Carmine De Franco

OSSIAM

80 Avenue de la Grande Armée

Paris, 75017

France

SCHOLARLY PAPERS

2

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108

CITATIONS

0

Scholarly Papers (2)

1.

Dealing with Drift Uncertainty: A Bayesian Learning Approach

Number of pages: 19 Posted: 10 Dec 2018
Carmine De Franco, Johann Nicolle and Huyên Pham
OSSIAM, OSSIAM and Université Paris VII Denis Diderot
Downloads 108 (249,964)

Abstract:

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Bayesian learning, optimal portfolio, Markowitz problem, portfolio selection

2.

Numerical Methods for the Quadratic Hedging Problem in Markov Models with Jumps

Journal of Computational Finance, Vol. 19, No. 2, Pages 29–67, 2015
Number of pages: 40 Posted: 15 Jun 2016
Carmine De Franco, Peter Tankov and Xavier Warin
OSSIAM, Université Paris VII Denis Diderot and EDF Energy
Downloads 0 (666,371)
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Abstract:

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Quadratic Hedging, Electricity Markets, Markov Jump Processes, Partial Integrodifferential Equation, Hamilton–Jacobi–Bellman Equation, Discretization Schemes for Partial Integrodifferential Equations