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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Non-parametric model calibration in finance.

Calibration, Stochastic rates, Taux stochastiques, Vanillas, Vanilles

Empirical properties and modeling of high frequency assets.

Calibration, Dynamique jointe, Hawkes processes, Joint dynamics, Processus de Hawkes

Theoretical and numerical study of nonlinear problems in the McKean sense in finance.

Bsde, Calibration, EDS non linéaires au sens de McKean, Edsr, Multi Level Monte Carlo, Méthode de particules, Nonlinear SDE in the sense of McKean, Particle method

On the Consistency of Ordinal Regression Methods.

Calibration, Excess risk bound, Fisher consistency, Ordinal regression, Surrogate loss

Evaluation and validation of forecasts in law.

Bias correction, CRPS, Calibration, Correction de biais, Density forecasting, Machine learning, PIT series, Pinball-Loss, Prévision de quantile, Prévision en loi, Quantile forecasting, Tests de validité, Transformation de Rosenblatt, Validity tests

The dictionary approach for spherical deconvolution.

Calibration, Density deconvolution, Dictionary, Lasso estimate, Oracle inequalities, Second generation wavelets, Sparsity

Adaptive Lasso and group-Lasso for functional Poisson regression.

Adaptive group-lasso, Adaptive lasso, Calibration, Concentration, Functional Poisson regression

The dictionary approach for spherical deconvolution.

Calibration, Density deconvolution, Dictionary, Lasso estimate, Oracle inequalities, Second generation wavelets, Sparsity

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

In search of good probability assessors: an experimental comparison of elicitation rules for confidence judgments.

Belief elicitation, Calibration, Confidence, Discrimination, Incentives, Scoring rules

On the empirical measurement of inequality.

Calibration, Chile, Chili, Données fiscales, Enquêtes, Hauts revenus, Historical trends, Inequality, Inégalités, Pondération, Reweighting, Surveys, Tax data, Tendances historiques, Top incomes, Étalonnage