CREST Working Papers Series No. 2018-08
by Christian Gouriéroux, Alain Monfort and Jean-Michel Zakoian
Negative Binomial Autoregressive Process
CREST Working Papers Series No. 2018-03
by Christian Gouriéroux and Yang Lu
About Kendall’s regression
CREST Working Papers Series No. 2018-01
by Alexis Derumigny and Jean-David Fermanian
Probabilistic forecasting of the wind energy resource at the monthly to seasonal scale
CREST Working Papers Series No. 2017-88
by Bastien Alonzo, Philippe Drobinski, Riwal Plougonven and Peter Tankov
Optimal management of a wind power plant with storage capacity
CREST Working Papers Series No. 2017-87
by Jérôme Collet, Olivier Féron and Peter Tankov
Shapes of implied volatility with positive mass at zero
CREST Working Papers Series No. 2017-77
by Stefano De Marco, Caroline Hillairet and Antoine Jacquier
Trading against disorderly liquidation of a large position under asymmetric information and market impact
CREST Working Papers Series No. 2017-76
by Caroline Hillairet, Cody Hyndman, Ying Jiao and Renjie Wang
Pricing formulae for derivatives in insurance using the Malliavin calculus
CREST Working Papers Series No. 2017-75
by Caroline Hillairet and Ying Jiao
Consistent Utility of Investment and Consumption : a forward/backward SPDE viewpoint
CREST Working Papers Series No. 2017-74
by Nicole El Karoui, Caroline Hillairet and Mohamed Mrad