425 citations · 594 across the 33 of their papers we have counts for
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q-fin.RM2012
Hedging Swing contract on gas markets
Xavier Warin
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too. The option hol…
q-fin.RM2012
Numerical methods for the quadratic hedging problem in Markov models with jumps
Carmine De Franco, Peter Tankov, Xavier Warin
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman a…