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).
Maximum Maximum of Martingales given Marginals.
Lookback option, Optimal control, Optimal transportation, Pathwise inequalities, Robust pricing and hedging, Volatility uncertainty
Stochastic control methods for optimal transportation and probabilistic numerical schemes for PDEs.
Borne des prix sans-arbitrage, Contrôle stochastique, Monotonicity, Monotonie, No-arbitrage bound, Optimal transportation, Options sur variance, Probabilistic numerical scheme, Schéma Monte-Carlo, Stochastic control, Transport optimal, Variance options