UMA Home page for Ismail Laachir
Phone +33 18 187 2124
Papers in peer-reviewed journals
- Change of numeraire in the two-marginals martingale transport problem
- Gas storage valuation and hedging. A quantification of the model risk.
HAL INRIA Preprint 00918082, submitted [ ]
- BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.
SIAM Journal on Financial Mathematics., vol. 7, pp. 308-356, may, 2016 [ ]