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).
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
Meta-model of a large credit risk portfolio in the Gaussian copula model.
Meta-model, Monte Carlo simulation, Polynomial chaos expansion, Portfolio credit risk
A comparative study of polynomial-type chaos expansions for indicator functions.
Metamodeling, Orthogonal polynomials, Polynomial chaos expansion