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).
Market Impact in Systematic Trading and Option Pricing.
Evaluation d'Options, Financial Mathematics, Impact de Marché, Market Impact, Mathematiques Financières, Option Pricing, Systematic Trading, Trading Algorithmique
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
Stochastic development and closed-form pricing for European options.
Analyse stochastique, Calcul de Malliavin, Financial mathematics, Malliavin calculus, Mathématiques financières, Partial differential equations, Stochastic analysis, Équations aux dérivées partielles
Acceleration of the Monte Carlo method for diffusion processes and applications in Finance.
Esscher transform, Euler scheme, Financial mathematics, Heston model, Mathématiques financières, Modèle de Heston, Robbins-Monro, Schéma d'Euler, Transformation d'Esscher