| Publication | Date of Publication | Type |
|---|
| Thirty years of derivatives market: originality of the French experience | 2024-09-06 | Paper |
Bi-revealed utilities in a defaultable universe: a new point of view on consumption
Probability, Uncertainty and Quantitative Risk | 2024-05-25 | Paper |
Birth death swap population in random environment and aggregation with two timescales
Stochastic Processes and their Applications | 2023-07-12 | Paper |
Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
Springer Proceedings in Mathematics & Statistics | 2022-09-30 | Paper |
Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
Stochastics | 2022-07-05 | Paper |
Ramsey rule with forward/backward utility for long-term yield curves modeling
Decisions in Economics and Finance | 2022-06-17 | Paper |
| Simulating long-term impacts of mortality shocks: learning from the cholera pandemic | 2021-11-16 | Paper |
Recover dynamic utility from observable process: application to the economic equilibrium
SIAM Journal on Financial Mathematics | 2021-05-04 | Paper |
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach
Insurance Mathematics & Economics | 2019-11-28 | Paper |
Optimal design of derivatives in illiquid markets
Quantitative Finance | 2019-01-14 | Paper |
Conditional default probability and density
Inspired by Finance | 2018-12-13 | Paper |
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
European Actuarial Journal | 2018-04-03 | Paper |
Cause-of-death mortality: what can be learned from population dynamics?
Insurance Mathematics & Economics | 2018-02-15 | Paper |
Dynamics of multivariate default system in random environment
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes
The Annals of Applied Probability | 2017-11-07 | Paper |
Measuring mortality heterogeneity with multi-state models and interval-censored data
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions
Insurance Mathematics & Economics | 2016-10-06 | Paper |
| Quadratic Exponential Semimartingales and Application to BSDEs with jumps | 2016-03-20 | Paper |
Density approach in modeling successive defaults
SIAM Journal on Financial Mathematics | 2015-06-04 | Paper |
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Understanding, modelling and managing longevity risk: key issues and main challenges
Scandinavian Actuarial Journal | 2013-12-13 | Paper |
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
The Annals of Probability | 2013-10-17 | Paper |
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
The Annals of Probability | 2013-10-17 | Paper |
| Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework | 2013-10-12 | Paper |
| Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems | 2013-10-12 | Paper |
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
The Annals of Probability | 2012-02-22 | Paper |
| scientific article; zbMATH DE number 5993935 (Why is no real title available?) | 2012-01-02 | Paper |
| The stochastic tool for financial markets. | 2011-03-24 | Paper |
| Random walks. | 2010-09-13 | Paper |
What happens after a default: the conditional density approach
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Stein's method and zero bias transformation for CDO tranche pricing
Finance and Stochastics | 2010-04-22 | Paper |
Cash subadditive risk measures and interest rate ambiguity
Mathematical Finance | 2009-12-07 | Paper |
Gaussian and Poisson approximation: applications to CDOs tranche pricing
The Journal of Computational Finance | 2009-04-28 | Paper |
| Pricing, hedging, and designing derivatives with risk measures | 2009-03-16 | Paper |
| BSDEs and applications | 2009-03-16 | Paper |
Valuation and VaR Computation for CDOs Using Stein’s Method
Applied Quantitative Finance | 2008-12-01 | Paper |
Dynamic asset pricing theory with uncertain time-horizon
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
Coupling smiles
Quantitative Finance | 2008-11-18 | Paper |
Optimal investment decisions when time-horizon is uncertain
Journal of Mathematical Economics | 2008-11-13 | Paper |
Optimal portfolio management with American capital guarantee
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
Dynamic Financial Risk Management
Aspects of Mathematical Finance | 2008-09-29 | Paper |
Closedness results for BMO semi-martingales and application to quadratic BSDEs
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2008-09-10 | Paper |
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
The Annals of Probability | 2008-04-16 | Paper |
| Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures | 2007-08-07 | Paper |
Boundary sensitivities for diffusion processes in time dependent domains
Applied Mathematics and Optimization | 2006-11-17 | Paper |
| Dynamic financial risk management | 2006-10-23 | Paper |
Maturity randomization for stochastic control problems
The Annals of Applied Probability | 2006-07-10 | Paper |
CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
Mathematical Finance | 2006-06-12 | Paper |
Inf-convolution of risk measures and optimal risk transfer
Finance and Stochastics | 2006-05-24 | Paper |
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
A non-linear Riesz respresentation in probabilistic potential theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
A non-linear Riesz respresentation in probabilistic potential theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
A non-linear Riesz respresentation in probabilistic potential theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
| scientific article; zbMATH DE number 2133102 (Why is no real title available?) | 2005-02-09 | Paper |
A stochastic representation theorem with applications to optimization and obstacle problems.
The Annals of Probability | 2004-09-15 | 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 |
Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-09-15 | Paper |
A dynamic maximum principle for the optimization of recursive utilities under constraints.
