daniel ; Garc, Camilo Andr'Es.
   In: Papers.
   RePEc:arx:papers:2308.14487.

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5. A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas.
   In: Papers.
   RePEc:arx:papers:2307.16619.

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6. Efficient Pricing and Hedging of High Dimensional American Options Using Recurrent Networks. (2023). Wan, Justin ; Na, Andrew.
   In: Papers.
   RePEc:arx:papers:2301.08232.

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7. Reservoir optimization and Machine Learning methods. (2023). Warin, Xavier.
   In: Papers.
   RePEc:arx:papers:2106.08097.

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8. Optimal Stopping via Randomized Neural Networks. (2023). Ruyssen, Pierre ; Teichmann, Josef ; Krach, Florian ; Herrera, Calypso.
   In: Papers.
   RePEc:arx:papers:2104.13669.

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9. Deep neural network expressivity for optimal stopping problems. (2022). Gonon, Lukas.
   In: Papers.
   RePEc:arx:papers:2210.10443.

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10. Neural network regression for Bermudan option pricing. (2021). Lapeyre, Bernard ; Lelong, Jerome.
    In: Post-Print.
    RePEc:hal:journl:hal-02183587.

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11. Statistical learning for probability-constrained stochastic optimal control. (2021). Ludkovski, Michael ; Palczewski, Jan ; Balata, Alessandro ; Maheshwari, Aditya.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:290:y:2021:i:2:p:640-656.

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12. Optimal decision policy for real options under general Markovian dynamics. (2021). Naranjo, Lorenzo ; Cortazar, Gonzalo ; Sainz, Felipe.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:288:y:2021:i:2:p:634-647.

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13. Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. (2021). Warin, Xavier ; Langrene, Nicolas.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:162:y:2021:i:c:s0167947321001018.

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14. Decision making with dynamic probabilistic forecasts. (2021). Tankov, Peter ; Tinsi, Laura.
    In: Papers.
    RePEc:arx:papers:2106.16047.

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15. Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing. (2021). Deschatre, Thomas ; Mikael, Joseph.
    In: Papers.
    RePEc:arx:papers:2001.11247.

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16. Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II. (2020). Bezerra, Sergio C ; Souza, Francys ; Russo, Francesco ; Ohashi, Alberto.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:22:y:2020:i:3:d:10.1007_s11009-019-09764-y.

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17. Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. (2020). Warin, Xavier ; Pimentel, Isaque ; Gobet, Emmanuel.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00428-1.

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18. On conditional cuts for stochastic dual dynamic programming. (2020). Warin, X ; Ackooij, W.
    In: EURO Journal on Computational Optimization.
    RePEc:spr:eurjco:v:8:y:2020:i:2:d:10.1007_s13675-020-00123-y.

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19. Neural network regression for Bermudan option pricing. (2020). Lelong, Jerome ; Lapeyre, Bernard.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02183587.

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20. Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2020). Lelong, Jerome.
    In: Post-Print.
    RePEc:hal:journl:hal-01983115.

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21. Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations. (2020). Gobet, Emmanuel ; Warin, Xavier ; Pimentel, Isaque.
    In: Post-Print.
    RePEc:hal:journl:hal-01761234.

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22. Neural network regression for Bermudan option pricing. (2020). Lelong, J'Erome ; Lapeyre, Bernard.
    In: Papers.
    RePEc:arx:papers:1907.06474.

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23. Statistical Learning for Probability-Constrained Stochastic Optimal Control. (2020). Ludkovski, Michael ; Palczewski, Jan ; Balata, Alessandro ; Maheshwari, Aditya.
    In: Papers.
    RePEc:arx:papers:1905.00107.

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24. Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2020). Lelong, J'Erome.
    In: Papers.
    RePEc:arx:papers:1901.05672.

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25. Mixing LSMC and PDE Methods to Price Bermudan Options. (2020). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David.
    In: Papers.
    RePEc:arx:papers:1803.07216.

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26. Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, Jerome.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01983115.

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27. Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. (2019). Sid-Ali, Ahmed ; Chau, KI ; Bouchard, Bruno ; Manai, Arij.
    In: Post-Print.
    RePEc:hal:journl:hal-01666399.

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28. Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method. (2019). Stentoft, Lars ; Letourneau, Pascal.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:190-:d:298216.

