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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Optimization and Simulation Based Cost-Benefit Analysis on a Residential Demand Response : Applications to the French and South Korean Demand Response Mechanisms.

Cost-Benefit Analysis (CBA), Customer Baseline Load (CBL), Demand Response (DR), L'analyse de sensibilité, L'optimisation, L'opérateur d'effacement, La courbe de référence, La simulation Monte Carlo, Load Aggregator (LA), L’Analyse coûts-bénéfices, L’effacement de la consommation électrique, Monte Carlo Simulation, NEBEF, Optimization, Sensitivity Analysis (SA)

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

Meta-model of a large credit risk portfolio in the Gaussian copula model.

Meta-model, Monte Carlo simulation, Polynomial chaos expansion, Portfolio credit risk

Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics.

Adaptive LASSO, General-to-specific, Genetic data, Model selection, Monte Carlo simulation, Sparse models

New weak error bounds and expansions for optimal quantization.

60E99, 65C50, Monte Carlo simulation, Numerical integration, Optimal quantization, Product quantizer, Product quantizer 2010 AMS Classification 65C05, Romberg extrapolation, Variance reduction, Weak error

New Weak Error bounds and expansions for Optimal Quantization.

Monte Carlo simulation, Numerical integration, Optimal quantization, Product quantizer, Romberg extrapolation, Variance reduction, Weak error

What can we Learn from the Free Destination Option in the LNG Imbroglio ?

Destination flexibility option, LNG arbitrage, Monte Carlo simulation, TVAR, Volatility

What can be learned from the free destination option in the LNG Imbroglio ?

Destination flexibility option, LNG arbitrage, Monte Carlo simulation, TVAR, Volatility

What can be learned from the free destination option in the LNG imbroglio?

Destination flexibility option, LNG arbitrage, Monte Carlo simulation, TVAR, Volatility