The Annals of Applied Probability | 2003-05-06 | Paper |
Phenomenology of the interest rate curve
Applied Mathematical Finance | 2002-09-04 | Paper |
scientific article; zbMATH DE number 1789932 (Why is no real title available?)
(available as arXiv preprint) | 2002-08-27 | Paper |
| Strings attached. | 2002-01-06 | Paper |
On the role of state variables in interest rates models
Applied Stochastic Models in Business and Industry | 2001-10-09 | Paper |
Pricing via utility maximization and entropy.
Mathematical Finance | 2001-03-29 | Paper |
Optimization of consumption with labor income
Finance and Stochastics | 2000-02-15 | Paper |
Robustness of the Black and Scholes Formula
Mathematical Finance | 1998-12-02 | Paper |
| scientific article; zbMATH DE number 1069627 (Why is no real title available?) | 1998-11-01 | Paper |
| scientific article; zbMATH DE number 1069626 (Why is no real title available?) | 1998-11-01 | Paper |
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
The Annals of Probability | 1998-10-28 | Paper |
| scientific article; zbMATH DE number 1066312 (Why is no real title available?) | 1998-05-04 | Paper |
Backward Stochastic Differential Equations in Finance
Mathematical Finance | 1998-04-05 | Paper |
Synchronization and optimality for multi-armed bandit problems in continuous time
Computational and Applied Mathematics | 1998-01-21 | Paper |
| scientific article; zbMATH DE number 1066453 (Why is no real title available?) | 1997-11-25 | Paper |
| scientific article; zbMATH DE number 852303 (Why is no real title available?) | 1996-07-24 | Paper |
Dynamic allocation problems in continuous time
The Annals of Applied Probability | 1996-02-13 | Paper |
| scientific article; zbMATH DE number 775000 (Why is no real title available?) | 1996-02-11 | Paper |
Changes of numéraire, changes of probability measure and option pricing
Journal of Applied Probability | 1996-01-17 | Paper |
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
SIAM Journal on Control and Optimization | 1995-05-17 | Paper |
Stochastic control methods in optimal design of life testing
Stochastic Processes and their Applications | 1994-12-07 | Paper |
General Gittins index processes in discrete time.
Proceedings of the National Academy of Sciences | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 168110 (Why is no real title available?) | 1993-05-16 | Paper |
A new approach to the Skorohod problem, and its applications
Stochastics and Stochastic Reports | 1992-06-27 | Paper |
| scientific article; zbMATH DE number 27698 (Why is no real title available?) | 1992-06-27 | Paper |
Propriétés de martingales, explosion et représentation de Lévy- Khintchine d'une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes)
Stochastic Processes and their Applications | 1992-06-26 | Paper |
A new approach to the skorohod problem, and its applications
Stochastics and Stochastic Reports | 1992-06-25 | Paper |
Martingale measures and partially observable diffusions
Stochastic Analysis and Applications | 1992-06-25 | Paper |
Martingale measures and stochastic calculus
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4209223 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4209223 (Why is no real title available?) | 1989-01-01 | Paper |
Probabilistic aspects of finite-fuel, reflected follower problems
Acta Applicandae Mathematicae | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4174815 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4174815 (Why is no real title available?) | 1988-01-01 | Paper |
Existence of an Optimal Markovian Filter for the Control under Partial Observations
SIAM Journal on Control and Optimization | 1988-01-01 | Paper |
Compactification methods in the control of degenerate diffusions: existence of an optimal control
Stochastics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4020996 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3945001 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3942668 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3896014 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3774647 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3774647 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3781067 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3793909 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3740439 (Why is no real title available?) | 1981-01-01 | Paper |
Ecole d'ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin
Lecture Notes in Mathematics | 1981-01-01 | Paper |
Reflexion discontinue et systèmes stochastiques
The Annals of Probability | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3646056 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3646056 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3638920 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3638920 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3631700 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3675052 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3675052 (Why is no real title available?) | 1977-01-01 | Paper |
[https://portal.mardi4nfdi.de/wiki/Publication:4131394 Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson]
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3675051 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3675051 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3530740 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3548163 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3509523 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3509523 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3509546 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3441399 (Why is no real title available?) | 1974-01-01 | Paper |
| scientific article; zbMATH DE number 3441400 (Why is no real title available?) | 1974-01-01 | Paper |
| scientific article; zbMATH DE number 3442944 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3442944 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3345973 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3345973 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3371394 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3371394 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3398564 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3332006 (Why is no real title available?) | 1970-01-01 | Paper |
| scientific article; zbMATH DE number 3332005 (Why is no real title available?) | 1970-01-01 | Paper |
| scientific article; zbMATH DE number 3334709 (Why is no real title available?) | 1970-01-01 | Paper |
| scientific article; zbMATH DE number 3334709 (Why is no real title available?) | 1970-01-01 | Paper |
| scientific article; zbMATH DE number 3369578 (Why is no real title available?) | 1970-01-01 | Paper |
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
(available as arXiv preprint) | N/A | Paper |
