181 citations · 548 across the 46 of their papers we have counts for
5 papers · 1 filter
Simulation of Implied Volatility Surfaces via Tangent Levy Models
Rene Carmona, Yi Ma, Sergey Nadtochiy
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy.…
Mean Field Games and Systemic Risk
Rene Carmona, Jean-Pierre Fouque, Li-Hsien Sun
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of banks is described by a system of diffusion processes coupled…
Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
Rene Carmona, Francois Delarue, Gilles-Edouard Espinosa +1
We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models f…
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Rene Carmona, Michael Coulon, Daniel Schwarz
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated com…
Electricity price modeling and asset valuation: a multi-fuel structural approach
Rene Carmona, Michael Coulon, Daniel Schwarz
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand f…