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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Option hedging in a market with impact and numerical schemes for particle system based EDSRs.

Branching process, Bsde, Cible stochastique, Dynamic hedging, Edsr, Impact permanent, Méthodes Monte-Carlo, Monte-Carlo methods, Price impact, Processus de branchement, Réplication dynamique, Stochastic target

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

BSDEs of Counterparty Risk.

BSDE, Counterparty risk, Progressive enlargement of filtration

Counterparty risk and funding: immersion and beyond.

BSDE, Collateral, Counterparty risk, Credit derivatives, Funding, Gap risk, Immersion, Reduced-form credit modelling, Wrong-way risk

Counterparty risk and funding: Immersion and beyond.

BSDE, Collateral, Counterparty risk, Credit derivatives, Dynamic copulas, Funding, Gap risk, Immersion, Invariant times, Reduced-form credit modeling, Wrong-way risk

Counterparty risk and funding: immersion and beyond.

BSDE, Collateral, Counterparty risk, Credit derivatives, Dynamic copulas, Funding, Gap risk, Immersion, Invariant times, Reduced-form credit modeling, Reduced-form credit modelling, Wrong-way risk

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

Numerical approximation of general Lipschitz BSDEs with branching processes.

60H35, 60J60, BSDE, Branching process MSC2010 Primary 65C05, Monte-Carlo methods, Secondary 60J85

Numerical approximation of general Lipschitz BSDEs with branching processes.

60H35, 60J60, BSDE, Branching process MSC2010 Primary 65C05, Monte-Carlo methods, Secondary 60J85

EDSR and EDSPR with filtration magnification, information asymmetry and hedging problems in financial markets.

Asymmetrical information, Asymétrie d'information, BSDE, Complete market, Couverture d'actifs financiers, Délit d'initié, EDSPR, EDSR, Enlargement of filtration, FBSDE, Grossissement de filtration, Hedging of contingent claims, Incomplete market, Insider trading, Marché complet, Marché incomplet, Martingale Representation Theorem, Mesure martingale minimale, Minimal martingale measure, Probabilité neutre au risque, Risk-neutral probability, Théorème de représentation de martingales

Optimal transport, geometry and Monte-Carlo methods for nonlinear PDEs: A ride in mathematical finance.

Asymptotic implied volatility, BSDE, Branching diffusions, Diffusions branchantes, Hedging robuste, McKean, Optimal transport, Plongement de Skorokhod, Robust hedging, Skorokhod embedding problem, Transport optimal

Numerical approximation of BSDEs using local polynomial drivers and branching processes.

BSDE, Branching process, Numerical methods