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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Weak approximation of martingale representations.

Malliavin calculus, Martingale Representation Theorem, Stochastic Calculus, Stochastic Differential equations

Approximate hedging for nonlinear transaction costs on the volume of traded assets.

Delta hedging, Leland–Lott strategy, Malliavin calculus, Order book, Transaction costs

Stochastic control and numerical methods in mathematical finance.

BSDE, Calcul de Malliavin, Contrôle stochastique, EDSR, Estimation non-paramétrique, Financial mathematics, Jump processes, Malliavin calculus, Mathématiques financières, Monte Carlo simulations, Non-parametric estimation, Processus a sauts, Simulations Monte Carlo, Solutions de viscosité, Stochastic control, Viscosity solutions

Estimating functions for SDE driven by stable Lévy processes.

Estimating functions, Lévy process, Malliavin Calculus, Parametric infer- ence, Parametric inference, Stable process, Stochastic Differential Equation

Study and modeling of stochastic differential equations.

Calcul de Malliavin, Discretization schemes, Equation diffférentielles stochastiques, Estimateur de Maximum de Vraisemblance, Malliavin calculus, Maximum Likelyhood Estimator, Processus de Wishart, Schémas de discrétisation, Stochastic Differential Equations, Wishart process

Estimating functions for SDE driven by stable Lévy processes.

Estimating functions, Lévy process, Malliavin Calculus, Parametric infer- ence, Parametric inference, Stable process, Stochastic Differential Equation

Stochastic development and closed-form pricing for European options.

Analyse stochastique, Calcul de Malliavin, Financial mathematics, Malliavin calculus, Mathématiques financières, Partial differential equations, Stochastic analysis, Équations aux dérivées partielles

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

Approximation and density estimation for stochastic evolution equations.

Calcul de Malliavin, Euler scheme, Malliavin calculus, Schéma d’Euler, Stochastic differential equations, Équation de la chaleur, Équation différentielle stochastique

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

Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression.

Backward stochastic differential equations, Dynamic programming equation, Empirical regressions, Malliavin calculus, Non-asymptotic error estimates

Analytical approximations of local-Heston volatility model and error analysis.

Analytical approximations, Local and stochastic volatilities, Malliavin calculus