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

Stochastic approximations for financial risk computations.

American options, Approximation faibles, Credit risk measures, Décomposition en polynômes du chaos, Forward Variance, Initial Margin, Marge Initiale, Mesures de risque de crédit, Meta-modeling, Monte Carlo multi-Niveaux, Multilevel Monte Carlo, Métamodélisation, Options américaines, Orthogonal polynomials, Polynomial Chaos Expansion, Polynômes orthogonaux, Risk management, VIX, Variance Forward, Weak approximations

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

Weak Error for Nested Multilevel Monte Carlo.

Multilevel Monte Carlo, Nested Monte Carlo, Weak error expansion, Weighted Multilevel Monte Carlo

Some quick algorithms for quantitative finance.

Calcul des grecques, Differentiation automatique, Monte carlo multilevel, Multilevel Monte Carlo, Option américaine, Parallélisation, Parareal, Pararéel, Sensibilties

Weak error for nested Multilevel Monte Carlo.

Multilevel Monte Carlo, Nested Monte Carlo, Weak error expansion, Weighted Multilevel Monte Carlo

High order discretization schemes for stochastic volatility models.

Discretization schemes, Multilevel Monte Carlo, Stochastic volatility models, Weak trajectorial convergence

Multilevel Monte Carlo methods and statistical inference for financial models.

Algorithmes stochastiques, Calcul de Malliavin, Finance Quantitative, Functional limit theorems, Jump processes, Malliavin calculus, Multilevel Monte Carlo, Multilevel Monte Carlo methods, Numerical probabilities, Probabilités numériques, Processus de branchement-diffusion, Processus à sauts, Statistics of processes for financial models, Statistique des processus, Stochastic algorithms, Théorèmes limites fonctionnels