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In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...
In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalanc ...
Recent large-scale blackouts and other incidents have shown that failures in network industries can have serious economic and social consequences. A large body of literature covers critical infrastructures (and their protection), but most of it is confined ...
Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...
We develop a two-stage stochastic program for energy and reserve dispatch, which ensures the safe operation of a power system with a high penetration of renewables and a strong interdependence with the natural gas system. Distributionally robust joint chan ...
Design and control problems of failure-prone production lines are explored by means of simple mathematical models. The fluctuations of the performances are introduced via random environments which are modelled by non-Markovian alternating renewal processes ...
With the overall goal of reducing the numerical burden of uncertainty quantification involved in seismic risk assessments, this paper examines opportunities for assessment of seismic collapse capacity and risk using data-driven surrogates as a complement t ...
We develop tractable semidefinite programming based approximations for distributionally robust individual and joint chance constraints, assuming that only the first- and second-order moments as well as the support of the uncertain parameters are given. It ...
