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1. Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Yang, Jiefei ; Li, Guanglian.
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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.
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3. Polynomial time algorithm for optimal stopping with fixed accuracy. (2024). Chen, Yilun ; Goldberg, David A.
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4. A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Callegaro, Giorgia ; Gnoatto, Alessandro.
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5. Deep multi-step mixed algorithm for high dimensional non-linear PDEs and associated BSDEs. (2023). Bussell, Daniel ; Garc, Camilo Andr'Es.
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6. A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas.
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7. Efficient Pricing and Hedging of High Dimensional American Options Using Recurrent Networks. (2023). Wan, Justin ; Na, Andrew.
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8. Reservoir optimization and Machine Learning methods. (2023). Warin, Xavier.
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9. Optimal Stopping via Randomized Neural Networks. (2023). Ruyssen, Pierre ; Teichmann, Josef ; Krach, Florian ; Herrera, Calypso.
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10. Deep neural network expressivity for optimal stopping problems. (2022). Gonon, Lukas.
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11. A Fully Quantization-based Scheme for FBSDEs. (2021). Gnoatto, Alessandro ; Grasselli, Martino ; Callegaro, Giorgia.
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12. Neural network regression for Bermudan option pricing. (2021). Lapeyre, Bernard ; Lelong, Jerome.
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13. Statistical learning for probability-constrained stochastic optimal control. (2021). Ludkovski, Michael ; Palczewski, Jan ; Balata, Alessandro ; Maheshwari, Aditya.
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14. Optimal decision policy for real options under general Markovian dynamics. (2021). Naranjo, Lorenzo ; Cortazar, Gonzalo ; Sainz, Felipe.
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15. Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. (2021). Warin, Xavier ; Langrene, Nicolas.
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16. Decision making with dynamic probabilistic forecasts. (2021). Tankov, Peter ; Tinsi, Laura.
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17. A Fully Quantization-based Scheme for FBSDEs. (2021). Gnoatto, Alessandro ; Grasselli, Martino ; Callegaro, Giorgia.
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18. Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing. (2021). Deschatre, Thomas ; Mikael, Joseph.
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19. Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II. (2020). Bezerra, Sergio C ; Souza, Francys ; Russo, Francesco ; Ohashi, Alberto.
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20. Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. (2020). Warin, Xavier ; Pimentel, Isaque ; Gobet, Emmanuel.
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21. On conditional cuts for stochastic dual dynamic programming. (2020). Warin, X ; Ackooij, W.
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22. Neural network regression for Bermudan option pricing. (2020). Lelong, Jerome ; Lapeyre, Bernard.
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23. Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2020). Lelong, Jerome.
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24. Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations. (2020). Gobet, Emmanuel ; Warin, Xavier ; Pimentel, Isaque.
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25. Neural network regression for Bermudan option pricing. (2020). Lelong, J'Erome ; Lapeyre, Bernard.
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26. Statistical Learning for Probability-Constrained Stochastic Optimal Control. (2020). Ludkovski, Michael ; Palczewski, Jan ; Balata, Alessandro ; Maheshwari, Aditya.
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27. Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2020). Lelong, J'Erome.
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28. Mixing LSMC and PDE Methods to Price Bermudan Options. (2020). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David.
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29. Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, Jerome.
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30. 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.
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31. Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method. (2019). Stentoft, Lars ; Letourneau, Pascal.
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32. Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. (2019). Fujii, Masaaki ; Takahashi, Akihiko.
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33. Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems. (2019). Chassagneux, Jean-Franois ; Richou, Adrien.
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34. Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation. (2019). Dong, Wenfeng ; Kang, Boda.
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35. Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions. (2019). Chen, Yangang.
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36. Discrete-type approximations for non-Markovian optimal stopping problems: Part II. (2019). Bezerra, S'Ergio C ; Russo, Francesco ; Ohashi, Alberto.
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37. 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.
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38. Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations. (2018). Warin, Xavier ; Pimentel, Isaque ; Gobet, Emmanuel.
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39. 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.
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40. Finite Difference Methods for the BSDEs in Finance. (2018). Guo, Guangbao.
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41. 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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42. Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective. (2018). Ludkovski, Michael ; Maheshwari, Aditya.
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43. 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.
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44. Variance optimal hedging with application to Electricity markets. (2018). Warin, Xavier.
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45. Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions. (2018). Fujii, Masaaki ; Takahashi, Akihiko.
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46. A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations. (2017). Ngou, Polynice Oyono ; Hyndman, Cody B.
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47. A simulation on the presence of competing bidders in mergers and acquisitions. (2017). el Khoury, Wissam ; Aintablian, Sebouh.
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48. Numerical approximation of BSDEs using local polynomial drivers and branching processes. (2017). Yiyi, Zou ; Xavier, Warin ; Xiaolu, Tan ; Bruno, Bouchard.
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49. A backward dual representation for the quantile hedging of Bermudan options. (2016). Bouchard, Bruno ; Chassagneux, Jean-Franois ; Bouveret, Geraldine.
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50. Optimal search for parameters in Monte Carlo simulation for derivative pricing. (2016). Kao, Ming-Yang ; Wang, Chuan-Ju.
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51. 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 .
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52. When terminal facelift enforces delta constraints. (2015). Elie, Romuald ; Chassagneux, Jean-Franois ; Kharroubi, Idris.
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53. A backward dual representation for the quantile hedging of Bermudan options. (2014). Chassagneux, Jean-Franois ; Bouveret, Geraldine ; Bouchard, Bruno.
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54. A probabilistic numerical method for optimal multiple switching problems in high dimension. (2014). Aid, Rene ; Langrene, Nicolas ; Campi, Luciano ; Pham, Huyen.
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55. Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches. (2014). Kovacevic, Raimund ; Pflug, Georg Ch., .
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56. Cross-hedging minimum return guarantees: Basis and liquidity risks. (2014). Ankirchner, Stefan ; Schweizer, Nikolaus ; Schneider, Judith C..
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57. Toward a coherent Monte Carlo simulation of CVA. (2014). Mikou, Mohammed ; Mikou Mohammed A., ; Aych, Bouselmi ; Abbas-Turki Lokman A., .
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59. A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. (2013). Langrene, Nicolas ; Kharroubi, Idris ; Pham, Huyen.
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60. Preliminary control variates to improve empirical regression methods. (2013). Emmanuel, Gobet ; Tarik, Ben Zineb .
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61. A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. (2013). Nicolas Langren'e, ; Kharroubi, Idris ; Pham, Huyen.
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62. Hedging Swing contract on gas markets. (2012). Warin, Xavier.
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63. Swing Options Valuation:a BSDE with Constrained Jumps Approach. (2011). TANKOV, PETER ; Warin, Xavier ; Bernhart, Marie ; Pham, Huyen.
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64. Swing Options Valuation: a BSDE with Constrained Jumps Approach. (2011). TANKOV, PETER ; Warin, Xavier ; Bernhart, Marie ; Pham, Huyen.
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65. UK gas markets: The market price of risk and applications to multiple interruptible supply contracts. (2008). Cartea, Álvaro ; Williams, Thomas.
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66. Optimal multiple stopping models of reload options and shout options. (2008). Dai, Min ; Kwok, Yue Kuen.
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67. Pricing Multiple Interruptible-Swing Contracts. (2006). Figueroa, Marcelo.
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68. VaR in real options analysis. (2005). Alesii, Giuseppe.
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