| Publication | Date of Publication | Type |
|---|
Risk Valuation of Quanto Derivatives on Temperature and Electricity
Applied Mathematical Finance | 2025-01-27 | Paper |
A stochastic volatility model for the valuation of temperature derivatives
IMA Journal of Management Mathematics | 2024-11-13 | Paper |
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
IMA Journal of Numerical Analysis | 2024-11-01 | Paper |
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
Quantitative Finance | 2024-07-23 | Paper |
Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach)
The Annals of Applied Probability | 2024-01-15 | Paper |
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Mathematics of Computation | 2024-01-02 | Paper |
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Methodology and Computing in Applied Probability | 2023-07-25 | Paper |
Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation
| 2023-02-15 | Paper |
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
| 2022-09-27 | Paper |
Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation
M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences | 2022-05-10 | Paper |
Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
Insurance Mathematics \& Economics | 2021-10-19 | Paper |
A generic construction for high order approximation schemes of semigroups using random grids
Numerische Mathematik | 2021-08-27 | Paper |
Sampling of probability measures in the convex order by Wasserstein projection
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-02-15 | Paper |
Approximation of optimal transport problems with marginal moments constraints
Mathematics of Computation | 2021-01-20 | Paper |
A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
European Actuarial Journal | 2021-01-20 | Paper |
Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability
ESAIM: Probability and Statistics | 2020-12-15 | Paper |
Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
International Journal of Theoretical and Applied Finance | 2019-05-21 | Paper |
Optimal execution and price manipulations in time-varying limit order books
Applied Mathematical Finance | 2018-09-11 | Paper |
Evolution of the Wasserstein distance between the marginals of two Markov processes
Bernoulli | 2018-03-27 | Paper |
Parametrix methods for one-dimensional reflected SDEs
| 2018-03-08 | Paper |
Maximum likelihood estimation for Wishart processes
Stochastic Processes and their Applications | 2016-10-12 | Paper |
Multivariate transient price impact and matrix-valued positive definite functions
Mathematics of Operations Research | 2016-08-10 | Paper |
Stochastic local intensity loss models with interacting particle systems
Mathematical Finance | 2016-04-14 | Paper |
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Finance and Stochastics | 2016-03-29 | Paper |
On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
ESAIM: Proceedings | 2015-11-17 | Paper |
A simple proof for the convexity of the Choquet integral
Statistics \& Probability Letters | 2015-08-19 | Paper |
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Electronic Journal of Probability | 2015-08-07 | Paper |
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
The Annals of Applied Probability | 2014-06-13 | Paper |
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
| 2014-05-27 | Paper |
Affine diffusions and related processes: simulation, theory and applications
Bocconi \& Springer Series | 2014-05-07 | Paper |
A remark on the optimal transport between two probability measures sharing the same copula
Statistics \& Probability Letters | 2014-04-09 | Paper |
Capacitary measures for completely monotone kernels via singular control
SIAM Journal on Control and Optimization | 2013-07-17 | Paper |
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
Statistics \& Probability Letters | 2013-05-13 | Paper |
Exact and high-order discretization schemes for Wishart processes and their affine extensions
The Annals of Applied Probability | 2013-05-10 | Paper |
A closed-form extension to the Black-Cox model
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
A mean-reverting SDE on correlation matrices
Stochastic Processes and their Applications | 2013-03-04 | Paper |
Order book resilience, price manipulation, and the positive portfolio problem
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
General duality for perpetual American options
International Journal of Theoretical and Applied Finance | 2011-04-27 | Paper |
High order discretization schemes for the CIR process: application to affine term structure and heston models
Mathematics of Computation | 2010-08-30 | Paper |
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
scientific article; zbMATH DE number 5690108 (Why is no real title available?)
| 2010-04-07 | Paper |
Optimal execution strategies in limit order books with general shape functions
Quantitative Finance | 2010-03-12 | Paper |
Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
NoDEA. Nonlinear Differential Equations and Applications | 2009-09-18 | Paper |
scientific article; zbMATH DE number 5361721 (Why is no real title available?)
| 2008-11-04 | Paper |
A Call-Put Duality for Perpetual American Options
| 2006-12-21 | Paper |
On the discretization schemes for the CIR (and Bessel squared) processes
Monte Carlo Methods and Applications | 2006-01-24 | Paper |
Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems
ESAIM: Proceedings | 2005-10-12 | Paper |
New Families of Copulas Based on Periodic Functions
Communications in Statistics: Theory and Methods | 2005-09-05 | Paper |
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Finance and Stochastics | 2005-05-20 | Paper |
On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
| N/A | Paper |
A pure dual approach for hedging Bermudan options
| N/A | Paper |
