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Recherche

L'équipe MathFiProNum fédère des chercheurs travaillant sur la modélisation probabiliste et statistique des marchés financiers, sur la théorie et les outils mathématiques développés en finance, et sur les méthodes numériques en probabilité avec des applications principales en finance quantitative.

Thèmes

Les thèmes actuels de recherche développés dans l'équipe incluent:

  • Contrôle stochastique et applications en finance

Optimisation stochastique, arrêt optimal et contrôle impulsionnel, jeux à champ moyen et contrôle de McKean-Vlasov, investissement optimal dans les marchés imparfaits (coûts de transactions, contraintes de portefeuille), gestion des risques financiers (risque de liquidité, retard d'exécution, risque de défaut), couverture robuste d'options

  • Modélisation et statistique financière

Modèles à sauts et à volatilité stochastique, modèles à changements de régime, arbitrage, incertitude de modèle, économétrie de la finance

  • Méthodes numériques en finance

Quantification optimale, méthodes probabilistes pour la résolution numérique d'EDP non linéaires, Méthodes de Monte-Carlo multi-niveaux, réduction de variance, extrapolation de Romberg, méthodes asymptotiques en finance, discrétisation et simulation de processus de Lévy

  • Analyse stochastique

Equations différentielles stochastiques rétrogrades, représentation probabiliste d'EDP non linéaires, matrices aléatoires, grossissement de filtration, mouvement Brownien et théorie générale des processus

  • Probabilités numériques

Algorithmes stochastiques, Quantification fonctionnelle, discrétisation adaptative, accélération de méthodes de simulation

  • Microstructure de marchés et données haute-fréquence

Statistique des données haute fréquence, exécution optimale d'ordres, trading algorithmique, modélisation du carnet d'ordres limite

 

  • Risque de longévité

Modélisation du taux de mortalité, risque de taux à long terme, variable annuities

  • Marchés de l'énergie

Options réelles, choix d'investissement dans les actifs énergétiques (centrales nucléaires, actifs de stockage gaz), modélisation des prix de l'électricité, intéractions stratégiques dans le secteur de l'investissement en production électrique

  • Risque de contrepartie dans les marchés post-crise financière

CVA, modèles de structure par terme multi courbe, impact du risque de défaut sur la valorisation d'options risque de défaut souverain

Projets et collaborations industrielles

Projects in France

ANR CAESARS: Contrôle et simulation des systèmes électriques, interaction et robustesse, 2015-2019
ANR FOREWER: Modélisation, prévision et évaluation des risques pour la production d'énergie éolienne, 2014-2018
ANR LoLitA: Dynamic population models for human LOngevity with LIfesTyle Adjustments, 2013-2018
Chaire Risques Financiers, Fondation du risque, Web
Labex Maths et Risque, Fondation Sciences Mathématiques de Paris, Labex SMP
ANR Grid Computing: projet sur la résolution de problèmes de grande dimension en finance, 2006-2011, Web
ACI NIM FinQuant : projet sur la quantification optimale en finance, 2003-2008
Projet CRIS, Pôle Finance/innovation, risque de crédit, 2009-2011
Projet R=MC2, Azurris,  Pôle Finance/Innovation, gestion des risques en finance d'entreprise, 2010-2013
Projet Alma Research, 2010-2013
 

International

Alliance USPC-NUS: joint research project ``Model uncertainty and stochastic control in financial risk management”, 2014-2015 Web
AMAMEF: réseau européen sur les méthodes mathématiques de la finance 2006-2009
PROCOPE: réseau franco-allemand, 2007-2009
Projet EUROPLACE : Modélisation des prix de l'électricité, une approche par filtrage, 2006-2008 ief_logo_b
Projet EUROPLACE : Mesure et gestion du risque de liquidité, 2007-2009 ief_logo_b
Projet EUROPLACE : Mesure du risque systémique, 2010 ief_logo_b
 

