6 papers
Propagation of a carbon price in a credit portfolio through macroeconomic factors
Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou +2
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics a…
Prophylaxis of Epidemic Spreading with Transient Dynamics
Geraldine Bouveret, Antoine Mandel
We investigate the containment of epidemic spreading in networks from a normative point of view. We consider a susceptible/infected model in which agents can invest in order to red…
Mean-field games of optimal stopping: a relaxed solution approach
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density o…
A level-set approach for stochastic optimal control problems under controlled-loss constraints
Geraldine Bouveret, Athena Picarelli
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value func…
A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
Géraldine Bouveret, Jean-François Chassagneux
In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected…
A backward dual representation for the quantile hedging of Bermudan options
Bruno Bouchard, Jean-François Chassagneux, Géraldine Bouveret
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we deriv…