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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Incomplete markets, liquidation risk, and the term structure of interest rates.

Borrowing constraint, Incomplete markets, Yield curve

Incomplete markets, liquidation risk, and the term structure of interest rates.

Borrowing constraint, Incomplete markets, Yield curve

Interest rates modeling for insurance : interpolation, extrapolation, and forecasting.

Apprentissage, Courbe de taux, Forecasting, Interest rates, Machine learning, Multivariate time series, Prédiction, Statistique, Séries temporelles, Taux d'intérêt, Yield curve

Kriging of financial term-structures.

Implied default distribution, Interest-rate curve, Kriging, Model risk, No-arbitrage constraints, OIS discount curve, Yield curve

Quantification and statistical methods for model risk.

Affine model, Analyse de sensibilité, Contrast index, Courbe de crédit, Courbe de taux, Credit curve, Indice de Sobol, Indice de contraste, Model risk, Modèle affine, Ordre stochastique, Risque de modèle, Sensitivity analysis, Sobol index, Stochastic order, Yield curve

Actuarial tools adapted to technical risk management in French-speaking sub-Saharan Africa: application to pension plans.

Actuarial tools, CIPRES, Courbe des taux, Economic scenario generator, Générateur de scénarios économiques, Management parameters, Outils actuariels, Paramètres de pilotage, Pilotage technique, Technical management, Yield curve

A model for interest rates with clustering effects.

Hawkes process, Interest rates, Self-exciting process, Yield curve

A bivariate Hawkes process for interest rate modeling.

Hawkes process, Interest rate, Micro-structure, Self and mutually exciting processes, Yield curve

Potential Growth and Natural Yield Curve in Japan.

Japan, Potential growth, State-space model, Yield curve