| Publication | Date of Publication | Type |
|---|
Structured dictionary learning of rating migration matrices for credit risk modeling
Computational Statistics | 2025-01-13 | Paper |
A mean field game model for renewable investment under long-term uncertainty and risk aversion
Dynamic Games and Applications | 2025-01-06 | Paper |
Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation
Annals of Operations Research | 2024-06-04 | Paper |
Bridging socioeconomic pathways of \(\mathrm{CO}_2\) emission and credit risk
Annals of Operations Research | 2024-06-04 | Paper |
Estimation of extreme quantiles from heavy-tailed distributions with neural networks
Statistics and Computing | 2023-11-17 | Paper |
Weak approximations and VIX option price expansions in forward variance curve models
Quantitative Finance | 2023-09-25 | Paper |
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Quantitative Finance | 2023-09-25 | Paper |
Transform MCMC schemes for sampling intractable factor copula models
Methodology and Computing in Applied Probability | 2023-07-04 | Paper |
A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions
SIAM/ASA Journal on Uncertainty Quantification | 2022-11-25 | Paper |
Newton method for stochastic control problems
SIAM Journal on Control and Optimization | 2022-10-12 | Paper |
A generative model for fBm with deep ReLU neural networks
Journal of Complexity | 2022-09-12 | Paper |
Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,
ESAIM: Control, Optimisation and Calculus of Variations | 2022-08-01 | Paper |
Model-adaptive optimal discretization of stochastic integrals
Stochastics | 2022-07-05 | Paper |
Study of new rare event simulation schemes and their application to extreme scenario generation
Mathematics and Computers in Simulation | 2021-03-01 | Paper |
Metamodel of a large credit risk portfolio in the Gaussian copula model
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
Uncertainty quantification for stochastic approximation limits using chaos expansion
SIAM/ASA Journal on Uncertainty Quantification | 2020-08-31 | Paper |
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
Finance and Stochastics | 2020-08-03 | Paper |
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
Monte Carlo Methods and Applications | 2020-07-08 | Paper |
Parametric inference for diffusions observed at stopping times
Electronic Journal of Statistics | 2020-06-11 | Paper |
Volatility uncertainty quantification in a stochastic control problem applied to energy
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
Stochastic approximation schemes for economic capital and risk margin computations
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case
Journal of Complexity | 2019-06-20 | Paper |
Convergence rate of strong approximations of compound random maps, application to SPDEs
Discrete and Continuous Dynamical Systems. Series B | 2018-12-27 | Paper |
New approximations in local volatility models
Inspired by Finance | 2018-12-13 | Paper |
Optimal discretization of stochastic integrals driven by general Brownian semimartingale
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-11-09 | Paper |
Strong approximation of stochastic processes at random times and application to their exact simulation
Stochastics | 2018-09-04 | Paper |
Analytical approximations of local-Heston volatility model and error analysis
Mathematical Finance | 2018-08-16 | Paper |
Analytical approximations of non-linear SDEs of McKean-Vlasov type
Journal of Mathematical Analysis and Applications | 2018-06-28 | Paper |
A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
SIAM Journal on Numerical Analysis | 2018-01-17 | Paper |
Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph
Statistical Inference for Stochastic Processes | 2017-10-27 | Paper |
Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
Applied Mathematical Finance | 2017-10-05 | Paper |
First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
Bernoulli | 2017-05-11 | Paper |
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
Stochastic Processes and their Applications | 2017-03-20 | Paper |
MCMC design-based non-parametric regression for rare event. application to nested risk computations
Monte Carlo Methods and Applications | 2017-03-16 | Paper |
Analytical approximation of variable annuities for small volatility and small withdrawal
Theory of Probability & Its Applications | 2017-03-09 | Paper |
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
SIAM Journal on Scientific Computing | 2016-11-18 | Paper |
Empirical regression method for backward doubly stochastic differential equations
SIAM/ASA Journal on Uncertainty Quantification | 2016-07-22 | Paper |
Monte-Carlo methods and stochastic processes. From linear to non-linear
| 2016-05-04 | Paper |
Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
Mathematics of Computation | 2016-03-09 | Paper |
Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
Bernoulli | 2016-02-22 | Paper |
Rare Event Simulation Using Reversible Shaking Transformations
SIAM Journal on Scientific Computing | 2015-10-27 | Paper |
Analytical Approximations of BSDEs with Nonsmooth Driver
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Stochastic approximation finite element method: analytical formulas for multidimensional diffusion process
SIAM Journal on Numerical Analysis | 2015-04-08 | Paper |
Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations
Advances in Numerical Simulation in Physics and Engineering | 2015-02-03 | Paper |
A correction note to ``Discrete time hedging errors for options with irregular payoffs
Finance and Stochastics | 2014-11-07 | Paper |
Fractional smoothness of functionals of diffusion processes under a change of measure
Electronic Communications in Probability | 2014-09-29 | Paper |
Optimization of joint \(p\)-variations of Brownian semimartingales
Electronic Communications in Probability | 2014-09-29 | Paper |
Almost sure optimal hedging strategy
The Annals of Applied Probability | 2014-08-06 | Paper |
Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
International Journal of Theoretical and Applied Finance | 2014-06-19 | Paper |
Preliminary control variates to improve empirical regression methods
Monte Carlo Methods and Applications | 2014-02-11 | Paper |
Weak approximation of averaged diffusion processes
Stochastic Processes and their Applications | 2014-02-06 | Paper |
Monte-Carlo methods and stochastic processes. From linear to non-linear
| 2013-10-25 | Paper |
Asymptotic and non asymptotic approximations for option valuation
Recent Developments in Computational Finance | 2013-09-24 | Paper |
Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
The tracking error rate of the delta-gamma hedging strategy
Mathematical Finance | 2013-02-28 | Paper |
Analytical formulas for a local volatility model with stochastic rates
Quantitative Finance | 2012-06-26 | Paper |
Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Fractional smoothness and applications in finance
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
The stochastic tool for financial markets.
