Finance and Stochastic Control Papers

Finance and Stochastic Control Papers by Frédéric Bonnans

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STOCHASTIC CONTROL

J.F. Bonnans F. Silva : First and second order necessary conditions for stochastic optimal control problems. Applied Mathematics and Optimization, "Online First".
J.F. Bonnans F. Silva : Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems. Systems and Control Letters 61 (2012), 143-147.

OPTION PRICING, NUMERICAL ANALYSIS

J.F. Bonnans, X. Tan: A Monotonicity condition for the $\theta$-scheme for diffusion equations. Rapport de Recherche INRIA RR 7778, Oct. 2011.
J.F. Bonnans, X. Tan: A model-free no-arbitrage price bound for variance options. Rapport de Recherche INRIA RR 7777, Oct. 2011.
With S. Maroso and H. Zidani: Error estimates for a stochastic impulse control problem. Applied Mathematics and Optimization, 55-3 (2007), 327--357.
With S. Maroso and H. Zidani: Error estimates for stochastic differential games: the adverse stopping case. IMA Journal of Numerical Analysis 26-1 (2006), 188--212. Also Preprint version, 2004.
With H. Zidani and E. Ottenwaelter: A fast algorithm for the two dimensional HJB equation of stochastic control. Pdf Version. Paru dans ESAIM:M2AN 38-4, 723-735 (2004).
With H. Zidani: Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation. SIAM J. Numerical Analysis 41-3(2003), 1008-1021. Pdf Version.

SWING OPTIONS, TRADING OF LIQUEFIED NATURAL GAS

I. Ben Latifa, J.F. Bonnans, M. Mnif: Optimal multiple stopping problems and financial applications. Rapport de Recherche INRIA RR 7807, Nov. 2011.
J.F. Bonnans, Z. Cen, and Th. Christel: Sensitivity analysis of energy contracts by stochastic programming techniques. Rapport de Recherche INRIA RR 7574, March 2011.
J.F. Bonnans, Z. Cen, and Th. Christel: Energy contracts management by stochastic programming techniques. Rapport de Recherche INRIA RR-7289, 2010.

CALIBRATION

With J.M. Cognet and S. Volle: Estimation de la volatilité locale d'actifs financiers par une méthode d'inversion numérique. Rapport de Recherche INRIA 4648, 2002.