Jean-Francois Chassagneux

Available identifiers

zbMath Open chassagneux.jean-francoisWikidataQ102392163 ScholiaQ102392163MaRDI QIDQ259575

List of research outcomes

Publication	Date of Publication	Type
Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs	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	2022-10-25	Paper
Weak quantitative propagation of chaos via differential calculus on the space of measures	2022-09-05	Paper
Numerical approximation of singular forward-backward SDEs	2022-08-31	Paper
Reflected BSDEs in non-convex domains	2022-07-28	Paper
Switching problems with controlled randomisation and associated obliquely reflected BSDEs	2022-01-17	Paper
Numerical approximation of singular Forward-Backward SDEs	2021-06-29	Paper
Obliquely reflected backward stochastic differential equations	2021-06-03	Paper
A Numerical Scheme for the Quantile Hedging Problem	2021-03-11	Paper
Cubature method to solve BSDEs: Error expansion and complexity control	2020-04-08	Paper
Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems	2019-11-27	Paper
Cemracs 2017: numerical probabilistic approach to MFG	2019-07-11	Paper
A sparse grid approach to balance sheet risk measurement	2019-07-11	Paper
Numerical method for FBSDEs of McKean-Vlasov type	2019-05-22	Paper
Erratum to: ``A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options	2018-12-10	Paper
A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options	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	2017-01-11	Paper
https://portal.mardi4nfdi.de/entity/Q3178401	2016-07-12	Paper
Fundamentals and advanced techniques in derivatives hedging. Translated from the French	2016-05-30	Paper
A backward dual representation for the quantile hedging of Bermudan options	2016-05-20	Paper
Numerical simulation of quadratic BSDEs	2016-03-11	Paper
Numerical Stability Analysis of the Euler Scheme for BSDEs	2015-05-27	Paper
Linear Multistep Schemes for BSDEs	2015-04-08	Paper
When terminal facelift enforces delta constraints	2015-03-30	Paper
Doubly reflected BSDEs with call protection and their approximation	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	2014-05-05	Paper
Discrete-time approximation of multidimensional BSDEs with oblique reflections	2012-07-08	Paper
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs	2011-09-09	Paper
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs	2009-11-20	Paper
A discrete-time approximation for doubly reflected BSDEs	2009-05-06	Paper
Discrete-time approximation for continuously and discretely reflected BSDEs	2009-01-16	Paper

Research outcomes over time

This page was built for person: Jean-Francois Chassagneux