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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Understanding expectational coordination as a major intellectual challenge : the “eductive” guide line.

 

Epidemic Models for Personalised COVID-19 Isolation and Exit Policies Using Clinical Risk Predictions.

 

Linear predictor on linearly-generated data with missing values: non consistency and solutions.

 

Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.

Impulse control, Nash equilibrium, Quasi-variational inequality, Stochastic differential game

COVID-19 pandemic control: balancing detection policy and lockdown intervention under ICU sustainability.

COVID-19, Detection, Intensive Care Unit ICU, Lockdown, Optimal Control, Quarantine, SARS-CoV-2, Sustainability, Testing

Stochastic approximations for financial risk computations.

American options, Approximation faibles, Credit risk measures, Décomposition en polynômes du chaos, Forward Variance, Initial Margin, Marge Initiale, Mesures de risque de crédit, Meta-modeling, Monte Carlo multi-Niveaux, Multilevel Monte Carlo, Métamodélisation, Options américaines, Orthogonal polynomials, Polynomial Chaos Expansion, Polynômes orthogonaux, Risk management, VIX, Variance Forward, Weak approximations

Insider trading without normality.

 

Unsupervised Multi-Source Domain Adaptation for Regression.

 

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty.

Convex duality, Model uncertainty, Randomization method, Transaction costs, Utility indifference pricing, Utility maximization

Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations.

 

Testing for lack-of-fit in functional regression models against general alternatives.

 

Adversarial Weighting for Domain Adaptation in Regression.