| Publication | Date of Publication | Type |
|---|
Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs
Mathematics of Operations Research | 2024-02-23 | Paper |
An optimal transport approach for the multiple quantile hedging problem
| 2023-08-02 | Paper |
Deep Runge-Kutta schemes for BSDEs
| 2022-12-29 | Paper |
Convergence of particles and tree based scheme for singular FBSDEs
| 2022-12-22 | Paper |
A probabilistic approach to classical solutions of the master equation for large population equilibria
Memoirs of the American Mathematical Society | 2022-10-25 | Paper |
Weak quantitative propagation of chaos via differential calculus on the space of measures
The Annals of Applied Probability | 2022-09-05 | Paper |
Numerical approximation of singular forward-backward SDEs
Journal of Computational Physics | 2022-08-31 | Paper |
Reflected BSDEs in non-convex domains
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2022-07-28 | Paper |
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
Stochastic Processes and their Applications | 2022-01-17 | Paper |
Numerical approximation of singular Forward-Backward SDEs
| 2021-06-29 | Paper |
Obliquely reflected backward stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
A numerical scheme for the quantile hedging problem
SIAM Journal on Financial Mathematics | 2021-03-11 | Paper |
Cubature method to solve BSDEs: Error expansion and complexity control
Mathematics of Computation | 2020-04-08 | Paper |
Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
Stochastic Processes and their Applications | 2019-11-27 | Paper |
CEMRACS 2017: numerical probabilistic approach to MFG
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
A sparse grid approach to balance sheet risk measurement
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Numerical method for FBSDEs of McKean-Vlasov type
The Annals of Applied Probability | 2019-05-22 | Paper |
Erratum to: ``A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
Applied Mathematics and Optimization | 2018-12-10 | Paper |
A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
Applied Mathematics and Optimization | 2018-12-10 | Paper |
Obliquely Reflected BSDEs
| 2017-10-24 | Paper |
A Forward-Backward SDEs Approach to Pricing in Carbon Markets
| 2017-08-24 | Paper |
Cubature methods to solve BSDEs: Error expansion and complexity control
| 2017-02-03 | Paper |
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
SIAM Journal on Financial Mathematics | 2017-01-11 | Paper |
Valuation of derivative products. From fundamental theorems to coverage under risk constraint
| 2016-07-12 | Paper |
Fundamentals and advanced techniques in derivatives hedging. Translated from the French
Universitext | 2016-05-30 | Paper |
A backward dual representation for the quantile hedging of Bermudan options
SIAM Journal on Financial Mathematics | 2016-05-20 | Paper |
Numerical simulation of quadratic BSDEs
The Annals of Applied Probability | 2016-03-11 | Paper |
Numerical stability analysis of the Euler scheme for BSDEs
SIAM Journal on Numerical Analysis | 2015-05-27 | Paper |
Linear multistep schemes for BSDEs
SIAM Journal on Numerical Analysis | 2015-04-08 | Paper |
When terminal facelift enforces delta constraints
Finance and Stochastics | 2015-03-30 | Paper |
Doubly reflected BSDEs with call protection and their approximation
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
A Probabilistic approach to classical solutions of the master equation for large population equilibria
| 2014-11-11 | Paper |
Runge-Kutta schemes for backward stochastic differential equations
The Annals of Applied Probability | 2014-05-05 | Paper |
Discrete-time approximation of multidimensional BSDEs with oblique reflections
The Annals of Applied Probability | 2012-07-08 | Paper |
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Electronic Communications in Probability | 2011-09-09 | Paper |
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
Electronic Journal of Probability | 2009-11-20 | Paper |
A discrete-time approximation for doubly reflected BSDEs
Advances in Applied Probability | 2009-05-06 | Paper |
Discrete-time approximation for continuously and discretely reflected BSDEs
Stochastic Processes and their Applications | 2009-01-16 | Paper |
