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).
Efficient volatility estimation in a two‐factor model.
Discrete observations, Electricity market modelling, Financial statistics, HJM models, Nonparametric estimation, Semipara-metric efficient bounds, Time-to-maturity factor
Efficient volatility estimation in a two-factor model.
Discrete observations, Electricity market modelling, Financial statistics, HJM models, Nonparametric estimation, Semipara-metric efficient bounds, Time-to-maturity factor
Estimating fast mean-reverting jumps in electricity market models.
Derivatives pricing, Discrete observations, Electricity market modelling, Financial statistics
Estimating fast mean-reverting jumps in electricity market models.
Deriva-tives pricing, Discrete observations, Electricity market modelling, Financial statistics