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13 documents ordered by : Date Title first author name document type Submit date

1 - 2

Pivotal estimation in high-dimensional regression via linear programming Gautier E., Tsybakov A. [hal-00805556 - version 2] (15/04/2013)

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation Aïd R., Campi L., Langrené N., Pham H. [hal-00747229 - version 1] (30/10/2012)

Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information Guilbaud F., Pham H. [hal-00697125 - version 1] (14/05/2012)

Flux de travailleurs au cours du cycle conjoncturel Dubois Y., Hairault J.-O., Le Barbanchon T., Sopraseuth T. Rapport de recherche [hal-00651968 - version 1]

On the existence of shadow prices Benedetti G., Campi L., Kallsen J., Muhle-Karbe J. [hal-00645980 - version 1] (28/11/2011)

Investment/consumption problem in illiquid markets with regimes switching Gassiat P., Gozzi F., Pham H. [hal-00610214 - version 1] (21/07/2011)

Optimal High Frequency Trading with limit and market orders Guilbaud F., Pham H. [hal-00603385 - version 1] (24/06/2011)

Multivariate utility maximization with proportional transaction costs and random endowment Benedetti G., Campi L. [hal-00586377 - version 1] (2011-04-15)

Swing Options Valuation:a BSDE with Constrained Jumps Approach Bernhart M., Pham H., Tankov P., Warin X. [hal-00553356 - version 1] (07/01/2011)

No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs Bouchard B., Nguyen Huu A. [hal-00487030 - version 2] (20/01/2011)