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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Learning from Sequences with Point Processes
Massil Achab
Computational Finance [q-fin.CP]. Université Paris Saclay (COmUE), 2017. English.
⟨NNT : 2017SACLX068⟩
Theses
tel-01775239v1
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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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Dealing with multi-currency inventory risk in FX cash markets
Alexander Barzykin
,
Philippe Bergault
,
Olivier Guéant
2022
Preprints, Working Papers, ...
hal-03857966v1
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The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
Imen Ben Tahar
,
Nizar Touzi
,
Mete H. Soner
Journal articles
hal-00703103v1
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Multifractal models for asset prices
Emmanuel Bacry
,
J.-F. Muzy
Journal articles
hal-00604441v1
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Modelling microstructure noise with Hawkes processes
Emmanuel Bacry
,
Sylvain Delattre
,
Marc Hoffmann
,
J.-F. Muzy
ICASSP 2011 International Conference on acoustics, speech and signal processing. Session: Signal Processing Methods for Finance Applications , May 2011, Prague, Czech Republic
Conference papers
hal-00604490v1
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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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Optimal incentives in a limit order book: a SPDE control approach
Bastien Baldacci
,
Philippe Bergault
2023
Preprints, Working Papers, ...
hal-03941565v1
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Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
Philippe Bergault
,
Louis Bertucci
,
David Bouba
,
Olivier Guéant
2023
Preprints, Working Papers, ...
hal-03941578v1
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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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Mechanism Design and Auctions for Electricity Network
Benjamin Heymann
,
Alejandro Jofré
2016
Preprints, Working Papers, ...
hal-01315844v1
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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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Stratégies de couverture presque optimale : théorie et applications
Nicolas Landon
Finance quantitative [q-fin.CP]. Ecole Polytechnique X, 2013. Français.
⟨NNT : ⟩
Theses
pastel-00788067v1
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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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Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio
Linda Chamakh
,
Emmanuel Gobet
,
Jean-Philippe Lemor
2021
Preprints, Working Papers, ...
hal-03207061v1
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Size matters for OTC market makers: General results and dimensionality reduction techniques
Philippe Bergault
,
Olivier Guéant
Journal articles
hal-03885108v1
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Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
Alexander Barzykin
,
Philippe Bergault
,
Olivier Guéant
2022
Preprints, Working Papers, ...
hal-03885154v1
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Learning Value-at-Risk and Expected Shortfall
D Barrera
,
S Crépey
,
E Gobet
,
Hoang-Dung Nguyen
,
B Saadeddine
2022
Preprints, Working Papers, ...
hal-03775901v1
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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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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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Mechanism design and allocation algorithms for network markets with piece-wise linear costs and externalities
Benjamin Heymann
,
Alejandro Jofré
2016
Preprints, Working Papers, ...
hal-01416411v1
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Crises de liquidité endogènes dans les marchés financiers
Antoine Fosset
Microstructure des marchés [q-fin.TR]. Institut Polytechnique de Paris, 2020. Français.
⟨NNT : 2020IPPAX054⟩
Theses
tel-03052419v1
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Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui
,
Caroline Hillairet
,
Mohamed Mrad
,
El Karoui
,
Hillairet Caroline
,
et al.
Decisions in Economics and Finance , 2020
Journal articles
hal-00974815v3
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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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Optimal Electricity Demand Response Contracting with Responsiveness Incentives
René Aïd
,
Dylan Possamaï
,
Nizar Touzi
Mathematics of Operations Research , 2022
Journal articles
hal-03670395v1
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