Nicolas Langrené
Nicolas Langrené
Senior Research Scientist, CSIRO Data61
Adresse e-mail validée de csiro.au - Page d'accueil
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A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
I Kharroubi, N Langrené, H Pham
Monte Carlo Methods and Applications 20 (2), 145-165, 2014
782014
A structural risk‐neutral model for pricing and hedging power derivatives
R Aid, L Campi, N Langrené
Mathematical Finance 23 (3), 387-438, 2013
622013
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
I Kharroubi, N Langrené, H Pham
The Annals of Applied Probability 25 (4), 2301-2338, 2015
432015
A probabilistic numerical method for optimal multiple switching problems in high dimension
R Aïd, L Campi, N Langrené, H Pham
SIAM Journal on Financial Mathematics 5 (1), 191-231, 2014
402014
Dynamic constraints for aggregated units: Formulation and application
N Langrené, W Van Ackooij, F Bréant
IEEE Transactions on Power Systems 26 (3), 1349-1356, 2011
342011
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
C Huré, H Pham, A Bachouch, N Langrené
arXiv preprint arXiv:1812.04300, 2020
232020
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
A Bachouch, C Huré, N Langrené, H Pham
Methodology and Computing in Applied Probability, 2020
20*2020
Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model
N Langrené, G Lee, Z Zhu
International Journal of Theoretical and Applied Finance 19 (5), 37 p., 2016
162016
New regression Monte Carlo methods for high-dimensional real options problems in minerals industry
N Langrené, T Tarnopolskaya, W Chen, Z Zhu, M Cooksey
21st International Congress on Modelling and Simulation, Gold Coast …, 2015
162015
STochastic OPTimization library in C++
H Gevret, N Langrené, J Lelong, R Lobato, T Ouillon, X Warin, ...
https://hal.archives-ouvertes.fr/hal-01361291, 2020
152020
Fast and stable multivariate kernel density estimation by fast sum updating
N Langrené, X Warin
Journal of Computational and Graphical Statistics 28 (3), 596-608, 2019
152019
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
Quantitative Finance 19 (3), 519-532, 2019
14*2019
Switching surfaces for optimal natural resource extraction under uncertainty
W Chen, T Tarnopolskaya, N Langrené, T Lo
21st International Congress on Modelling and Simulation, Gold Coast …, 2015
112015
Natural resource extraction with production target: the real option value of variable extraction rate
W Chen, N Langrené, T Tarnopolskaya
20th Annual International Real Options Conference, Norway, 15-16 June 2016, 2016
7*2016
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
Journal of Computational Finance 23 (1), 97-127, 2019
6*2019
Robust utility maximization under model uncertainty via a penalization approach
I Guo, N Langrené, G Loeper, W Ning
32020
Accounting for tailings dam failures in the valuation of mining projects
M Armstrong, N Langrené, R Petter, W Chen, C Petter
Resources Policy 63, 101461, 2019
22019
Local control regression: improving the Least Squares Monte Carlo method for portfolio optimization
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
arXiv preprint arXiv:1803.11467, 2018
22018
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
K Das, N Langrené
arXiv preprint arXiv:1812.07803, 2020
12020
Field exploration: when to start extracting?
N Langrené, W Chen, Z Zhu
22nd International Congress on Modelling and Simulation, Hobart, Tasmania …, 2017
12017
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