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Stochastic expansion for the diffusion processes and applications to option pricing

Romain Bompis
Probability [math.PR]. Ecole Polytechnique X, 2013. English. ⟨NNT : ⟩
Theses pastel-00921808v2
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Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows

Nicole El Karoui , Mohamed M'Rad
Preprints, Working Papers, ... hal-00477380v2
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Multivariate utility maximization with proportional transaction costs and random endowment

Giuseppe Benedetti , Luciano Campi
Preprints, Working Papers, ... hal-00586377v1
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Rare event simulation related to financial risks: efficient estimation and sensitivity analysis

Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu
Preprints, Working Papers, ... hal-01219616v2
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Easily implementable time series forecasting techniques for resource provisioning in cloud computing

Michel Fliess , Cédric Join , Maria Bekcheva , Alireza Moradi , Hugues Mounier
6th International Conference on Control, Decision and Information Technologies, CoDIT 2019, Apr 2019, Paris, France. ⟨10.1109/codit.2019.8820396⟩
Conference papers hal-02024835v3
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Bridging socioeconomic pathways of CO2 emission and credit risk

Florian Bourgey , Emmanuel Gobet , Ying Jiao
Preprints, Working Papers, ... hal-03458299v2
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Equilibrium in Functional Stochastic Games with Mean-Field Interaction

Eduardo Abi Jaber , Eyal Neuman , Moritz Voss
Preprints, Working Papers, ... hal-04119787v1
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Effective asymptotic analysis for finance

Cyril Grunspan , Joris van Der Hoeven
International Journal of Theoretical and Applied Finance, 2020, 23 (2), ⟨10.1142/S0219024920500132⟩
Journal articles hal-01573621v3
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Optimal inventory management and order book modeling

Nicolas Baradel , Bruno Bouchard , David Evangelista , Othmane Mounjid
ESAIM: Proceedings and Surveys, 2019, 65, pp.145-181
Journal articles hal-01710301v2
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Optimal make-take fees for market making regulation

Omar El Euch , Thibaut Mastrolia , Mathieu Rosenbaum , Nizar Touzi
Preprints, Working Papers, ... hal-02379592v1
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Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations

F Bourgey , S de Marco , Emmanuel Gobet , Alexandre Zhou
Monte Carlo Methods and Applications, 2020, 26 (2), ⟨10.1515/mcma-2020-2062⟩
Journal articles hal-02430430v1
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Analysis of Backward SDEs with Jumps and Risk Management Issues

Mohamed Nabil Kazi-Tani
Probability [math.PR]. Ecole Polytechnique X, 2012. English. ⟨NNT : ⟩
Theses pastel-00782154v1
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Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio

Ankush Agarwal , Ronnie Sircar
Preprints, Working Papers, ... hal-01388399v2
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Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , José G López-Salas , Fanny Noubiagain , et al.
Preprints, Working Papers, ... hal-01686952v3
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Hedging under an expected loss constraint with small transaction costs

Bruno Bouchard , Ludovic Moreau , Mete H. Soner
SIAM Journal on Financial Mathematics, 2016, 7 (1), pp.508-551
Journal articles hal-00863562v2
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Reducing the debt : is it optimal to outsource an investment?

Gilles Edouard Espinosa , Caroline Hillairet , Benjamin Jourdain , Monique Pontier
Mathematics and Financial Economics, 2016, 10 (4), pp.457-493. ⟨10.1007/s11579-016-0166-8⟩
Journal articles hal-00824390v2
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Principal-agent problem with multiple principals

Kaitong Hu , Zhenjie Ren , Junjian Yang
Preprints, Working Papers, ... hal-02088486v1
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Gaussian Agency problems with memory and Linear Contracts

Eduardo Abi Jaber , Stéphane Villeneuve
Finance and Stochastics, 2022
Journal articles hal-03783062v1
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Meta-model of a large credit risk portfolio in the Gaussian copula model

Florian Bourgey , Emmanuel Gobet , Clément Rey
Preprints, Working Papers, ... hal-02291548v2
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Mathematical modeling for market making and related problems of financial liquidity: a song of assets and traders.

Philippe Bergault
Probability [math.PR]. Université Paris 1 - Panthéon-Sorbonne, 2021. English. ⟨NNT : ⟩
Theses tel-03592281v1
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Maximum Maximum of Martingales given Marginals

Pierre Henry-Labordere , Jan Obloj , Peter Spoida , Nizar Touzi
Reports hal-00684005v2
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Information Asymmetry in Pricing of Credit Derivatives

Caroline Hillairet , Ying Jiao
Preprints, Working Papers, ... hal-00457456v1
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Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Anas Benabid , Harry Bensusan , Nicole El Karoui
Preprints, Working Papers, ... hal-00458014v2
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A mathematical proof of the existence of trends in financial time series

Michel Fliess , Cédric Join
Systems Theory: Modelling, Analysis and Control, May 2009, Fes, Morocco. pp.43-62
Conference papers inria-00352834v1
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Principal-Agent Problem with Common Agency without Communication

Thibaut Mastrolia , Zhenjie Ren
Preprints, Working Papers, ... hal-01534611v2
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Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options

Stéphane Goutte , Amine Ismail , Huyên Pham
Applied Mathematical Finance, 2017, 24 (1), pp.38-75. ⟨10.1080/1350486X.2017.1333015⟩
Journal articles hal-01212018v2
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Quantification des incertitudes en gestion d'actifs : méthodes à noyaux et fluctuations statistiques

Linda Chamakh
Statistics [math.ST]. Institut Polytechnique de Paris, 2021. English. ⟨NNT : 2021IPPAX045⟩
Theses tel-03373286v1
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Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations

Emmanuel Gobet , Isaque Pimentel , Xavier Warin
Preprints, Working Papers, ... hal-01761234v1
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Asymptotic and non asymptotic approximations for option valuation

Romain Bompis , Emmanuel Gobet
Thomas Gerstner and Peter Kloeden. Computational finance, World scientific, pp.80, 2012
Book sections hal-00720650v1

Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks

Satya N. Majumdar , Philippe Mounaix , Gregory Schehr
Physical Review Letters, 2013, 111, pp.070601
Journal articles hal-00861416v1