M. Avellaneda, Minimum-Relative-Entropy Calibration of Asset-Pricing Models, International Journal of Theoretical and Applied Finance, vol.01, issue.04, pp.447-472, 1998.
DOI : 10.1142/S0219024998000242

O. Bardou, N. Frikha, and G. Pagès, Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling, Monte Carlo Methods and Applications, vol.15, issue.3, pp.173-210, 2009.
DOI : 10.1515/MCMA.2009.011

URL : https://hal.archives-ouvertes.fr/hal-00497588

P. Barrieu and N. Karoui, Optimal derivatives design under dynamic risk measures, Mathematics of Finance, A.M.S. Proceedings, vol.351, 2004.
DOI : 10.1090/conm/351/06389

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.10.9667

M. Benveniste, M. Metivier, and P. Priouret, Adaptive algorithms and stochastic approximation, 1990.
DOI : 10.1007/978-3-642-75894-2

M. Duflo, Iterative random models, 1988.
DOI : 10.1007/978-3-662-12880-0

M. Duflo, Algorithmes Stochastiques, 1996.

E. Karoui and M. Quenez, Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market, SIAM Journal on Control and Optimization, vol.33, issue.1, pp.29-66, 1995.
DOI : 10.1137/S0363012992232579

E. Karoui and R. Rouge, Pricing via utility maximsation and entropy, Mathematical Finance, vol.10, pp.250-276, 2000.

V. Evstigneev and I. , Measurable Selection and Dynamic Programming, Mathematics of Operations Research, vol.1, issue.3, pp.267-275, 1976.
DOI : 10.1287/moor.1.3.267

H. Foellmer and P. Leukert, Quantile hedging, Finance and Stochastics, vol.3, issue.3, pp.251-273, 1999.
DOI : 10.1007/s007800050062

H. Foellmer and A. Schied, Convex measures of risk and trading constraints, Finance and Stochastics, vol.6, issue.4, pp.429-447, 2002.
DOI : 10.1007/s007800200072

H. Foellmer and M. Schweizer, Hedging of contingent claims under incomplete information Applied Stochastic Analysis, pp.389-414, 1991.

H. Foellmer and D. Sonderman, Hedging of non-redundant contingent claims, Contributions to Mathematical Economics, pp.205-223, 1986.

N. Frikha, ContributionàContributionà la modélisation etàetà la gestion dynamique du risque sur les marchés de l'´ energie, 2010.

M. Fritteli, The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets, Mathematical Finance, vol.10, issue.1, pp.39-52, 2002.
DOI : 10.1111/1467-9965.00079

S. D. Hodges and A. Neuberger, Optimal replication of contingent claims under transaction costs. The Review of Futures Markets, pp.222-239, 1989.

I. Karatzas, J. Lehoczky, S. Shreve, and G. Xu, Martingale and Duality Methods for Utility Maximization in an Incomplete Market, SIAM Journal on Control and Optimization, vol.29, issue.3, pp.702-730, 1991.
DOI : 10.1137/0329039

H. J. Kushner and G. Yin, Stochastic Approximation and Recursive algorithms and Applications, 2003.

V. Lemaire and G. Pagès, Unconstrained recursive importance sampling, The Annals of Applied Probability, vol.20, issue.3, pp.1029-1067, 2010.
DOI : 10.1214/09-AAP650

URL : https://hal.archives-ouvertes.fr/hal-00497551

Y. Miyahara, Pricing model and related estimation problems, Asia-Pacific Financial Markets, vol.8, issue.1, pp.45-60, 2001.
DOI : 10.1023/A:1011445109763

G. Pagès, A space quantization method for numerical integration, Journal of Computational and Applied Mathematics, vol.89, issue.1, pp.1-38, 1998.
DOI : 10.1016/S0377-0427(97)00190-8

M. Pelletier, Asymptotic Almost Sure Efficiency of Averaged Stochastic Algorithms, SIAM Journal on Control and Optimization, vol.39, issue.1, pp.49-72, 2000.
DOI : 10.1137/S0363012998308169

M. Pelletier, Asymptotic Almost Sure Efficiency of Averaged Stochastic Algorithms, SIAM Journal on Control and Optimization, vol.39, issue.1, pp.49-72, 2000.
DOI : 10.1137/S0363012998308169

R. T. Rockafellar and S. Uryasev, Optimization of conditional value-at-risk, The Journal of Risk, vol.2, issue.3, pp.493-517, 2000.
DOI : 10.21314/JOR.2000.038

M. Schweizer, Option hedging for semimartingales, Stochastic Processes & Their Applications, pp.339-363, 1991.
DOI : 10.1016/0304-4149(91)90053-F