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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Market Impact: A Systematic Study of the High Frequency Options Market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Market impact: a systematic study of the high frequency options market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Market Impact: A Systematic Study of the High Frequency Options Market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

On probability distributions of diffusions and financial models with non-globally smooth coefficients.

Calcul de Malliavin, Density estimation, Equations différentielles Stochastiques, Estimation de densités, Implied volatility, Malliavin calculus, Mathematical Finance, Mathématiques financières, Stochastic Volatility, Stochastic differential equations, Volatilité implicite, Volatilité stochastique

Exchange rate modeling : policies, seasonality, and determination.

Carry trade, Carry trades, Chinese renminbi, Currency basket, Détermination du taux de change, Effet mois, Equity returns, Exchange rate determination, Exchange rate regime, Foreign currency market, Implied volatility, Marché des devises, Markov-Switching, Modèle à changement de régime Markovien, Month effect, Panier de devises, Rendement des actions, Renminbi chinois, Régime de change, Saisonnalité, Seasonality, Uep, Volatilité implicite

Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing.

Basket options, Implied volatility, Importance sampling, Large deviations, Wishart process

On probability distributions of diffusions and financial models with non-globally smooth coefficients.

Calcul de Malliavin, Density estimation, Equations différentielles Stochastiques, Estimation de densités, Implied volatility, Malliavin calculus, Mathematical Finance, Mathématiques financières, Stochastic Volatility, Stochastic differential equations, Volatilité implicite, Volatilité stochastique