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1.
Uncertainty Quantification for XVA Applications. by
  • Crépey, Stéphane
  • Gobet, Emmanuel
  • Fort, Gersende
  • Stazhynski, Uladzislau
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

2.
Multilevel Monte-Carlo method and lower and upper bounds for Initial Margin computations. by
  • Florian, Bourgey
  • De Marco, Stefano
  • Gobet, Emmanuel
  • Zhou, A
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

3.
MCMC design-based non-parametric regression for rare-event. Application to nested-risk computations/ Emmanuel Gobet. by
  • Gobet, Emmanuel
  • Wagalath, Lakshithe
  • Research in Options 2016 (2016: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2016
Other title:
  • Risk-based Capital requirements and optimal liquidation in a stress scenario/
Online access:
Availability: No items available.

4.
Modeling the management of microgrid equipped with PV panels and battery; resolution using McKean Forward-Backward Stochastic Differential Equations. by
  • Gobet, Emmanuel
  • Research in Options 2017 (2017: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2017
Online access:
Availability: No items available.

5.
Weak Approximations and Vix Option Prices Expansions in Rough Forward Variances Models. by
  • Gobet, Emmanuel
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

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