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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Pareto Models for Risk Management.

EPD, Expected shortfall, Financial risks, GPD, Hill, Pareto, Quantile, Rare events, Regular variation, Reinsurance, Second order, Value-at-risk

Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process.

60J60, 60J75, Diffusion, Hawkes process, Model selection, Nonparametric estimator, Nonparametric estimator Model selection Diffusion Hawkes process AMS Classification 62G05

Economic analysis of public smoking policies.

Consommation distribution et transformation

Climate change and population: an integrated assessment of mortality due to health impacts.

Climate change, Endogenous population, Impacts, Integrated assessment model, Mortality risk

PAC-Bayes and domain adaptation.

Domain Adaptation, PAC-Bayesian Theory

Climate policy: How to deal with ambiguity?

 

Political Science approaches to legislatures.

Congressional studies, Legislative studies, Legislators, Legislatures, Political science, Rational choice

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning.

 

Market Impact in Systematic Trading and Option Pricing.

Evaluation d'Options, Financial Mathematics, Impact de Marché, Market Impact, Mathematiques Financières, Option Pricing, Systematic Trading, Trading Algorithmique

Organizing insurance supply for new and undiversifiable risks.

Coinsurance, Common value divisible good auctions, Competition, Reserve price, Undiversifiable and new risks

Are clean technology and environmental quality conflicting policy goals?

ENVIRONMENTAL REGULATION, INNOVATION, TECHNOLOGY ADOPTION

Conditional Monte Carlo Learning for Diffusions I: main methodology and application to backward stochastic differential equations.