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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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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
Reports hal-00684005v2
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Information Asymmetry in Pricing of Credit Derivatives

Caroline Hillairet , Ying Jiao
Preprints, Working Papers, ... hal-00457456v1

Dealing with multi-currency inventory risk in FX cash markets

Alexander Barzykin , Philippe Bergault , Olivier Guéant
Preprints, Working Papers, ... hal-03857966v1

The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes

Imen Ben Tahar , Nizar Touzi , Mete H. Soner
SIAM Journal on Control and Optimization, 2007, 46 (5), pp.1779-1801. ⟨10.1137/050646044⟩
Journal articles hal-00703103v1

Multifractal models for asset prices

Emmanuel Bacry , J.-F. Muzy
Encyclopedia of quantitative finance, 2010, pp.1-10. ⟨10.1002/9780470061602.eqf20004⟩
Journal articles hal-00604441v1

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
Preprints, Working Papers, ... hal-00458014v2

Optimal incentives in a limit order book: a SPDE control approach

Bastien Baldacci , Philippe Bergault
Preprints, Working Papers, ... hal-03941565v1

Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions

Philippe Bergault , Louis Bertucci , David Bouba , Olivier Guéant
Preprints, Working Papers, ... hal-03941578v1
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Principal-Agent Problem with Common Agency without Communication

Thibaut Mastrolia , Zhenjie Ren
Preprints, Working Papers, ... hal-01534611v2
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Mechanism Design and Auctions for Electricity Network

Benjamin Heymann , Alejandro Jofré
Preprints, Working Papers, ... hal-01315844v1
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Quantification des incertitudes en gestion d'actifs : méthodes à noyaux et fluctuations statistiques

Linda Chamakh
Statistics [math.ST]. Institut Polytechnique de Paris, 2021. English. ⟨NNT : 2021IPPAX045⟩
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
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
Preprints, Working Papers, ... hal-03207061v1

Size matters for OTC market makers: General results and dimensionality reduction techniques

Philippe Bergault , Olivier Guéant
Mathematical Finance, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩
Journal articles hal-03885108v1

Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control

Alexander Barzykin , Philippe Bergault , Olivier Guéant
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
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
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
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
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
Preprints, Working Papers, ... hal-03458299v2

Optimal Electricity Demand Response Contracting with Responsiveness Incentives

René Aïd , Dylan Possamaï , Nizar Touzi
Mathematics of Operations Research, 2022
Journal articles hal-03670395v1