René Carmona

Paul Wythes ’55 Professor of Engineering and Finance

FINANCIAL ENGINEERING / MATHEMATICS

  • (with K. Webster) Structural Relationships in a Limit Order Book pdf.file

  • (with K. Webster) High Frequency Market Making pdf.file

  • (with M. Coulon and D. Schwarz) The valuation of clean spread options: linking electricity, emissions and fuels pdf.file

  • (with M. Coulon and D. Schwarz) Electricity Price Modeling and Asset Valuation: a Multi-Fuel Approach pdf.file

  • (with J. Hinz) Least Squares Monte Carlo Approach to Convex Control Problems pdf file

  • (with Y. Sun) Implied and Local Correlations from Spread Options pdf.file

  • (with J. Yang) Predatory Trading: a Game on Volatility and Liquidity pdf.file

  • (with F. Delarue, G-E. Espinosa and N. Touzi) Singular forward-backward stochastic differential equations and emissions derivatives pdf.file

  • (with M. Fehr) Auctions and Relative Allocation Mechanisms for Cap-and-Trade Schemes pdf.file

  • (with J. Hinz) Risk-Neutral Modeling of Emission Allowance Prices and Option Valuation pdf.file

  • (with S. Nadtochiy) Tangent Models as a Mathematical Framework for Dynamic Calibration pdf.file

  • (with S. Nadtochiy) Tangent L'evy Market Models pdf.file

  • (with M. Fehr) The Clean Development Mechanism and CER Price Formation in the Carbon Emissions Markets pdf.file

  • (with M. Fehr and J. Hinz) Properly Designed Emissions Trading Schemes can Work! pdf.file

  • (with S. Crepey) Importance Sampling and Interacting Particle Systems for the Estimation of Markovian Credit Portfolio Loss Distributions. pdf.file

  • (with S. Nadtochiy) An Infinite Dimensional Stochastic Analysis Approach to Local Volatility Dynamic Models pdf.file

  • (with M. Fehr, J. Hinz and A. Porchet) Market Design for Emissions Trading Schemes pdf.file

  • (with M. Fehr and J. Hinz) Optimal Stochastic Control and Carbon Price Formation pdf.file

  • (with J.P. Fouque and D. Vestal): Interacting Particle Systems for the Computation of CDO Tranche Spreads with Rare Defaults. pdf.file

  • (with S. Nadotchiy) Local Volatility Dynamic Models pdf.file

  • (with A. Danilova) Consistency of the Geometric Brownian Motion Model of Stock Prices with Asymmetric Information. pdf.file

  • (with S. Brendle) Hedging in Partially Observed Markets. pdf.file

  • (with M. Ludkovski) Valuation of Energy Storage: An Optimal Switching Approach pdf.file

  • (with M. Ludkovski) Pricing Asset Scheduling Flexibility using Optimal Switching pdf.file

  • (with M. Ludkovski) Spot Convenience Yield Models for the Energy Markets. pdf.file

  • (with M. Ludkovski) Convenience Yield Models with Partial Observations and Exponential Utility. pdf.file

  • (with V. Durrleman) Pricing and Hedging Multivariate Contingent Claims. pdf.file

  • (with P. Diko) Indifference Pricing of Precipitation Options. pdf.file

  • (with M. Tehranchi) A Characterization of Hedging Portfolios for Interest Rate Contingent Claims. pdf.file

  • (with V. Durrleman) Pricing and Hedging Spread Options. pdf.file

  • (with V. Durrleman) Pricing and Hedging Spread Options in a Log-Normal Model. pdf.file

  • (with D. Villani) Monte Carlo Helps with Pricing. pdf.file

  • (with D. Villani and R.M. Ghigliazza) A Discrete Affair. pdf.file

  • (with S. Dayanik) Optimal Multiple Stopping of Linear Diffusions. pdf.file

  • (with N. Touzi) Optimal Multiple Stopping and Valuation of Swing Options. pdf.file

  • (with L. Xu) Calibrating Arbitrage-Free Stochastic Volatility Models based on Relative Entropy Distances. pdf.file

  • (with E. Ozgur) Statistical Evidence of Contagion in Emerging Markets. pdf.file