Industries

Contrat CIFRE avec Natixis : Modèles à changements de régime, 2013-2016natixis
Contrat recherche avec EDF : modélisation financière des prix de commodités énergétiques et inférence statistique, 2012-2015 edf
Contrat recherche EXQIM, trading algorithme et arbitrage statistique, 2010-2013 exqim
Contrat recherche avec EDF : Couverture d'options et choix d'investissement sur les marchés de l'énergie, 2010-2013 edf
Contrat CIFRE avec la Société Générale : couverture d'options en présence d’illiquidité de marché, 2004-2007 socgen
Contrat CIFRE avec EDF : Valorisation d'actifs de stockage gaz, 2007-2010 edf
Contrat CIFRE avec Natixis : Méthodes de quantification en finance, 2008-2011natixis
Contrat CIFRE avec GDF : Pricng d’options swing, 2008-2011gdf gdf
Contrat recherche Cheuvreux (CALYON), modélisation de l’activité des Dark pools, 2009 cheuvreux
 

Prépublications

2016

Auteur(s)/Author(s)Titre/Title
H. PHAM, X. WEI Bellman equation and viscosity solutions for mean-field stochastic control problem
K. GLAU, Z. GRBAC, A.PAPAPANTOLEON A unified view of LIBOR models
A. ANANOVA, R. CONT Pathwise integration with respect to paths of finite quadratic variation
N. EL KAROUI, A. MATOUSSI, A. NGOUPEYOU Quadratic Exponential Semimartingales and Application to BSDEs with jumps
J. CAI, M. ROSENBAUM, P. TANKOV Asymptotic Optimal Tracking: Feedback Strategies
H. PHAM, X. WEI Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
H. PHAM Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
N. FRIKHA Multi-level stochastic approximation algorithms
N. EL KAROUI, M. JEANBLANC, Y. JIAO Dynamics of multivariate default system in random environment
T. JAISSON, M. ROSENBAUM The different asymptotic regimes of nearly unstable autoregressive processes
P. TANKOV Lévy Copulas: Review of Recent Results
O. BARDOU, N. FRIKHA, G. PAGES CVaR hedging using quantization based stochastic approximation algorithm
R. CONT, Y. LU Weak approximation of martingale representations
Y. JIAO, C. MA, S. SCOTTIAlpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
L. ABASS-TURKI,S. GRAILLAT Resolution of a large number of small random symmetric linear systems in single precision arithmetic on GPUs
G. PAGES, O. PIRONNEAU, G. SALL The Parareal Algorithm for American Options
I. HONORE, S. MENOZZI, G. PAGES Non-Asymptotic Gaussian Estimates for the Recursive Approximation of the Invariant Measure of a Diffusion
E. BAYRAKTAR, A. COSSO, H. PHAM Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
A. GENIN, P. TANKOV Optimal importance sampling for Lévy Processes
G. PAGES, F. PANLOUP Weighted Multilevel Langevin Simulation of Invariant Measures
Z. TAN, P. TANKOV Optimal trading policies for wind energy producer
E. BANDINI, A. COSSO,M. FUHRMAN, H. PHAM Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
N.H. CHAU, W. RUNGGALDIER, P. TANKOV Arbitrage and utility maximization in market models with an insider
O. EL EUCH, M. ROSENBAUM The characteristic function of rough Heston models
O. EL EUCH, M. FUKASAWA, M. ROSENBAUM The microstructural foundations of leverage effect and rough volatility
N. FRIKHA On the weak approximation of a skew diffusion by an Euler-type scheme
A. ISMAIL, H. PHAM Robust Markowitz mean-variance portfolio selection under ambiguous volatility and correlation
J.D. FERMANIAN, O. GUEANT, J. PU The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
J.FERNANDEZ-TAPIA, O. GUEANT, J.M. LASRY Optimal Real-Time Bidding Strategies
D. GIORGI,V. LEMAIRE, G. PAGES Limit theorems for weighted and regular Multilevel estimators
M. GRIGOROVA,P. IMKELLER, Y. OUKNINE, M.C. QUENEZ Optimal stopping with f -expectations: the irregular case
 

