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).
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations.
Backward stochastic differential equations, Empirical regressions, Importance sampling
Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation.
Central limit theorem, Importance Sampling, Multilevel Monte Carlo, Uniform strong large law of numbers, Variance reduction
Importance sampling for jump processes and applications to finance.
Adaptive Monte Carlo methods, Importance sampling, Sample average approximation
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing.
Basket options, Implied volatility, Importance sampling, Large deviations, Wishart process
Monte Carlo methods and stochastic algorithms.
Chen projection method, Importance sampling, Martingales, Monte Carlo methods, Robbins-Monro algorithms
Contribution to the modeling and dynamic risk management of energy markets.
Approximation stochastique, Conditional Value-at-Risk, Couverture du risque, Echantillonnage préférentiel, Energy markets, Importance Sampling, Marchés de l'énergie, Modèle multi-facteur, Multi-factor model, Processus stationnaire, Risk hedging, Stationnary process, Stochastic approximation, Value-at-Risk