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 in Systematic Trading and Option Pricing.

Evaluation d'Options, Financial Mathematics, Impact de Marché, Market Impact, Mathematiques Financières, Option Pricing, Systematic Trading, Trading Algorithmique

Asymptotic methods for option pricing in finance.

Affine models, Asymptotic expansions, Asymptotic methods, Jump processes, Modèles affines, Méthodes asymptotiques, Option pricing, Processus à sauts, Valorisation d’options, Échantillonnage préférentiel

Option pricing with discrete time jump processes.

CAC 40, Exponential affine stochastic discount factor, Minimal Entropy Martingale Measure, Option pricing, S&P 500, Time Jump processes

Multilevel Richardson–Romberg extrapolation.

Euler scheme, Multi-Step, Multilevel Monte Carlo methods, Nested Monte Carlo method, Option pricing, Richardson-Romberg Extrapolation, Stratification

Functional quantization-based stratified sampling methods.

Brownian bridge, Brownian motion, Functional quantization, Gaussian process, Karhunen-Loève, Monte Carlo, Numerical integration, Option pricing, Ornstein-Uhlenbeck bridge, Ornstein-Uhlenbeck process, Path-dependent option, Principal component analysis, Product quantizer, Stratification, Variance reduction, Vector quantization, Voronoi diagram

Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options.

Automatic Differentiation, Euler Scheme, Greeks, High Dimension, High Order Derivative, Monte Carlo Method, Option Pricing, Path-Dependent Option, Vibrato

Lévy Processes in Finance: Inverse Problems and Dependence Modelling.

Calibration, Copulas, Copules, Dependence, Dépendance, Entropie relative, Ill-posed problems, Inverse problems, Lévy processes, Option pricing, Problèmes inverses, Problèmes mal posés, Processus de Lévy, Produits dérivés, Regularization, Relative entropy, Régularisation

How Does Asymmetric Information Create Market Incompleteness?

Asymmetric information, Complete market ·, Incomplete market, Information, Insider trading, Martin-gales, Option pricing

How Does Asymmetric Information Create Market Incompleteness?

Asymmetric information, Complete market ·, Incomplete market, Information, Insider trading, Martin-gales, Option pricing

Numerical problems in financial mathematics and trading strategies.

Algorithmic Trading, Apprentissage automatique, Apprentissage supervisé, Binomial tree model, Conditions de non-arbitrage, Coûts de transaction, Diffusion partial differential equations, Equations aux dérivées partielles, European options, Financial market models, Machine learning, Modèle Binomial, Modèles de marchés financiers, No-arbitrage condition, Option pricing, Options européennes, Pricing, Prix de sur-réplication, Stratégies de trading, Super-hedging prices, Supervised learning, Trading algorithmique