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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Stochastic control and numerical methods in mathematical finance.

BSDE, Calcul de Malliavin, Contrôle stochastique, EDSR, Estimation non-paramétrique, Financial mathematics, Jump processes, Malliavin calculus, Mathématiques financières, Monte Carlo simulations, Non-parametric estimation, Processus a sauts, Simulations Monte Carlo, Solutions de viscosité, Stochastic control, Viscosity solutions

Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy.

Chaos expansion, Monte Carlo simulations, Stochastic control, Stochastic programming, Swing options, Uncertainty quantification

Volatility uncertainty quantification in a stochastic control problem applied to energy.

Chaos expansion, Monte Carlo simulations, Stochastic control, Stochastic programming, Swing options, Uncertainty quantification

The univariate MT-STAR model and a new linearity and unit root test procedure.

Exponential smooth transition autoregressive model, Monte Carlo simulations, Nonlinearity, Real exchange rates, Unit roots

Dynamic factor model with non-linearities : application to the business cycle analysis.

Analyse du point de retournement, Business cycle, Changement de régime markovien, Comportement en échantillon fini, Consistency, Convergence, Cycle financier, Cycle économique, Dynamic Factor Model, Dynamical interaction, Financial cycle, Interaction dynamique, Markov-Switching, Modèle à facteurs dynamiques, Monte Carlo simulations, Méthode en deux étapes, Risque systémique, Simulations Monte Carlo, Small-sample performance, Systemic risk, Turning point analysis, Two-step method