The following pages link to Pierre Henry-Labordère (Q259560):
Displaying 21 items.
- The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
- An explicit martingale version of the one-dimensional Brenier theorem (Q309163) (← links)
- Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Some results on Skorokhod embedding and robust hedging with local time (Q1626510) (← links)
- Unbiased simulation of stochastic differential equations (Q1704137) (← links)
- Branching diffusion representation of semilinear PDEs and Monte Carlo approximation (Q1731144) (← links)
- Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation (Q2240887) (← links)
- Monotone martingale transport plans and Skorokhod embedding (Q2402432) (← links)
- A numerical algorithm for a class of BSDEs via the branching process (Q2434758) (← links)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
- A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA (Q2808183) (← links)
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
- Analysis, Geometry, and Modeling in Finance (Q3529416) (← links)
- Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry (Q4560328) (← links)
- Model-Free Hedging (Q4632504) (← links)
- (Q5396410) (← links)
- AUTOMATED OPTION PRICING: NUMERICAL METHODS (Q5411737) (← links)
- Solvable local and stochastic volatility models: supersymmetric methods in option pricing (Q5433098) (← links)
- Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing (Q6047091) (← links)
- Pricing Bermudan Options Using Regression Trees/Random Forests (Q6070674) (← links)
