| Publication | Date of Publication | Type |
|---|
| Thirty years of derivatives market: originality of the French experience | 2024-09-06 | Paper |
| Bi-revealed utilities in a defaultable universe: a new point of view on consumption | 2024-05-25 | Paper |
| Birth death swap population in random environment and aggregation with two timescales | 2023-07-12 | Paper |
| Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling | 2022-09-30 | Paper |
| Consistent utility of investment and consumption: a forward/backward SPDE viewpoint | 2022-07-05 | Paper |
| Ramsey rule with forward/backward utility for long-term yield curves modeling | 2022-06-17 | Paper |
| Simulating long-term impacts of mortality shocks: learning from the cholera pandemic | 2021-11-16 | Paper |
| Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium | 2021-05-04 | Paper |
| How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach | 2019-11-28 | Paper |
| Optimal design of derivatives in illiquid markets* | 2019-01-14 | Paper |
| Conditional Default Probability and Density | 2018-12-13 | Paper |
| Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions | 2018-04-03 | Paper |
| Cause-of-death mortality: what can be learned from population dynamics? | 2018-02-15 | Paper |
| Dynamics of multivariate default system in random environment | 2017-11-09 | Paper |
| Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes | 2017-11-07 | Paper |
| Measuring mortality heterogeneity with multi-state models and interval-censored data | 2017-01-31 | Paper |
| Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions | 2016-10-06 | Paper |
| Quadratic Exponential Semimartingales and Application to BSDEs with jumps | 2016-03-20 | Paper |
| Density Approach in Modeling Successive Defaults | 2015-06-04 | Paper |
| An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE | 2014-01-23 | Paper |
| Understanding, modelling and managing longevity risk: key issues and main challenges | 2013-12-13 | Paper |
| Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs | 2013-10-17 | Paper |
| Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework | 2013-10-12 | Paper |
| Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems | 2013-10-12 | Paper |
| On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation | 2012-02-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3108274 | 2012-01-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3083925 | 2011-03-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3590669 | 2010-09-13 | Paper |
| What happens after a default: the conditional density approach | 2010-07-08 | Paper |
| Stein's method and zero bias transformation for CDO tranche pricing | 2010-04-22 | Paper |
| CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY | 2009-12-07 | Paper |
| Gaussian and Poisson approximation: applications to CDOs tranche pricing | 2009-04-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613976 | 2009-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613981 | 2009-03-16 | Paper |
| Valuation and VaR Computation for CDOs Using Stein’s Method | 2008-12-01 | Paper |
| Dynamic asset pricing theory with uncertain time-horizon | 2008-11-25 | Paper |
| Coupling smiles | 2008-11-18 | Paper |
| Optimal investment decisions when time-horizon is uncertain | 2008-11-13 | Paper |
| Optimal portfolio management with American capital guarantee | 2008-11-06 | Paper |
| Dynamic Financial Risk Management | 2008-09-29 | Paper |
| Closedness results for BMO semi-martingales and application to quadratic BSDEs | 2008-09-10 | Paper |
| Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance | 2008-04-16 | Paper |
| Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures | 2007-08-07 | Paper |
| Boundary sensitivities for diffusion processes in time dependent domains | 2006-11-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493483 | 2006-10-23 | Paper |
| Maturity randomization for stochastic control problems | 2006-07-10 | Paper |
| CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE | 2006-06-12 | Paper |
| Inf-convolution of risk measures and optimal risk transfer | 2006-05-24 | Paper |
| BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. | 2005-11-29 | Paper |
| A non-linear Riesz respresentation in probabilistic potential theory | 2005-08-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160493 | 2005-02-09 | Paper |
| A stochastic representation theorem with applications to optimization and obstacle problems. | 2004-09-15 | Paper |
| Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain | 2003-10-22 | Paper |
| Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives) | 2003-09-15 | Paper |
| A dynamic maximum principle for the optimization of recursive utilities under constraints. | 2003-05-06 | Paper |
| Phenomenology of the interest rate curve | 2002-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4549243 | 2002-08-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760406 | 2002-01-06 | Paper |
| On the role of state variables in interest rates models | 2001-10-09 | Paper |
| Pricing Via Utility Maximization and Entropy | 2001-03-29 | Paper |
| Optimization of consumption with labor income | 2000-02-15 | Paper |
| Robustness of the Black and Scholes Formula | 1998-12-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356588 | 1998-11-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356589 | 1998-11-01 | Paper |
| Reflected solutions of backward SDE's, and related obstacle problems for PDE's | 1998-10-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4357499 | 1998-05-04 | Paper |
| Backward Stochastic Differential Equations in Finance | 1998-04-05 | Paper |
| Synchronization and optimality for multi-armed bandit problems in continuous time | 1998-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4357646 | 1997-11-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868514 | 1996-07-24 | Paper |
| Dynamic allocation problems in continuous time | 1996-02-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839500 | 1996-02-11 | Paper |
| Changes of numéraire, changes of probability measure and option pricing | 1996-01-17 | Paper |
| Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market | 1995-05-17 | Paper |
| Stochastic control methods in optimal design of life testing | 1994-12-07 | Paper |
| General Gittins index processes in discrete time. | 1993-06-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4035959 | 1993-05-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3985737 | 1992-06-27 | Paper |
| A new approach to the Skorohod problem, and its applications | 1992-06-27 | Paper |
| Propriétés de martingales, explosion et représentation de Lévy- Khintchine d'une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes) | 1992-06-26 | Paper |
| A new approach to the skorohod problem, and its applications | 1992-06-25 | Paper |
| Martingale measures and partially observable diffusions | 1992-06-25 | Paper |
| Martingale measures and stochastic calculus | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3357204 | 1989-01-01 | Paper |
| Probabilistic aspects of finite-fuel, reflected follower problems | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3199307 | 1988-01-01 | Paper |
| Existence of an Optimal Markovian Filter for the Control under Partial Observations | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3764031 | 1987-01-01 | Paper |
| Compactification methods in the control of degenerate diffusions: existence of an optimal control | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3715998 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3713281 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3675255 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3954615 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3959859 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4739771 | 1982-01-01 | Paper |
| Ecole d'ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3925594 | 1981-01-01 | Paper |
| Reflexion discontinue et systèmes stochastiques | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3051156 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4197851 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4192751 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3871645 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3871646 | 1977-01-01 | Paper |
| [https://portal.mardi4nfdi.de/wiki/Publication:4131394 Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson] | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4089589 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4089610 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4107708 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4122554 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4766363 | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4766364 | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4768414 | 1973-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5621828 | 1971-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5643397 | 1971-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5665958 | 1971-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5610784 | 1970-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5610785 | 1970-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5612200 | 1970-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5641874 | 1970-01-01 | Paper |
| Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows | N/A | Paper |