2005-2015

2015

Auteur(s)/Author(s)Titre/Title
R. CONT, Y. LU Weak approximation of martingale representations
E. BAYRAKTAR, A. COSSO, H. PHAM Ergodicity of robust switching control and nonlinear system of quasi variational inequalities
R. AÏD, P. GRUET, H. PHAM An optimal trading problem in intraday electricity markets
C. MENASSE, P. TANKOV Asymptotic indifference pricing in exponential Lévy models
M. FUHRMAN, H. PHAM, F. ZENI Non-Markovian optimal stopping problems and constrained BSDEs with jump
T. JAISSON, M. ROSENBAUM The different asymptotic regimes of nearly unstable autoregressive processes
A. COSSO, S. FEDERICO, F. GOZZI, M. ROSESTOLATO, N. TOUZI Path-dependent equations and viscosity solutions in infinite dimension
L. HUANG Density estimates for SDEs driven by tempered stable processes
M. GRIROROVA, P. IMKELLER, E. OFFEN, Y. OUKNINE, M.C.QUENEZ Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
L.A. ABBAS-TURKI, M. MIKOU TVA on American options.
T. JAISSON, M. ROSENBAUM Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
A. COSSO, H. PHAM, H. XING BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
A. BOUMEZOUED Population viewpoint on Hawkes processes
W. HUANG, M. ROSENBAUM Ergodicity and di ffusivity of Markovian order book models: a general framework
Y. JIAO, S. LI Modelling sovereign risks: from a hybrid model to the generalized density approach
D. CRIENS, K. GLAU, Z. GRBACMartingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
W. HUANG, C.A. LEHALLE, M. ROSENBAUM How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
C. FONTANA The strong predictable representation property in initially enlarged filtrations
R.DUMITRESCU, M.C. QUENEZ,A. SULEM Mixed generalized Dynkin game and stochastic control in a Markovian framework
J. CAI, M. ROSENBAUM, P. TANKOV Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
G. PAGÈS, A. SAGNA Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
F. LUCIO, G. PAGÈS, A. SAGNA Markovian and product quantization of an R^d -valued Euler scheme of a diffusion process with applications to finance
Z. GRBAC, D. KRIEF, P. TANKOV Approximate Option Pricing in the Lévy Libor Model
N. EL KAROUI, M. JEANBLANC, Y. JIAO, Dynamics of multivariate default system in random environment
R.DUMITRESCU, M.C. QUENEZ,A. SULEM Game options in an imperfect market with default
H. PHAM, X. WEI Discrete time McKean-Vlasov control problem: a dynamic programming approach
E. BANDINI, A. COSSO, M. FUHRMAN, H. PHAM Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
G. PAGÈS, O. PIRONNEAU, G. SALL Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options
Z. GRBAC, L. MENEGHELLO, W. RUNGGALDIER Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
 

