Publications

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A power plant valuation under an asymmetric risk criterion taking into account maintenance costs

Clémence Alasseur, Emmanuel Gobet, Isaque Pimentel, Xavier Warin

Asymptotic optimal pricing with asymmetric risk and applications in finance

Isaque Pimentel

A non-intrusive stratified resampler for multi-factor models: applications to pricing of Bermudan and Swing options

Emmanuel Gobet, Isaque Pimentel, Jorge Zubelli

A class of finite-dimensional numerically solvable McKean-Vlasov control problems

Alessandro Balata, Côme Huré, Mathieu Laurière, Huyên Pham, Isaque Pimentel

Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

Emmanuel Gobet, Isaque Pimentel, Xavier Warin