Publications

Papers in peer-reviewed journals

2018

• Gas storage valuation and hedging. A quantification of the model risk.
  Patrick Henaff, Ismail Laachir and Francesco Russo
  International Journal of Financial Studies. Special Issue "Finance, Financial Risk Management and their Applications"., vol. 6(1), pp. 27, mar, 2018    [ ]   

2016

• BSDEs, càdlàg martingale problems and orthogonalisation under basis risk.
  Ismail Laachir and Francesco Russo
  SIAM Journal on Financial Mathematics., vol. 7, pp. 308-356, may, 2016    [ ]   
• Change of numeraire in the two-marginals martingale transport problem
  Luciano Campi, Ismail Laachir and Claude Martini
  2016   

Doctoral these

2015

• Quantification of the model risk in finance and related problems
  Ismail Laachir
  jul, 2015    [ ]