Isaque Pimentel

Isaque Pimentel
École Polytechnique · Centre de Mathématiques Appliquées (CMAP) UMR CNRS 7641

PhD

About

9
Publications
351
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13
Citations
Introduction
Isaque Pimentel currently works at the Department of Applied Mathematics, Ecole Polytechnique. Isaque does research in stochastic control problems with applications to finance and economics. His most recent publication is 'A class of finite-dimensional numerically solvable McKean-Vlasov control problems'.

Publications

Publications (9)
Article
Full-text available
Discrete-time hedging produces a residual P&L, namely the tracking error. The major problem is to get valuation/hedging policies minimising this error. We evaluate the risk between trading dates through a function penalising profits and losses asymmetrically. After deriving the asymptotics from a discrete-time risk measurement for a large number of...
Preprint
Full-text available
Power producers are interested in valuing their power plant production. By trading into forward contracts, we propose to reduce the contingency of the associated income considering the fixed costs and using an asymmetric risk criterion. In an asymptotic framework, we provide an optimal hedging strategy through a solution of a nonlinear partial diff...
Thesis
This thesis is constituted by two parts that can be read independently.In the first part, we study several problems of hedging and pricing of options related to a risk measure. Our main approach is the use of an asymmetric risk function and an asymptotic framework in which we obtain optimal solutions through nonlinear partial differential equations...
Presentation
Full-text available
For this short thesis presentation, we exhibit the following projects • EDF R&D: Asymmetric measure of the residual risk; • EDF R&D: Impact of fixed costs in the physical asset valuation; • CEMRACS: Numerical methods to solve finite-dimensional MKV control problems;
Poster
Full-text available
We present recent valuation and hedging (V/H) policies minimizing a tracking error (e.g. residual risk due to discrete-time hedging). Our formulation is given by local risk minimization through an asymmetric way of penalizing profits and losses. First, we derive an asymptotic risk for a large number of trading dates. Then, we characterize the optim...
Preprint
Full-text available
Discrete-time hedging produces a residual risk, i.e., the tracking error. The major problem is to get valuation/hedging policies minimizing this error. We evaluate the risk between trading dates through a function penalizing profits and losses asymmetrically. After deriving the asymptotics within a discrete-time risk measurement for a large number...
Article
Full-text available
We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be reduced by suitable Markov embedding to finite-dimensional stochastic control problems, and provide a discussion...
Poster
Full-text available
We present recent valuation and hedging (V/H) policies minimizing a tracking error. Our formulation is given by local risk minimization through an asymmetric way of penalizing profits and losses. First, we derive an asymptotic risk for a large number of trading dates. Then, we characterize the optimality by means of fully nonlinear partial differen...

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