2014

Auteur(s)/Author(s)Titre/Title
T. JAISSON, M. ROSENBAUM Limit theorems for nearly unstable Hawkes processes: Version with technical appendix
B. ACCACIO, C. FONTANA, C. KARDARAS Arbitrage of the first kind and filtration enlargements in semimartingale financial models
A. COSSO, F. RUSSO A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs
Y. JIAO, S. LI Generalized density approach in progressive enlargement of filtrations
L. HUANG, S. MENOZZI Density Bounds for some Degenerate Stable Driven SDEs
P. TANKOV Large deviation asymptotics for the left tail of the sum of dependent positive random variables
N. EL KAROUI, M. MRAD, C. HILLAIRET Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
R. DUMITRESCU, M.C. QUENEZ, A. SULEM Optimal stopping for dynamic risk measures with jumps and obstacle problems
Z. GRBAC, A. PAPAPANTOLEON, J. SCHOENMAKERS, D. SKOVMAND Affine LIBOR models with multiple curves: theory, examples and calibration
S. CHOUKROUN, A. COSSO Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity
A. GULISASHVILI, P. TANKOV Implied volatility of basket options at extreme strikes
R AID, S. FEDERICO, H. PHAM, B. VILLENEUVE Explicit investment rules with time-to-build and uncertainty
A. SAGNA, G. PAGÈS Recursive marginal quantization of an Euler scheme with applications to local volatility models
R. DUMITRESCU, M.C. QUENEZ, A. SULEM A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with $\mathcal{E}^f$- expectations
J. CAI, M. FUKASAWA, M. ROSENBAUM, P. TANKOV Optimal discretization of hedging strategies with directional views
C. CUCHIERO, C. FONTANA, A. GNOATTO A general HJM framework for multiple yield curve modeling
H. LUSCHGY, G. PAGÈS Greedy vector quantization
G. PAGÈS Introduction to optimal vector quantization and its applications for numerics
G. PAGÈS Convex order for path-dependent derivatives: a dynamic programming approach
J. CAI, M. FUKASAWA Asymptotic replication with modified volatility under small transaction costs
H. PHAM Long time asymptotics for optimal investment
H. PHAM Feynman-Kac representation of fully nonlinear PDEs and applications
N. FRIKHA, L. HUANG A multi-step Richardson-Romberg extrapolation method for stochastic approximation
E. BAYRAKTAR, A. COSSO, H. PHAM Robust feedback switching control: dynamic programming and viscosity solutions
A. COSSO, M. FUHRMAN, H. PHAM Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
A. BELLONI, M. ROSENBAUM, A. TSYBAKOV Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models
J. GATHERAL, T. JAISSON, M. ROSENBAUM Volatility is rough
M. NGO, H. PHAM Optimal switching for pairs trading rule: a viscosity solutions approach
 

2013

Auteur(s)/Author(s)Titre/Title
M.C. QUENEZ, A. SULEMReflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
K. DAYRI, M. ROSENBAUMLarge tick assets: implicit spread and optimal tick size
N. FRIKHA, M. FATHITransport-entropy inequalities and deviation estimates for stochastic approximation schemes
V. LEMAIRE, G. PAGÈS, F. PANLOUPInvariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
S. DELATTRE, C. ROBERT, M. ROSENBAUMEstimating the efficient price from the order flow: a Brownian Cox process approach
E. CHEVALIER, V. LY VATH, A. ROCH, S. SCOTTIOptimal Liquidation of an Illiquid Asset Under Stochastic Liquidity and Regime Shifting
P. FODRA, H. PHAMSemi Markov Model for Market Microstructure
S. GOUTTEMarkov switching quadratic term structure models
A. GULISASHVILI, P. TANKOVTail behavior of sums and di erences of log-normal random variables
M. KOBYLANSKI, M.C. QUENEZ, M. DE CAMPAGNOLLEDynkin games in general framework
S. CHOUKROUN, A. COSSO, H. PHAMReflected BSDEs with nonpositive jumps, and controller-and-stopper games
Y. JIAO, O. KLOPFENSTEIN, P. TANKOVHedging under multiple risk constraints
P. FODRA, H. PHAMHigh frequency trading in a Markov renewal model
R. ELIE, M. ROSENBAUM, M. YOROn the expectation of normalized Brownian functionals up to first hitting times
T. JAISSON, M. ROSENBAUMLimit theorems for nearly unstable Hawkes processes
R. DUMITRESCU, M.C. QUENEZ, A. SULEMDouble barrier reflected BSDEs with jumps and generalized Dynkin games
N. FRIKHAMulti-level stochastic approximation algorithms
S. FEDERICO, P. TANKOVFinite dimensional representations for controlled diffusions with delay
M. FUHRMAN, H. PHAMDual and backward SDE representation for optimal control of non-Markovian SDEs
M. ROSENBAUM, M. YOROn the law of a triplet associated with the pseudo-Brownian bridge
I. KHARROUBI, N. LANGRENÉ, H. PHAMDiscrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
I. KHARROUBI, N. LANGRENÉ, H. PHAMA numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
M. ROSENBAUM, M. YORSome explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
S. LARUELLE, G. PAGÈSNonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
E. CHEVALIER, V. LY VATH, A. ROCH, S. SCOTTIOptimal Execution Cost for Liquidation Through a Limit Order Market
W. HUANG, C.A. LEHALLE, M. ROSENBAUMSimulating and analyzing order book data: The queue-reactive model
H.N. CHAU, P. TANKOVMarket models with optimal arbitrage
V. LEMAIRE, G. PAGÈSMultilevel Richardson-Romberg extrapolation
G. PAGÈS, J. YUPointwise convergence of the Lloyd algorithm in higher dimension
 

