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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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Algebraic change-point detection
Michel Fliess
,
Cédric Join
,
Mamadou Mboup
Journal articles
inria-00439226v1
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Financial Modeling of Climate-related Risks
Théo Le Guenedal
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
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
2023
Preprints, Working Papers, ...
hal-04215657v1
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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
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
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.
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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Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models
Christian Francq
,
Jean-Michel Zakoïan
2020
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
2022
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
2008
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
2018
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
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. http://khuongnguyen.free.fr/PFMC-2013/Program_Papers.pdf
Conference papers
hal-00920175v1
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Le prix du risque de longévité
Nicole El Karoui
,
Caroline Hillairet
,
Stéphane Loisel
,
Yahia Salhi
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
2008
Preprints, Working Papers, ...
hal-00338386v1
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Dynamic programming and mean-variance hedging
Jean-Paul Laurent
,
Huyen Pham
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
Conference papers
inria-00370168v4
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Recovering Volatility from Option Prices by Evolutionary Optimization
Sana Ben Hamida
,
Rama Cont
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
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
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