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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Generative model for fBm with deep ReLU neural networks.

Fractional Brownian motion, Gaussian process, Generative models, Neural networks

Rare event simulation related to financial risks: efficient estimation and sensitivity analysis.

Credit default swaps, Deep out-of-the-money options, Ergodic properties, Fractional Brownian motion, Interacting particle systems, Malliavin calculus, Markov chains, Model misspecification, Monte Carlo simulation, Rare event, Sensitivity analysis

Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options.

Antithetic simulation method, Asian options, Co-monotony, Diffusion processes, Fractional Brownian motion, Liouville processes, Processes with independent increments, Sensitivity

Long memory, volatility and portfolio management.

Agents hétérogènes, Bounded rationality, Fractional brownian motion, Heterogeneous agents, Long memory, Modèle de choix de portefeuille, Modèle de volatilité, Mouvement brownien fractionnaire, Mémoire longue, Portfolio modelling, Rationalité limitée, Realized volatility, Volatility modelling, Volatilité réalisée

Noise Sensitivity of Functionals of Fractional Brownian Motion Driven Stochastic Differential Equations: Results and Perspectives.

First hitting time, Fractional Brownian motion, Malliavin calculus

Hölder continuity in the Hurst parameter of functionals of Stochastic Differential Equations driven by fractional Brownian motion.

First hitting time, Fractional Brownian motion, Malliavin calculus

Contributions to the modeling of high frequency financial data.

Fractional Brownian motion, Hermite processes, High frequency financial data, Infinitely divisible cascades, Marchés financiers, Modèle de marche aléatoire multifractal, Modélisation multifréquence, Multifractal random walk, Multiple stochastic integrals, Rosenblatt process, Scaling, Stratégies d’investissement

Statistical analysis of some fractional process models.

Estimateur de maximum vraisemblance, Fractional Brownian motion, Maximum likelihood estimator, Mixed fractional Brownian motion, Mouvement brownien fractionnaire, Mouvement brownien fractionnaire mélangé, Processus fractionnaire