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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Stochastic algorithms for risk management and indexing of media databases.

Apprentissage automatique, Control stochastic, Contrôle stochastique, Exact simulation, Incomplete market, Indexation d'images, Machine learning, Malliavin sensitivity, Marché incomplet, Media indexing, Optimization problem, Problème d'optimisation, Quantification, Quantization, Réduction de variance, Sensibilité par Malliavin, Simulation trajectorielle exacte, Stochastic volatility, Variance reduction, Volatilité stochastique

European options in a non-linear incomplete market model with default.

BSDEs with constraints, Control problems with non-linear expectation, European options, F-expectation, Incomplete market, Non-linear optional decomposition, Non-linear pricing, Pricing-hedging duality, Superhedging

How Does Asymmetric Information Create Market Incompleteness?

Asymmetric information, Complete market ·, Incomplete market, Information, Insider trading, Martin-gales, Option pricing

How Does Asymmetric Information Create Market Incompleteness?

Asymmetric information, Complete market ·, Incomplete market, Information, Insider trading, Martin-gales, Option pricing

EDSR and EDSPR with filtration magnification, information asymmetry and hedging problems in financial markets.

Asymmetrical information, Asymétrie d'information, BSDE, Complete market, Couverture d'actifs financiers, Délit d'initié, EDSPR, EDSR, Enlargement of filtration, FBSDE, Grossissement de filtration, Hedging of contingent claims, Incomplete market, Insider trading, Marché complet, Marché incomplet, Martingale Representation Theorem, Mesure martingale minimale, Minimal martingale measure, Probabilité neutre au risque, Risk-neutral probability, Théorème de représentation de martingales