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).
Functional quantization-based stratified sampling methods.
Brownian bridge, Brownian motion, Functional quantization, Gaussian process, Karhunen-Loève, Monte Carlo, Numerical integration, Option pricing, Ornstein-Uhlenbeck bridge, Ornstein-Uhlenbeck process, Path-dependent option, Principal component analysis, Product quantizer, Stratification, Variance reduction, Vector quantization, Voronoi diagram
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