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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Lévy processes and their applications in finance: analysis, methodology and estimation.

Estimation of time series, Finances, Lévy Processes, Mathématiques appliquées, Non-Linear financial time series, Processus de Lévy

Convex order for path-dependent derivatives: a dynamic programming approach.

Comparison of option prices, Completely monotone functions, Convex order, Itô processes, Laplace transform, Local volatility models, Lévy processes, Lévy-Itô processes, Pathwise American options, Pathwise European options

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

Extreme risk in finance: analysis and modeling.

Conditional Value-At-Risk, Fast Fourier transforms, Hidden Markov models, Lemme de Neyman-Pearson, Lois puissances, Lévy processes, Modèles de Markov cachés, Neyman-Pearson Lemma, Power laws, Processus de Lévy, Transformée de Fourier rapide, Value-At-Risk, Value-At-Risk Conditionnelle

Study of two stochastic control problems: American put with discrete dividends and dynamic programming principle with constraints in probabilities.

American Options, Contrôle optimal stochastique, Dividendes, Dividends, Dynamic programming, Exercise boundary, Frontière d\'exercice, Lévy processes, Options Américaines, Processus de Lévy, Programmation dynamique, Stochastic optimal control

Probabilistic study of interacting particle systems: applications to molecular simulation.

Calculs d'énergies libres, Free energy calculations, Hyperbolic conservation laws, Interacting particle systems, Interprétation probabiliste des équations aux dérivées partielles, Lois de conservation hyperboliques, Lévy processes, Méthodes de Monte Carlo en chimie quantique, Probabilistic interpretation of partial differential equations, Processus de Lévy, Quantum Monte Carlo methods, Systèmes de particules en intéraction