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).
Robust pricing-hedging duality for American options in discrete time financial markets.
60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication
Optimal multidimensional martingale transport.
Duality, Dualité, Finance robuste, Local structure, Martingale, Numerics, Numérique, Optimal transport, Robust finance, Structure locale, Transport optimal
Geodesics on Shape Spaces with Bounded Variation and Sobolev Metrics.
BV 2-curves, Geodesics, Martingale, Shape registration
Calibration of financial models by relative entropy minimization and models with jumpsbPrinted text.
Analyse financière, Entropie, Marché financier, Martingale, Modèle, Probabilités
The robust pricing-hedging duality for American options in discrete time financial markets.
60G05, American option, Kantorovich duality, Martingale, Nondominated model, Optimal transport, Secondary 49M29, Super-replication