Pierre Henry-Labordère

Available identifiers

zbMath Open henry-labordere.pierreMaRDI QIDQ259560

List of research outcomes

Publication	Date of Publication	Type
Pricing Bermudan Options Using Regression Trees/Random Forests	2023-11-23	Paper
Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing	2023-10-09	Paper
Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation	2021-11-04	Paper
Model-Free Hedging	2019-04-29	Paper
From (Martingale) Schrodinger bridges to a new class of Stochastic Volatility Models	2019-04-09	Paper
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation	2019-03-20	Paper
Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry	2018-12-11	Paper
Some results on Skorokhod embedding and robust hedging with local time	2018-11-27	Paper
Unbiased simulation of stochastic differential equations	2018-03-08	Paper
Monotone martingale transport plans and Skorokhod embedding	2017-09-07	Paper
An explicit martingale version of the one-dimensional Brenier theorem	2016-09-07	Paper
An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint	2016-08-08	Paper
A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA	2016-05-20	Paper
The maximum maximum of a martingale with given \(n\) marginals	2016-03-11	Paper
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem	2015-12-09	Paper
AUTOMATED OPTION PRICING: NUMERICAL METHODS	2014-04-25	Paper
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options	2014-04-04	Paper
A numerical algorithm for a class of BSDEs via the branching process	2014-02-07	Paper
https://portal.mardi4nfdi.de/entity/Q5396410	2014-02-06	Paper
Model-independent bounds for option prices -- a mass transport approach	2013-07-18	Paper
An Explicit Martingale Version of Brenier's Theorem	2013-02-20	Paper
Analysis, Geometry, and Modeling in Finance	2008-10-09	Paper
Solvable local and stochastic volatility models: supersymmetric methods in option pricing	2007-12-19	Paper
Borcherds symmetries in M-theory	2002-03-07	Paper

Research outcomes over time

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