2012

Auteur(s)/Author(s)Titre/Title
S. GOUTTE, B. ZOUContinuous time regime switching model applied to foreign exchange rate
A. BENTATA, R. CONTShort-time asymptotics for marginal distributions of semimartingales
S. GOUTTE, N. OUDJANE, F. RUSSOOn some expectation and derivative operators related to integral representations of random variables with respect to a PII process
R. CONT, A. DE LARRARD Order book dynamics in liquid markets: limit theorems and diffusion approximations.
S. FEDERICO, H. PHAMSmooth-fit principle for a degenerate two-dimensional singular stochastic control problem arising in irreversible investment.
E. CHEVALIER, V. LYVATH, S. SCOTTIAn optimal dividend and investment control problem under debt constraints.
S. SCOTTIAsset Pricing under uncertainty
S. CORLAY, J. LEBOVITS & J. LÉVY VÉHELMultifractional Stochastic volatility models.
G. FARAUD, S. GOUTTEBessel bridges decomposition with varying dimension. Applications to finance
R. CONT, L. WAGALATHFire sales forensics: Measuring endogenous risk
P. FODRA, M. LABADIEHigh-frequency market-making with inventory constraints and directional bets.
F. GUILBAUD, H. PHAMOptimal high frequency trading in a pro-rata microstructure with predictive information.
I. KHARROUBI, T. LIM, A. NGOUPEYOUMean-Variance Hedging on uncertain time horizon in a market with a jump
A. KOHATSU-HIGA, S. ORTIZ-LATORRE, P. TANKOV Optimal simulation schemes for Levy driven stochastic differential equations
M.C. QUENEZ, M. ROGER DE CAMPAGNOLLE Dynkin games in a general framework
J. FIGUERA-LOPEZ, P. TANKOV Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias
M.C. QUENEZ, A. SULEMBSDEs with jumps, optimization and applications to dynamic risk measures
C. DE FRANCO, P. TANKOV, X. WARIN Numerical methods for the quadratic hedging problem in Markov models with jumps
J. JACOD, M. ROSENBAUM Quarticity and other functionals of volatility: efficient estimation
A. MIJATOVIC, P. TANKOV A new look at short-term implied volatility in asset price models with jumps
S. CHOUKROUN, S. GOUTTE, A. NGOUPEYOUMean variance hedging under defaults risk.
G. PAGÈS, H. LUSCHGYCritical dimension for quadratic functional quantization
G. PAGÈSFunctional co-monotony of processes with an application to peacocks
R. CONT, A. KUKANOVOptimal order placement in limit order markets.
R. AÏD, L. CAMPI, N. LANGRENÉ, H. PHAM A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation.
S. GOUTTEConditional Markov regime switching model applied to economic modelling.
G. PAGÈS, F. PANLOUPA mixed-step algorithm for the approximation of the stationary regime of a diffusion.
I. KHARROUBI, H. PHAMFeynman-Kac representation for Hamilton-Jacobi-Bellman IPDE.
J. JACOD, M. ROSENBAUMEstimation of volatility functionals: the case of a square root n window
 

