Pricing and hedging derivative securities in markets with uncertain volatilities, Applied Mathematical Finance, vol.2, issue.2, pp.73-88, 1995. ,
Electricity Derivatives. SpringerBriefs in Quantitative Finance, 2015. ,
Managing Energy Risk: A Practical Guide for Risk Management in Power, Gas and Other Energy Markets. The Wiley Finance Series, 2014. ,
Financial modeling: a Backward Stochastic Differential Equations perspective, 2013. ,
Risk management with machine-learning-based algorithms, 2019. ,
Nonlinear option pricing, 2013. ,
Option Valuation and Hedging using Asymmetric risk function: Asymptotic Optimality through Fully Nonlinear Partial Differential Equations. HAL preprint hal-01761234, in revision for Finance and Stochastics, 2018. ,
URL : https://hal.archives-ouvertes.fr/hal-01761234
, IEA (International Energy Agency). World Energy Outlook. OECD IEA, pp.978-92, 2016.
The Black Scholes Barenblatt equation for options with uncertain volatility and its application to static hedging, International Journal of Theoretical and Applied Finance, vol.9, issue.05, pp.673-703, 2006. ,
Asymptotic optimal pricing with asymmetric risk and applications in finance, 2018. ,
URL : https://hal.archives-ouvertes.fr/tel-01982408