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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An Iterated Projection Approach to Variational Problems Under Generalized Convexity Constraints.

B-convexity constraint, Convex envelopes, Convexity constraint, Dykstra’s algorithm, Iterated projections, Principal-agent problem

An iterated projection approach to variational problems under generalized convexity constraints.

65K15, 90C25, B-convexity constraint, Convex envelopes, Convexity constraint, Dykstra's algorithm Mathematics subject classification 49M25, Iterated projections, Principal-agent problem

Quantitative Finance under rough volatility.

Equations stochastiques de Volterra, Hawkes process, Heston model, Limiting theorems, Make-take fees, Market microstructure, Microstructure des marchés, Modèle de Heston, Principal-agent problem, Problème de principal-agent, Processus de Hawkes, Rough volatility, Théorèmes limites, Volatilité rugueuse, Volterra Equation

Quantitative Finance under rough volatility.

Equations stochastiques de Volterra, Hawkes process, Heston model, Limiting theorems, Make-take fees, Market microstructure, Microstructure des marchés, Modèle de Heston, Principal-agent problem, Problème de principal-agent, Processus de Hawkes, Rough volatility, Théorèmes limites, Volatilité rugueuse, Volterra Equation

Optimal make–take fees for market making regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Optimal Make-Take Fees for Market Making Regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Optimal make-take fees for market making regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

A two-dimensional control problem arising from dynamic contracting theory.

Principal-agent problem, Regularity properties, Two-dimensional control problem