Palaiseau
France
ENSAE, Institut Polytechnique de Paris
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levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization
Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models
Environmental finance, socially responsible investing, ESG, impact investing
energy transition scenario, CO2 emissions, portfolio alignment to a temperature trajectory, scenario uncertainty
Gap risk, gap option, exponential Levy model, quadratic hedging, Levy copula
physical climate risks, climate data, reanalysis
Transition risk, scenario uncertainty, Bayesian learning, stranded asset, real options
Climate change, physical risk, cyclone, sovereign risk, Monte Carlo simulation, damage modeling
sustainable finance, environmental indicators, impact measures, aggregation
rough volatility, VIX smile, Monte Carlo, Volterra process
default risk, endogenous default, climate transition risk, carbon price, scenario uncertainty
ESG, Net Environmental Contribution, portfolio performance, factor model, environmental transition, transition risk
OR in Natural Resources, Mean-Field Game, Technology Investment, Strategic Timing
wind energy, climate variability, climate change, net present value
Intraday electricity market, renewable energy, mean-field games
Greenwashing, sustainable finance, asset pricing, ESG investing, impact investing.
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Quadratic Hedging, Electricity Markets, Markov Jump Processes, Partial Integrodifferential Equation, Hamilton–Jacobi–Bellman Equation, Discretization Schemes for Partial Integrodifferential Equations
Electricity prices, multi-factor models, Lévy-driven Ornstein-Uhlenbeck type processes, statistical estimation, nonlinear filtering