2011

Auteur(s)/Author(s)Titre/Title
R. CONT, A. DE LARRARDPrice Dynamics in a Markovian Limit Order Book Market.
M. BERNHART, H. PHAM, P. TANKOV, X. WARINSwing Options Valuation: a BSDE with Constrained Jumps Approach.
M. BERNHART, P. TANKOV, X. WARINA finite dimensional approximation for pricing moving average options.
S. LARUELLE, G. PAGÈSRandomized Urn Models revisited using Stochastic Approximation
I. KHARROUBI, T. LIMProgressive enlargement of filtrations and Backward SDEs with jumps.
G. PAGÈS, B. WILBERTZGPGPUs in computational finance: Massive parallel computing for American style options.
S. CORLAYPartial functional quantization and generalized bridges.
Y. JIAO, I. KHARROUBI, H. PHAMOptimal investment under multiple defaults risk: a BSDE-decomposition approach.
G. PAGÈS, B. WILBERTZOptimal Delaunay and Voronoi quantization schemes for pricing American style options.
C. DE FRANCO, P. TANKOV Portfolio Insurance under a risk-measure constraint
T. LIM, V. LY VATH, J.-M. SAHUT, S. SCOTTIBid-ask spread modelling, a perturbation approach.
S. BOHNThe slippage paradox
I. KHARROUBI, T. LIMA decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case.
S. FEDERICO, B. GOLDYS, F. GOZZIHJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks.
S. CORLAYA fast nearest neighbor search algorithm based on vector quantization.
S. FEDERICO, E. TACCONIHJB equations for the optimal control of differential equations with delay in the control variable.
F. GUILBAUD, H. PHAMOptimal high frequency trading with limit and market orders.
L. CARASSUS, M. RASONYIOn optimal investment for a behavioral investor in multiperiod incomplete market models.
P. GASSIAT, F. GOZZI, H. PHAMInvestment/consumption problem in illiquid markets with regimes switching
S. GOUTTE, A. NGOUPEYOUPricing and hedging defaultable claim
P. GASSIAT, I. KHARROUBI, H. PHAMTime discretization and quantization methods for optimal multiple switching problem.
S. GOUTTE, A. NGOUPEYOUConditional Laplace formula in regime switching model: Application to defaultable bond
R. CONT, R. DEGUEST, X.D. HELoss-Based Risk Measures
M. GRIGOROVAStochastic orderings with respect to a capacity and an application to a financial optimization problem
M. GRIGOROVAStochastic dominance with respect to a capacity and risk measures.
M. ROSENBAUM, P. TANKOV Asymptotically optimal discretization of hedging strategies with jumps
S. LARUELLE, C.-A. LEHALLE, G. PAGÈSOptimal posting distance of limit orders: a stochastic algorithm approach.
 

2010

Auteur(s)/Author(s)Titre/Title
A. Bentata, R. ContForward equations for option prices in semimartingale models.
H. PhamStochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management.
V. Lemaire, S. MenozziOn some non asymptotic bounds for the Euler scheme.
R. Cont, D. FourniéFunctional Itô calculus and stochastic integral representation of martingales.
C. Hillairet, Y. Jiao Information asymmetry in pricing of credit derivatives
S. Corlay and G. PagèsFunctional quantization based stratified sampling methods.
R. Cont, D. FourniéChange of variable formulas for non-anticipative functionals on path space.
F. Guilbaud, M. Mnif, H. PhamNumerical methods for an optimal order execution problem.
L. Carassus, E. TemamPricing and hedging basis risk under No Good Deal Assumption
T. Lim, M.C. QuenezPortfolio optimization in a default model under full/partial information.
S. Laruelle, G. PagèsStochastic approximation with averaging innovation.
L Carassus, T. VargioluSuper-replication price for asset prices having bounded increments in discrete time.
G. Pagès, F. PanloupErgodic approximation of the distribution of a stationary diffusion : rate of convergence.
S. CorlayThe Nyström method for functional quantization with an application to the fractional Brownian motion.
S. Graf, H. Luschgy, G. PagèsThe local quantization behaviour of absolutely continuous probabilities.
R. Cont, N. Lantos, O. PironneauA reduced basis for option pricing.
G. Pagès, B. WilbertzIntrinsic stationarity for vector quantization: Foundation of dual quantization.
G. Pagès, B. WilbertzSharp rate for the dual quantization problem.
O. Bardou, N. Frikha, G. PagèsCVaR hedging using quantization based stochastic approximation algorithm
 

