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
Gap risk, gap option, exponential Levy model, quadratic hedging, Levy copula
energy transition scenario, CO2 emissions, portfolio alignment to a temperature trajectory, scenario uncertainty
Greenwashing, sustainable finance, asset pricing, ESG investing, impact investing.
physical climate risks, climate data, reanalysis
Transition risk, scenario uncertainty, Bayesian learning, stranded asset, real options
default risk, endogenous default, climate transition risk, carbon price, scenario uncertainty
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
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
disclosure, carbon footprint, greenhouse gas emissions, scope 1, scope 2, scope 3, machine learning, interpretability
Intraday electricity market, renewable energy, mean-field games
Estimating firms’ emissions from asset level data helps
revealing (mis)alignment to net zero targets
Carbon emissions, net zero alignment, steel sector, asset-level data
Energy storage, Electricity price, Transition scenarios, Forward-backward stochastic differential equations, Linear-quadratic optimal control
Electricity prices, multi-factor models, Lévy-driven Ornstein-Uhlenbeck type processes, statistical estimation, nonlinear filtering
