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).


Reset

Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options.

Automatic Differentiation, Euler Scheme, Greeks, High Dimension, High Order Derivative, Monte Carlo Method, Option Pricing, Path-Dependent Option, Vibrato

MCCM methods for Bayesian analysis of nonlinear parametric regression models. Application to line analysis and impulse deconvolution.

Analyse spectrale, Bayes estimation, Deconvolution, Estimation bayes, Mathematiques, Methode monte carlo, Modele regression, Monte carlo method, Non linear regression, Regression model, Regression non lineaire, Sciences et techniques communes, Spectral analysis

Multiscale models for viscoelastic fluids.

Coupled system, Equations aux dérivées partielles, Fluide polymérique, Magnetohydrodynamic, Monte carlo method, Multiscale problem, Partial differential equations, Polymeric fluid, Problème multi-échelles, Stochastic differential equations, Système couplé, Techniques de réduction de variance, Variance reduction techniques

Monte Carlo methods for discontinuous scattering: application to electrical impedance tomography.

Diffusion equations, Différences finies stochastiques, Electrical Impedance Tomography, Equation de diffusion, Estimation de distribution, Estimation of Distribution, Feynman-Kac formula, Formule de Feynman-Kac, Marche sur les sphères, Monte Carlo method, Méthode de Monte-Carlo, Stochastic finite differences, Tomographie par impédance électrique, Walk on spheres

Some Contributions on Probabilistic Interpretation For Nonlinear Stochastic PDEs.

Analyse stochastique quasi-sure, Backward Doubly Stochastic Differential Equations, Convex domains, Domaine convexe, Equations aux dérivées partielles stochastiques non-linéaires, Equations différentielles doublement stochastiques rétrogrades, Flot stochastique, Monte Carlo method, Nonlinear SPDEs, Obstacle problem, Problème d'obstacle, Problème de Skorohod, Quasi-sure stochastic analysis, Second order Backward Doubly Stochastic Differential Equations, Simulations de Monte-Carlo, Skorohod problem, Stochastic flow

Estimation of the probability and uncertainty of undesirable events in large-scale systems.

Epistemic uncertainty, Framework, Large scale system, Modèle semi-Markovien, Monte Carlo method, Multi-state system, Random set, Semi-Markov process, System dependability estimation, Uncertainty

Some Contributions on Probabilistic Interpretation For Nonlinear Stochastic PDEs.

Analyse stochastique quasi-sure, Backward Doubly Stochastic Differential Equations, Convex domains, Domaine convexe, Equations aux dérivées partielles stochastiques non-linéaires, Equations différentielles doublement stochastiques rétrogrades, Flot stochastique, Monte Carlo method, Nonlinear SPDEs, Obstacle problem, Problème d'obstacle, Problème de Skorohod, Quasi-sure stochastic analysis, Second order Backward Doubly Stochastic Differential Equations, Simulations de Monte-Carlo, Skorohod problem, Stochastic flow