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).


Reset

Optimal Quantization : Limit Theorem, Clustering and Simulation of the McKean-Vlasov Equation.

Caractérisation de la convergence Wasserstein, Classification non supervisée, Convex order, K-means clustering, Méthode de particule, Optimal quantization, Ordre convexe, Particle method, Quantification optimale, Simulation de l’équation de Mckean-Vlasov, Simulation of McKean-Vlasov equation, Wasserstein convergence characterization

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

On the stability of the martingale optimal transport problem.

Convex order, Couplages martingale, Distance de Wasserstein, Finance robuste, Martingale Optimal Transport, Martingale couplings, Ordre convexe, Robust finance, Stability, Stabilité, Transport optimal martingale, Wasserstein distance

One dimensional martingale rearrangement couplings.

Adapted Wasserstein distance, Convex order, Martingale Optimal Transport, Martingale couplings, Robustfinance

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds.

Convex order, Linear programming, Martingale optimal transport, Robust option price bounds, Sampling techniques

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds.

Convex order, Linear programming, Martingale optimal transport, Robust option price bounds, Sam-pling techniques

Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability.

Convex order, Couplings of probability measures, Differentiability, Optimal transport, Wasserstein distance

Martingale Wasserstein inequality for probability measures in the convex order.

Convex order, Martingale Optimal Transport, Martingale couplings, Wasserstein distance

Risk process: dependency modeling and risk assessment under convexity constraints.

Contrainte de convexité, Convex extrema, Convex order, Convexity constraints, Dependence model, Extrema convexes, Mixing process, Modèle de dépendance, Ordre convexe, Processus de risque, Processus mélangeant, Risk process

On the stability of the martingale optimal transport problem.

Convex order, Couplages martingale, Distance de Wasserstein, Finance robuste, Martingale Optimal Transport, Martingale couplings, Ordre convexe, Robust finance, Stability, Stabilité, Transport optimal martingale, Wasserstein distance