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René A. Carmona - Publications

Affiliations: 
Princeton University, Princeton, NJ 
Area:
Mathematics
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54 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Carmona RA, Graves CV. Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game Dynamic Games and Applications. 10: 79-99. DOI: 10.1007/S13235-019-00315-1  0.328
2020 Carmona R, Cerenzia M, Palmer AZ. The Dyson and Coulomb Games Annales Henri Poincaré. 21: 2897-2949. DOI: 10.1007/S00023-020-00936-Y  0.355
2019 Acciaio B, Backhoff-Veraguas J, Carmona R. Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective Siam Journal On Control and Optimization. 57: 3666-3693. DOI: 10.1137/18M1196479  0.344
2019 Carmona R, Graves CV, Tan Z. Price of Anarchy for Mean Field Games Esaim: Proceedings. 65: 349-383. DOI: 10.1051/Proc/201965349  0.409
2019 Angiuli A, Graves CV, Li H, Chassagneux J, Delarue F, Carmona R. Cemracs 2017: numerical probabilistic approach to MFG Esaim: Proceedings. 65: 84-113. DOI: 10.1051/Proc/201965084  0.366
2019 Carmona R, Webster K. The self-financing equation in limit order book markets Finance and Stochastics. 23: 729-759. DOI: 10.1007/S00780-019-00398-Z  0.44
2018 Carmona R, Fouque J, Mousavi SM, Sun L. Systemic Risk and Stochastic Games with Delay Journal of Optimization Theory and Applications. 179: 366-399. DOI: 10.1007/S10957-018-1267-8  0.372
2017 Carmona RA, Ma Y, Nadtochiy S. Simulation of Implied Volatility Surfaces via Tangent Levy Models Siam Journal On Financial Mathematics. 8: 171-213. DOI: 10.1137/15M1015510  0.721
2017 Carmona R, Delarue F, Lacker D. Mean Field Games of Timing and Models for Bank Runs Applied Mathematics and Optimization. 76: 217-260. DOI: 10.1007/S00245-017-9435-Z  0.379
2017 Carmona RA, Wang P. An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders Impacts Applied Mathematics and Optimization. 76: 5-27. DOI: 10.1007/S00245-017-9430-4  0.406
2016 Carmona RA, Delarue F, Lacker D. Mean field games with common noise Annals of Probability. 44: 3740-3803. DOI: 10.1214/15-Aop1060  0.33
2016 Carmona R, Zhu X. A probabilistic approach to mean field games with major and minor players Annals of Applied Probability. 26: 1535-1580. DOI: 10.1214/15-Aap1125  0.369
2015 Carmona RA, Fouque JP, Sun LH. Mean Field Games and Systemic Risk Communications in Mathematical Sciences. 13: 911-933. DOI: 10.2139/Ssrn.2307814  0.376
2015 Carmona R, Delarue F. Forward-backward stochastic differential equations and controlled Mckean-Vlasov dynamics Annals of Probability. 43: 2647-2700. DOI: 10.1214/14-Aop946  0.387
2015 Carmona R, Lacker D. A probabilistic weak formulation of mean field games and applications Annals of Applied Probability. 25: 1189-1231. DOI: 10.1214/14-Aap1020  0.413
2015 Carmona R. Financialization of the commodities markets: A non-technical introduction Fields Institute Communications. 74: 3-37. DOI: 10.1007/978-1-4939-2733-3_1  0.367
2014 Carmona R, Coulon M. A survey of commodity markets and structural models for electricity prices Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets. 41-83. DOI: 10.1007/978-1-4614-7248-3_2  0.401
2013 Carmona R, Delarue F. Mean field forward-backward stochastic differential equations Electronic Communications in Probability. 18: 1-15. DOI: 10.1214/Ecp.V18-2446  0.313
2013 Carmona R, Delarue F, Espinosa G, Touzi N. Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives Annals of Applied Probability. 23: 1086-1128. DOI: 10.1214/12-Aap865  0.371
2013 Carmona R, Delarue F. Probabilistic analysis of mean-field games Siam Journal On Control and Optimization. 51: 2705-2734. DOI: 10.1137/120883499  0.391
2013 Carmona R, Coulon M, Schwarz D. Electricity price modeling and asset valuation: A multi-fuel structural approach Mathematics and Financial Economics. 7: 167-202. DOI: 10.1007/S11579-012-0091-4  0.454
2013 Carmona R, Delarue F, Lachapelle A. Control of McKean–Vlasov dynamics versus mean field games Mathematics and Financial Economics. 7: 131-166. DOI: 10.1007/S11579-012-0089-Y  0.393
2013 Carmona R, Delarue F. Singular FBSDEs and scalar conservation laws driven by diffusion processes Probability Theory and Related Fields. 157: 333-388. DOI: 10.1007/S00440-012-0459-7  0.367
2012 Carmona R, Coulon M, Schwarz D. The valuation of clean spread options: Linking electricity, emissions and fuels Quantitative Finance. 12: 1951-1965. DOI: 10.1080/14697688.2012.750733  0.401
2012 Carmona R, Nadtochiy S. Tangent Lévy market models Finance and Stochastics. 16: 63-104. DOI: 10.1007/S00780-011-0158-8  0.724
2011 Carmona R, Hinz J. Risk-neutral models for emission allowance prices and option valuation Management Science. 57: 1453-1468. DOI: 10.1287/Mnsc.1110.1358  0.45
2011 Carmona R, Nadtochiy S. Tangent models as a mathematical framework for dynamic calibration International Journal of Theoretical and Applied Finance. 14: 107-135. DOI: 10.1142/S0219024911006280  0.734