2009

Auteur(s)/Author(s)Titre/Title
H. Luschgy, G. PagèsExpansions for Gaussian processes and Parseval frames.
Y. Jiao, H. PhamOptimal investment with counterparty risk: a default-density modeling approach.
Y. JiaoZero bias transformation and asymptotic expansions.
R. Elie, I. KharroubiConstrained backward SDEs with jumps: Application to optimal switching.
L. Carassus, M. RasonyiRisk-averse asymptotics for reservation prices.
Y. JiaoZero bias transformation and asymptotic expansions II: the Poisson case.
N. El Karoui, M. Jeanblanc, Y. JiaoWhat happens after a default: the conditional density approach.
E. Gobet, C. LabartSolving BSDE with adaptive control variate
I. Kharroubi, H. PhamOptimal portfolio liquidation with execution cost and risk.
C. Callegaro, A. SagnaAn application to credit risk of a hybrid Monte Carlo-Optimal quantization method.
P. Gassiat, H. Pham, M. SirbuOptimal investment on finite horizon with random discrete order flow in illiquid markets.
R. Cont, R. Deguest, G. ScandoloRobustness and sensitivity analysis of risk measurement procedures.
R. Cont, A. MincaRecovering portfolio default intensities implied by CDO quotes.
N. Frikha, V. LemaireJoint Modelling of Gas and Electricity spot prices.
S. Laruelle, C.A. Lehalle, G. PagèsOptimal split of orders across liquidity pools: a stochastic algorithm approach
A. Bentata, R. ContMimicking the marginal distributions of a semimartingale
G. Pagès, B. WilbertzDual Quantization for random walks with application to credit derivatives.
 

2005

Auteur(s)/Author(s)Titre/TitleStatus
Bouchard B.No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Gobet E., Pagès G., Pham H., Printems J.Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equationsSIAM Journal on Numerical Analysis, 2006, 44, 2505-2538.
Carassus L., Rasonyi M.Optimal strategies and utility-based prices converge when agents' preferences do.
Pagès G.A two armed bandit type problem revisited.
Carassus L. & Rasonyi M.Convergence of utility indifference prices to the superreplication price.
Luschgy H. & Pagès G.Functional quantization and metric entropy for Riemann-Liouville processes.
Graf S., Luschgy H., Pagès G.Optimal quantizers for Radon random vectors in a Banach space.
Ly Vath V., Pham H.Explicit solution to an optimal switching problem in the two regimes case.SIAM Journal on Control and Optimization, 2007, 395-426.
Sellami AQuantization based filtering method using first order approximation.
Pham H.On some recent aspects of stochastic control and their applications.Probability surveys, 2005, 2, 506-549
Ly Vath V., Mnif M., Pham H.A model of optimal portfolio selection under liquidity risk and price impact.Finance and Stochastics, 2007, 11, 51-90
Lamberton D., Pagès G.How fast is the bandit ?
Lamberton D., Pagès G.A penalized bandit algorithm
Bruder B.Super-replication of European options with a derivative asset under constrained finite variation strategies.
Sellami A.Comparative survey on non linear filtering methods : the quantization and the particle filtering approaches.
Luschgy H., Pagès G.High-resolution product quantization for Gaussian processes under sup-norm distortion.
Bouchard B., Elie R.Discrete time approximation of decoupled Forward-Backward SDE with jumps.
 
 
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