| 2011-03-24 | Paper |
Solving BSDE with Adaptive Control Variate
SIAM Journal on Numerical Analysis | 2011-02-28 | Paper |
Expansion formulas for European options in a local volatility model
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Time dependent Heston model
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
Smart expansion and fast calibration for jump diffusions
Finance and Stochastics | 2010-04-22 | Paper |
Stopped diffusion processes: boundary corrections and overshoot
Stochastic Processes and their Applications | 2010-03-01 | Paper |
Sharp estimates for the convergence of the density of the Euler scheme in small time
Electronic Communications in Probability | 2009-11-20 | Paper |
LAMN property for hidden processes: the case of integrated diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-10-07 | Paper |
Advanced Monte Carlo Methods for Barrier and Related Exotic Options
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Mathematics and Finance
Aspects of Mathematical Finance | 2008-09-29 | Paper |
Numerical simulation of BSDEs using empirical regression methods: theory and practice
| 2008-06-27 | Paper |
Discretization and Simulation of the Zakai Equation
SIAM Journal on Numerical Analysis | 2008-01-07 | Paper |
Arbitrage free cointegrated models in gas and oil future markets
| 2007-12-20 | Paper |
Discrete Sampling of Functionals of Ito Processes
Lecture Notes in Mathematics | 2007-10-31 | Paper |
Error expansion for the discretization of backward stochastic differential equations
Stochastic Processes and their Applications | 2007-06-26 | Paper |
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
Bernoulli | 2007-05-24 | Paper |
Numerical methods for the pricing of swing options: a stochastic control approach
Methodology and Computing in Applied Probability | 2007-01-29 | Paper |
Boundary sensitivities for diffusion processes in time dependent domains
Applied Mathematics and Optimization | 2006-11-17 | Paper |
Revisiting the Greeks for European and American options
| 2006-09-11 | Paper |
A regression-based Monte Carlo method to solve backward stochastic differential equations
The Annals of Applied Probability | 2005-11-08 | Paper |
Sequential Control Variates for Functionals of Markov Processes
SIAM Journal on Numerical Analysis | 2005-10-28 | Paper |
Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
SIAM Journal on Control and Optimization | 2005-09-15 | Paper |
Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
Stochastic Processes and their Applications | 2005-08-05 | Paper |
A symmetrized Euler scheme for an efficient approximation of reflected diffusions
Journal of Applied Probability | 2005-04-18 | Paper |
Computation of Greeks for barrier and look-back options using Malliavin calculus
Electronic Communications in Probability | 2005-03-14 | Paper |
A spectral Monte Carlo method for the Poisson equation
Monte Carlo Methods and Applications | 2005-03-10 | Paper |
Nonparametric estimation of scalar diffusions based on low frequency data
The Annals of Statistics | 2005-02-28 | Paper |
Weak approximation of killed diffusion using Euler schemes.
Stochastic Processes and their Applications | 2004-09-07 | Paper |
Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-10-22 | Paper |
LAN property for ergodic diffusions with discrete observations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2003-03-11 | Paper |
Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
Bernoulli | 2003-01-09 | Paper |
Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Mathematical Finance | 2003-01-01 | Paper |
Euler schemes and half-space approximation for the simulation of diffusion in a domain
ESAIM: Probability and Statistics | 2002-06-11 | Paper |
Efficient schemes for the weak approximation of reflected diffusions
Monte Carlo Methods and Applications | 2002-05-28 | Paper |
Discrete time hedging errors for options with irregular payoffs
Finance and Stochastics | 2001-12-12 | Paper |
Schéma d'Euler discret pour diffusion multidimensionnelle tuée
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1999-09-12 | Paper |
Schéma d'Euler continu pour des diffusions tuées et options barrière
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1999-07-12 | Paper |
