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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
2010
Preprints, Working Papers, ...
hal-00477380v2
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Multivariate utility maximization with proportional transaction costs and random endowment
Giuseppe Benedetti
,
Luciano Campi
2011
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
2017
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
2022
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
2023
Preprints, Working Papers, ...
hal-04119787v1
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Effective asymptotic analysis for finance
Cyril Grunspan
,
Joris van Der Hoeven
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
2019
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
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
2017
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.
2019
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
Journal articles
hal-00824390v2
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Principal-agent problem with multiple principals
Kaitong Hu
,
Zhenjie Ren
,
Junjian Yang
2019
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
2019
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
2013
Reports
hal-00684005v2
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Information Asymmetry in Pricing of Credit Derivatives
Caroline Hillairet
,
Ying Jiao
2010
Preprints, Working Papers, ...
hal-00457456v1
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Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework
Anas Benabid
,
Harry Bensusan
,
Nicole El Karoui
2008
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
2018
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
Journal articles
hal-01212018v2
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Quantification des incertitudes en gestion d'actifs : méthodes à noyaux et fluctuations statistiques
Linda Chamakh
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
2018
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
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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
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