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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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Algebraic change-point detection

Michel Fliess , Cédric Join , Mamadou Mboup
Applicable Algebra in Engineering, Communication and Computing, 2010, 21 (2), pp.131-143. ⟨10.1007/s00200-010-0119-z⟩
Journal articles inria-00439226v1
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Financial Modeling of Climate-related Risks

Théo Le Guenedal
Statistics [math.ST]. Institut Polytechnique de Paris, 2022. English. ⟨NNT : 2022IPPAG009⟩
Theses tel-04013805v1
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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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A model-free approach to delta hedging

Michel Fliess , Cédric Join
[Research Report] 2010
Reports inria-00457222v1
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Prediction bands for solar energy: New short-term time series forecasting techniques

Michel Fliess , Cédric Join , Cyril Voyant
Solar Energy, 2018, 166, pp.519-528. ⟨10.1016/j.solener.2018.03.049⟩
Journal articles hal-01736518v1
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Resolving a Clearing Member’s Default, A Radner Equilibrium Approach

Dorinel Bastide , Stéphane Crépey , Samuel Drapeau , Mekonnen Tadese
Preprints, Working Papers, ... hal-04215657v1

Ambiguïté et impact sur les prises de décisions en univers incertain

Christian Yann Robert , Pierre-Emmanuel Thérond
Séminaire technique de la Chaire DAMI, May 2014, Nanterre, France
Conference papers hal-02017171v1
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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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Weather-index drought insurance in Burkina-Faso: assessment of its potential interest to farmers

Alexis Berg , Philippe Quirion , Benjamin Sultan
Weather, Climate, and Society, 2009, 1 (1), pp.71-84. ⟨10.1175/2009WCAS1008.1⟩
Journal articles hal-00520893v1
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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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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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Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models

Christian Francq , Jean-Michel Zakoïan
Preprints, Working Papers, ... hal-02898909v1
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Bullwhip effect attenuation in supply chain management via control-theoretic tools and short-term forecasts: A preliminary study with an application to perishable inventories

Koussaila Hamiche , Michel Fliess , Cédric Join , Hassane Abouaïssa
6th International Conference on Control, Decision and Information Technologies, CoDIT 2019, Apr 2019, Paris, France. ⟨10.1109/CoDIT.2019.8820297⟩
Conference papers hal-02050480v1
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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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Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Michel Fliess , Cédric Join
18th Mediterranean Conference on Control and Automation, MED'10, Jun 2010, Marrakech, Morocco. pp.CDROM
Conference papers inria-00479824v1
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Risques et crises : Questions sur nos ancrages

Patrick Lagadec
Preprints, Working Papers, ... hal-00338384v1
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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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Emergence of correlations between securities at short time scales

Sebastien Valeyre , Denis S Grebenkov , Sofiane Aboura
Physica A: Statistical Mechanics and its Applications, 2019, 526, pp.121026. ⟨10.1016/j.physa.2019.04.262⟩
Journal articles hal-02343888v1
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Systematic and multifactor risk models revisited

Michel Fliess , Cédric Join
First Paris Financial Management Conference, Dec 2013, Paris, France.
Conference papers hal-00920175v1

Le prix du risque de longévité

Nicole El Karoui , Caroline Hillairet , Stéphane Loisel , Yahia Salhi
Revue d'économie financière, 2019, N°133 (1), pp.129. ⟨10.3917/ecofi.133.0129⟩
Journal articles hal-02471990v1
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A new cosmology of risks and crises time for a radical shift in paradigm and practice

Patrick Lagadec
Preprints, Working Papers, ... hal-00338386v1

Dynamic programming and mean-variance hedging

Jean-Paul Laurent , Huyen Pham
Finance and Stochastics, 1999, ⟨10.1007/s007800050053⟩
Journal articles hal-03675953v1
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Cyber contagion: impact of the network structure on the losses of an insurance portfolio

Caroline Hillairet , Olivier Lopez , Louise d'Oultremont , Brieuc Spoorenberg
Insurance: Mathematics and Economics, 2022
Journal articles hal-03388840v1
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Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

Caroline Hillairet , Olivier Lopez
Scandinavian Actuarial Journal, 2021
Journal articles hal-02564462v2
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Towards new technical indicators for trading systems and risk management

Michel Fliess , Cédric Join
15th IFAC Symposium on System Identification, 2009, Saint-Malo, France. pp.1435-1440, ⟨10.3182/20090706-3-FR-2004.00239⟩
Conference papers inria-00370168v4
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Recovering Volatility from Option Prices by Evolutionary Optimization

Sana Ben Hamida , Rama Cont
The Journal of Computational Finance, 2005, ⟨10.2139/ssrn.546882⟩
Journal articles hal-02490586v1
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Solar energy production: Short-term forecasting and risk management

Cédric Join , Michel Fliess , Cyril Voyant , Frédéric Chaxel
8th IFAC Conference on Manufacturing Modelling, Management & Control, MIM 2016, Jun 2016, Troyes, France. ⟨10.1016/j.ifacol.2016.07.790⟩
Conference papers hal-01272152v3
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Preliminary remarks on option pricing and dynamic hedging

Michel Fliess , Cédric Join
1st International Conference on Systems and Computer Science, Aug 2012, Villeneuve d'Ascq, France. pp.CDROM
Conference papers hal-00705373v1