| Publication | Date of Publication | Type |
|---|
Asymptotic properties of ReLU FFN sieve estimators
Studies in Nonlinear Dynamics and Econometrics | 2026-03-24 | Paper |
Calibration of local volatility models with stochastic interest rates using optimal transport
Finance and Stochastics | 2026-03-23 | Paper |
On stochastic partial differential equations and their applications to derivative pricing through a conditional Feynman-Kac formula
Stochastic Processes and their Applications | 2026-02-27 | Paper |
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
The Annals of Applied Probability | 2024-01-19 | Paper |
| The Measure Preserving Martingale Sinkhorn Algorithm | 2023-10-20 | Paper |
Calibration of local‐stochastic volatility models by optimal transport
Mathematical Finance | 2023-09-28 | Paper |
Interior second derivatives estimates for nonlinear diffusions
Discrete and Continuous Dynamical Systems | 2023-06-23 | Paper |
Filtering time-dependent covariance matrices using time-independent eigenvalues
Journal of Statistical Mechanics: Theory and Experiment | 2023-03-07 | Paper |
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
Stochastic Processes and their Applications | 2022-04-28 | Paper |
Portfolio optimization with a prescribed terminal wealth distribution
Quantitative Finance | 2022-04-05 | Paper |
Robust utility maximization under model uncertainty via a penalization approach
Mathematics and Financial Economics | 2022-04-01 | Paper |
Joint modeling and calibration of SPX and VIX by optimal transport
SIAM Journal on Financial Mathematics | 2022-01-10 | Paper |
Modelling tail risk with tempered stable distributions: an overview
Annals of Operations Research | 2021-11-08 | Paper |
Path dependent optimal transport and model calibration on exotic derivatives
The Annals of Applied Probability | 2021-11-04 | Paper |
Path dependent optimal transport and model calibration on exotic derivatives
The Annals of Applied Probability | 2021-11-04 | Paper |
Weak formulation of the MTW condition and convexity properties of potentials
Methods and Applications of Analysis | 2021-09-28 | Paper |
| On the convexity theory of generating functions | 2021-09-09 | Paper |
Optimal transport with discrete long-range mean-field interactions
Bulletin of Mathematical Sciences | 2021-06-30 | Paper |
| On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula | 2021-06-28 | Paper |
| Deep Semi-Martingale Optimal Transport | 2021-03-05 | Paper |
Weak formulation of the MTW condition and convexity properties of potentials
(available as arXiv preprint) | 2020-07-06 | Paper |
Second-order stochastic target problems with generalized market impact
SIAM Journal on Control and Optimization | 2019-12-11 | Paper |
Second-order stochastic target problems with generalized market impact
SIAM Journal on Control and Optimization | 2019-12-11 | Paper |
Local volatility calibration by optimal transport
MATRIX Book Series | 2019-07-02 | Paper |
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Quantitative Finance | 2019-03-06 | Paper |
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Forecasting trends with asset prices
Quantitative Finance | 2018-11-19 | Paper |
Option pricing with linear market impact and nonlinear Black-Scholes equations
The Annals of Applied Probability | 2018-11-07 | Paper |
Option pricing with linear market impact and nonlinear Black-Scholes equations
The Annals of Applied Probability | 2018-11-07 | Paper |
Hedging of covered options with linear market impact and gamma constraint
SIAM Journal on Control and Optimization | 2017-11-02 | Paper |
Performance analysis of the optimal strategy under partial information
International Journal of Theoretical and Applied Finance | 2017-04-13 | Paper |
Almost-sure hedging with permanent price impact
Finance and Stochastics | 2016-09-07 | Paper |
Mixing Monte Carlo and partial differential equations for pricing options
Partial Differential Equations: Theory, Control and Approximation | 2015-07-06 | Paper |
Mixing Monte-Carlo and partial differential equations for pricing options
Chinese Annals of Mathematics. Series B | 2013-05-29 | Paper |
Regularity of optimal maps on the sphere: the quadratic cost and the reflector antenna
Archive for Rational Mechanics and Analysis | 2011-10-04 | Paper |
On the regularity of solutions of optimal transportation problems
Acta Mathematica | 2011-01-14 | Paper |
Regularity of optimal transport in curved geometry: the nonfocal case
Duke Mathematical Journal | 2010-03-30 | Paper |
\(C^{1}\) regularity of solutions of the Monge-Ampère equation for optimal transport in dimension two
Calculus of Variations and Partial Differential Equations | 2009-08-27 | Paper |
A mixed PDE/Monte-Carlo method for stochastic volatility models
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2009-05-13 | Paper |
A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System
SIAM Journal on Mathematical Analysis | 2007-05-22 | Paper |
Uniqueness of the solution to the Vlasov--Poisson system with bounded density
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2007-02-13 | Paper |
Gradient estimates for potentials of invertible gradient-mappings on the sphere
Calculus of Variations and Partial Differential Equations | 2006-06-16 | Paper |
The reconstruction problem for the Euler-Poisson system in cosmology
Archive for Rational Mechanics and Analysis | 2006-03-02 | Paper |
On the regularity of the polar factorization for time dependent maps
Calculus of Variations and Partial Differential Equations | 2005-12-08 | Paper |
Quasi-Neutral Limit of the Euler–Poisson and Euler–Monge–Ampère Systems
Communications in Partial Differential Equations | 2005-11-25 | Paper |
CONTRACTIVE METRICS FOR SCALAR CONSERVATION LAWS
Journal of Hyperbolic Differential Equations | 2005-06-07 | Paper |
Numerical solution of the Monge--Ampère equation by a Newton's algorithm
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2005-05-04 | Paper |
A geometric approximation to the Euler equations: the Vlasov-Monge-Ampère system
Geometric and Functional Analysis. GAFA | 2005-04-29 | Paper |
A fully non-linear version of the Euler incompressible equations: the semi-geostrophic system
(available as arXiv preprint) | 2005-04-07 | Paper |
scientific article; zbMATH DE number 2143373 (Why is no real title available?)
(available as arXiv preprint) | 2005-03-10 | Paper |
