Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Density models and applications to counterparty credit risk.

Enlargement of filtration, Grossissement de filtration

Invariance times *.

Enlargement of filtration, Mathematical finance, Measure change, Random time

Study of numerical methods for partial hedging and switching problems with costs uncertainty.

Contrôle optimal stochastique, Enlargement of filtration, Grilles Sparses, Grossissement de filtration, Mesures de risque (finances), Monotone finite difference schemes, Non-Linear partial differential equations (PDEs), Obliquely reflected backward stochastic differential equations (BSDEs), Optimal Switching, Quantile hedging, Risk measures, Schémas de différences finies monotones, Sparse grids, Stochastic optimal control, Switching optimal, Viscosity solutions, Équations différentielles stochastiques rétrogrades obliquement réfléchies

An enlargement of filtration formula with applications to multiple non-ordered default times.

Enlargement of filtration, Form credit risk modeling, Non-ordered default times, Reduced, Semimartingale decomposition

Utility maximization with random horizon: a bsde approach.

60H20, 91G40, 91G60, 93E20, Credit risk AMS 2010 subject classification Primary 60H10, Enlargement of filtration, Quadratic BSDEs, Secondary 91B16

Quadratic hedging in an incomplete market derived by an influential informed investor.

Asymmetric information, Clark-Ocone formula, Enlargement of filtration, FBSDE, Influent investor, Insider trading, Martingale representation, Quadratic hedging, Risk minimization

EDSR and EDSPR with filtration magnification, information asymmetry and hedging problems in financial markets.

Asymmetrical information, Asymétrie d'information, BSDE, Complete market, Couverture d'actifs financiers, Délit d'initié, EDSPR, EDSR, Enlargement of filtration, FBSDE, Grossissement de filtration, Hedging of contingent claims, Incomplete market, Insider trading, Marché complet, Marché incomplet, Martingale Representation Theorem, Mesure martingale minimale, Minimal martingale measure, Probabilité neutre au risque, Risk-neutral probability, Théorème de représentation de martingales

EDSR and EDSPR with filtration magnification, information asymmetry and hedging problems in financial markets.

Asymétrie d'information, Bsde, fbsde, Complete mar, Couverture d'actifs financiers, Délit d'initié, Edsr, edspr, Enlargement of filtration, Grossissement de filtration, Hedging of contingent claims, Insider tradingvAsymmetrical information, Marché complet, Marché incomplet, Martingale Representation Theorem, Mesure martingale minimale 1, Probabilité neutre au risque, Théorème de représentation de martingales