| Publication | Date of Publication | Type |
|---|
On the chaotic expansion for counting processes
Electronic Journal of Probability | 2024-10-16 | Paper |
Bi-revealed utilities in a defaultable universe: a new point of view on consumption
Probability, Uncertainty and Quantitative Risk | 2024-05-25 | Paper |
Time-consistent pension policy with minimum guarantee and sustainability constraint
Probability, Uncertainty and Quantitative Risk | 2024-05-25 | Paper |
Cyber risk modeling using a two-phase Hawkes process with external excitation
| 2023-11-27 | Paper |
Optimal stopping contract for public private partnerships under moral hazard
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Stochastic Processes and their Applications | 2023-05-17 | Paper |
The value of the information in the Moral Hazard setting
| 2023-04-06 | Paper |
Explicit correlations for the Hawkes processes
| 2023-04-05 | Paper |
Cyber-contagion model with network structure applied to insurance
Insurance Mathematics & Economics | 2023-02-01 | Paper |
The Malliavin-Stein method for Hawkes functionals
| 2023-01-09 | 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 |
On the chaotic expansion for counting processes
| 2022-09-05 | 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 |
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models
Scandinavian Actuarial Journal | 2021-12-08 | Paper |
Pricing formulae for derivatives in insurance using Malliavin calculus
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Successive enlargement of filtrations and application to insider information
Advances in Applied Probability | 2019-09-16 | Paper |
Optimal contract with moral hazard for public private partnerships
Stochastics | 2018-09-04 | Paper |
Shapes of implied volatility with positive mass at zero
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Trading against disorderly liquidation of a large position under asymmetric information and market impact
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Portfolio optimization with different information flow
| 2017-05-02 | Paper |
Reducing the debt: is it optimal to outsource an investment?
Mathematics and Financial Economics | 2016-09-30 | Paper |
Enumeration of polycubes and Dirichlet convolutions
| 2015-12-16 | Paper |
A portfolio optimization problem with two prices generated by two information flows
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
A modelization of public-private partnerships with failure time
Springer Proceedings in Mathematics & Statistics | 2015-07-02 | Paper |
Portfolio optimization with insider's initial information and counterparty risk
Finance and Stochastics | 2015-01-19 | Paper |
Understanding, modelling and managing longevity risk: key issues and main challenges
Scandinavian Actuarial Journal | 2013-12-13 | Paper |
Credit risk with asymmetric information on the default threshold
Stochastics | 2012-11-09 | Paper |
INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
Comparison of insiders' optimal strategies depending on the type of side-information
Stochastic Processes and their Applications | 2005-10-10 | Paper |
EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
Mathematical Finance | 2005-08-17 | Paper |
Time-consistent pension policy with minimum guarantee and sustainability constraint
| N/A | Paper |
Poisson imbedding meets the Clark-Ocone formula
| N/A | Paper |
