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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Pareto Optima for a Class of Singular Control Games.

Interbank markets, LIBOR rate, Mathematical finance, Nash equilibrium, Pareto optimum, Singular stochastic control, Skorokhod problem, Stochastic control, Stochastic differential game

Contributions to credit risk and interest rate modeling.

Credit risk, Interest rate models, Mathematical finance, Maximisation d'utilité

Invariance times *.

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

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

Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.

Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production

Some contributions to probabilistic numerical methods and stochastic modeling.

Adaptive numerical methods, Finance mathématique, HPC, Mathematical finance, Modélisation stochastique, Méthodes numériques probabilistes adaptatives, Optimisation stochastique, Stochastic modeling, Stochastic optimization

Fundamentals and Advanced Techniques in Derivatives Hedging.

Mathematical Finance, Probability, Risk control

Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.

Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production

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