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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Continuous-time Martingale Optimal Transport and Optimal Skorokhod Embedding.

Duality, Dualité, Martingale optimal transportation, Monotonicity principle, Optimal Skorokhod embedding, Plongement de Skorokhod optimal, Principe de monotonie, Solution de Vallois, Stability, Stabilité, Transport optimal martingale, Vallois' solution

Optimal multidimensional martingale transport.

Duality, Dualité, Finance robuste, Local structure, Martingale, Numerics, Numérique, Optimal transport, Robust finance, Structure locale, Transport optimal

Numerical methods for matching for teams and Wasserstein barycenters.

Duality, Linear programming, Matching for teams, Numerical methods for nonsmooth convex minimization, Wasserstein barycenters

Efficient portfolios in financial markets with proportional transaction costs.

Cyclic anticomonotonicity, Duality, Proportional transaction costs, Utility maximization, Utility price

Dual Pricing of American Options by Wiener Chaos Expansion.

American option, Duality, High performance computing, Sample average approximation, Snell envelope, Stochastic optimization, Wiener chaos expansion

Dynamic Utility and related nonlinear SPDE driven by Lévy Noise.

Consistent utility, Duality, Forward utility, Horizon-unbiased utility, Performance criteria, Portfolio optimization, Progressive utility, Stochastic PDE with jumps, Stochastic characteristics method, Stochastic flows

Superreplication with proportional transaction cost under model uncertainty.

Duality, Model uncertainty, Super-replication, Transaction cost

Super-replication with proportional transaction cost under model uncertainty.

Duality, Model uncertainty, Super-replication, Transaction cost