Michel Denault
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Simulation-and-regression methods have been recently proposed to solve multi-period, dynamic portfolio choice problems. In the constant relative risk aver...
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In deregulated markets, electricity prices are typically characterized by four key features: seasonality, mean-reversion, the possibility of large downward o...
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Simulation-and-regression algorithms have become a standard tool for solving dynamic programs in many areas, in particular financial engineering and computat...
BibTeX referenceA Simulation-and-Regression Approach for Stochastic Dynamic Programs with Endogenous State Variables
We investigate the optimum control of a stochastic system, in the presence of both exogenous (control-independent) stochastic state variables and endogenous...
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<p> The complementarity of two renewable energy sources, namely hydro and wind, is investigated. We consider the diversification effect of wind power to re...
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We propose a simple modification of lattice schemes reducing the bias of lattice option prices with respect to continuous time and state option prices. The m...
BibTeX referenceRésolution numérique de problèmes de complémentarité linéaire et évaluation d'options américaines
In the Black-Scholes framework, the American option pricing problem can be discretized into a finite-dimensional linear complementarity problem. We compare t...
BibTeX referenceSolving Variational Inequalities with a Quadratic Cut Method: A Primal-Dual, Jacobian-Free Approach
The Analytic Center, Cutting Plane Method for Variational Inequalities with quadratic cuts, ACCPM-VI(quadratic cuts), was introduced in Denault and Goffin,...
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We introduce a cutting plane, analytic center algorithm for strongly monotone variational inequalities (VIs). The approach extends that of Goffin, Marcotte...
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We present an algorithm for variational inequalities <i>VI</i>( <img src="G9756.gif" align=bottom>,<i>Y</i>) that is based on the Analytic Center Cutting Pl...
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