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29. Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions. (2019). Chen, Yangang.
    In: Papers.
    RePEc:arx:papers:1909.11532.

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30. Discrete-type approximations for non-Markovian optimal stopping problems: Part II. (2019). Bezerra, S'Ergio C ; Russo, Francesco ; Ohashi, Alberto.
    In: Papers.
    RePEc:arx:papers:1707.05250.

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31. Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. (2019). Zhu, Zili ; Tian, YU ; Zhang, Rongju ; Langren, Nicolas ; Hamza, Kais ; Klebaner, Fima.
    In: Papers.
    RePEc:arx:papers:1610.07694.

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32. Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations. (2018). Warin, Xavier ; Pimentel, Isaque ; Gobet, Emmanuel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01761234.

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33. Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. (2018). Chau, KI ; Bouchard, Bruno ; Manai, Arij ; Sid-Ali, Ahmed.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01666399.

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34. Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Zhu, Zili ; Tian, YU ; Zhang, Rongju ; Langren, Nicolas ; Hamza, Kais ; Klebaner, Fima.
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    RePEc:arx:papers:1803.11467.

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35. Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective. (2018). Ludkovski, Michael ; Maheshwari, Aditya.
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    RePEc:arx:papers:1803.11309.

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36. Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. (2018). Chau, KI ; Bouchard, Bruno ; Manai, Arij ; Sid-Ali, Ahmed.
    In: Papers.
    RePEc:arx:papers:1712.07383.

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37. Variance optimal hedging with application to Electricity markets. (2018). Warin, Xavier.
    In: Papers.
    RePEc:arx:papers:1711.03733.

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38. A simulation on the presence of competing bidders in mergers and acquisitions. (2017). el Khoury, Wissam ; Aintablian, Sebouh.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:22:y:2017:i:c:p:233-243.

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39. Numerical approximation of BSDEs using local polynomial drivers and branching processes. (2017). Yiyi, Zou ; Xavier, Warin ; Xiaolu, Tan ; Bruno, Bouchard.
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:23:y:2017:i:4:p:241-263:n:3.

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40. A backward dual representation for the quantile hedging of Bermudan options. (2016). Bouchard, Bruno ; Chassagneux, Jean-Franois ; Bouveret, Geraldine.
    In: Post-Print.
    RePEc:hal:journl:hal-01069270.

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41. Monte-Carlo Simulation and Stochastic Programming in Real Options Valuation: the Case of Perennial Energy Crop Cultivation. (2016). Finger, Robert ; Djanibekov, Utkur ; Britz, Wolfgang ; Kostrova, Alisa .
    In: Discussion Papers.
    RePEc:ags:ubfred:250253.

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42. A backward dual representation for the quantile hedging of Bermudan options. (2014). Chassagneux, Jean-Franois ; Bouveret, Geraldine ; Bouchard, Bruno.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01069270.

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43. A probabilistic numerical method for optimal multiple switching problems in high dimension. (2014). Aid, Rene ; Langrene, Nicolas ; Campi, Luciano ; Pham, Huyen.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:63011.

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44. Cross-hedging minimum return guarantees: Basis and liquidity risks. (2014). Ankirchner, Stefan ; Schweizer, Nikolaus ; Schneider, Judith C..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:41:y:2014:i:c:p:93-109.

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45. Toward a coherent Monte Carlo simulation of CVA. (2014). Mikou, Mohammed ; Mikou Mohammed A., ; Aych, Bouselmi ; Abbas-Turki Lokman A., .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:195-216:n:3.

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46. A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Huyen, Pham ; Nicolas, Langrene ; Idris, Kharroubi.
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:145-165:n:5.

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47. A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. (2013). Langrene, Nicolas ; Kharroubi, Idris ; Pham, Huyen.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00905899.

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48. Preliminary control variates to improve empirical regression methods. (2013). Emmanuel, Gobet ; Tarik, Ben Zineb .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:19:y:2013:i:4:p:331-354:n:4.

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49. A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. (2013). Nicolas Langren'e, ; Kharroubi, Idris ; Pham, Huyen.
    In: Papers.
    RePEc:arx:papers:1311.4503.

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50. Hedging Swing contract on gas markets. (2012). Warin, Xavier.
    In: Papers.
    RePEc:arx:papers:1208.5303.

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