2010 Yang Z, Tong Z, Chen Y, Zeng J, Lu F, Sun X, Zhao C, Wang K, Davey L, Chen H, London N, Muramatsu D, Salasar F, Carmona R, Kasuga D, et al. Genetic and functional dissection of HTRA1 and LOC387715 in age-related macular degeneration. Plos Genetics. 6: e1000836. PMID 20140183 DOI: 10.1371/Journal.Pgen.1000836  0.314
2010 Carmona R, Crépey S. Particle methods for the estimation of credit portfolio loss distributions International Journal of Theoretical and Applied Finance. 13: 577-602. DOI: 10.1142/S0219024910005905  0.328
2010 Carmona R, Fehr M, Hinz J, Porchet A. Market Design for Emission Trading Schemes Siam Review. 52: 403-452. DOI: 10.1137/080722813  0.426
2010 Carmona R, Ludkovski M. Valuation of energy storage: An optimal switching approach Quantitative Finance. 10: 359-374. DOI: 10.1080/14697680902946514  0.69
2009 Carmona R, Fehr M, Hinz J. Optimal Stochastic Control and Carbon Price Formation Siam Journal On Control and Optimization. 48: 2168-2190. DOI: 10.1137/080736910  0.437
2009 Carmona R, Fouque JP, Vestal D. Interacting particle systems for the computation of rare credit portfolio losses Finance and Stochastics. 13: 613-633. DOI: 10.1007/S00780-009-0098-8  0.359
2009 Carmona R, Nadtochiy S. Local volatility dynamic models Finance and Stochastics. 13: 1-48. DOI: 10.1007/S00780-008-0078-4  0.73
2008 Carmona R, Dayanik S. Optimal multiple stopping of linear diffusions Mathematics of Operations Research. 33: 446-460. DOI: 10.1287/Moor.1070.0301  0.331
2008 Carmona R, Touzi N. Optimal multiple stopping and valuation of swing options Mathematical Finance. 18: 239-268. DOI: 10.1111/J.1467-9965.2007.00331.X  0.389
2008 Carmona R, Ludkovski M. Pricing asset scheduling flexibility using optimal switching Applied Mathematical Finance. 15: 405-447. DOI: 10.1080/13504860802170507  0.68
2008 Carmona R. Indifference pricing: Theory and applications Indifference Pricing: Theory and Applications. 1-414.  0.432
2007 Carmona RA. HJM: A unified approach to dynamic models for fixed income, credit and equity markets Lecture Notes in Mathematics. 1919: 1-50. DOI: 10.1007/978-3-540-73327-0_1  0.389
2005 Carmona R, Durrelman V. Generalizing the Black-Scholes Formula to Multivariate Contingent Claims Journal of Computational Finance. 9: 43-67. DOI: 10.21314/Jcf.2005.159  0.349
2005 Carmona R, Diko P. Pricing precipitation based derivatives International Journal of Theoretical and Applied Finance. 8: 959-988. DOI: 10.1142/S0219024905003311  0.499
2004 Carmona R, Tehranchi M. A characterization of hedging portfolios for interest rate contingent claims Annals of Applied Probability. 14: 1267-1294. DOI: 10.1214/105051604000000297  0.378
2004 Carmona R, Grishin SA, Molchanov S. Asymptotics for the boundary parabolic Anderson problem in a half space Random Operators and Stochastic Equations. 12: 105-128. DOI: 10.1163/156939704323074683  0.305
2003 Carmona R, Durrleman V. Pricing and hedging spread options Siam Review. 45: 627-685. DOI: 10.1137/S0036144503424798  0.645
2000 Briand P, Carmona R. BSDEs with polynomial growth generators Journal of Applied Mathematics and Stochastic Analysis. 13: 207-238. DOI: 10.1155/S1048953300000216  0.304
1998 Carmona RA, Viens FG. Almost-sure exponential behavior of a stochastic anderson model with continuous space parameter Stochastics and Stochastics Reports. 62: 251-273. DOI: 10.1080/17442509808834135  0.311
1996 Carmona R, Viens FG, Molchanov SA. Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation Random Operators and Stochastic Equations. 4: 43-49. DOI: 10.1515/Rose.1996.4.1.43  0.327
1995 Carmona RA, Molchanov SA. Stationary parabolic Anderson model and intermittency Probability Theory and Related Fields. 102: 433-453. DOI: 10.1007/Bf01198845  0.339
1994 Carmona RA, Fouque JP. A diffusion approximation result for two parameter processes Probability Theory and Related Fields. 98: 277-298. DOI: 10.1007/Bf01192255  0.317
1989 Carmona R. Path integrals for relativistic Schrodinger operators Lecture Notes in Physics. 345: 65-92. DOI: 10.1007/3-540-51783-9_17  0.31
1985 Carmona R. One-dimensional Schrödinger operators with random potentials: A survey Acta Applicandae Mathematicae. 4: 65-91. DOI: 10.1007/Bf02293491  0.327
1983 Carmona R. One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types Journal of Functional Analysis. 51: 229-258. DOI: 10.1016/0022-1236(83)90027-7  0.336
1983 Bentosela F, Carmona RA, Duclos P, Simon B, Souillard B, Weder R. Schrödinger operators with an electric field and random or deterministic potentials Communications in Mathematical Physics. 88: 387-397. DOI: 10.1007/Bf01213215  0.303
1978 Carmona R. Pointwise bounds for Schrödinger eigenstates Communications in Mathematical Physics. 62: 97-106. DOI: 10.1007/Bf01248665  0.311
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