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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Discretization of processes with stopping times and uncertainty quantification for stochastic algorithms.

Algorithmes stochastiques, Discretisation, Discretization, Optimisation, Optimization, Processus stochastiques, Quantification d'incertitude, Stochastic algorithms, Stochastic processes, Stopping time, Temps d'arret, Uncertainty quantification

A new sequential algorithm for L2-approximation and application to Monte-Carlo integration.

Monte-Carlo simulations, Sequential approximation, Spectral decomposition, Stochastic algorithms

Liquidity Costs: A New Numerical Methodology and an Empirical Study.

Interest rates derivatives, Optimization optimisation, Stochastic Algorithms

Stochastic tracking algorithms and empirical concentration inequalities for statistical learning.

Algorithmes Stochastiques, Apprentissage en Ligne, Bornes d'Erreur en Généralisation, Classification Multi-Classes, Empirical Bernstein Inequalities, Feature Selection, Generalization Bounds, Inégalités de Bernstein Empiriques, Martingales, Matching Pursuit, Multiclass Classification, Online Learning, Ranking, Stochastic Algorithms, Sélection de Caractéristiques, U-Statistics, U-Statistiques

Multilevel Monte Carlo methods and statistical inference for financial models.

Algorithmes stochastiques, Calcul de Malliavin, Finance Quantitative, Functional limit theorems, Jump processes, Malliavin calculus, Multilevel Monte Carlo, Multilevel Monte Carlo methods, Numerical probabilities, Probabilités numériques, Processus de branchement-diffusion, Processus à sauts, Statistics of processes for financial models, Statistique des processus, Stochastic algorithms, Théorèmes limites fonctionnels

Discretization of processes at stopping times and Uncertainty quantification of stochastic approximation limits.

Algorithmes stochastiques, Discretisation, Discretization, Optimisation, Optimization, Processus stochastiques, Quantification d'incertitude, Stochastic algorithms, Stochastic processes, Stopping time, Temps d'arret, Uncertainty quantification