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).


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Quantitative Finance under rough volatility.

Equations stochastiques de Volterra, Hawkes process, Heston model, Limiting theorems, Make-take fees, Market microstructure, Microstructure des marchés, Modèle de Heston, Principal-agent problem, Problème de principal-agent, Processus de Hawkes, Rough volatility, Théorèmes limites, Volatilité rugueuse, Volterra Equation

Quantitative Finance under rough volatility.

Equations stochastiques de Volterra, Hawkes process, Heston model, Limiting theorems, Make-take fees, Market microstructure, Microstructure des marchés, Modèle de Heston, Principal-agent problem, Problème de principal-agent, Processus de Hawkes, Rough volatility, Théorèmes limites, Volatilité rugueuse, Volterra Equation

Some aspects of the central role of financial market microstructure : Volatility dynamics, optimal trading and market design.

Contrôle optimal, Market design, Market microstructure, Microstructure des marchés financiers, Optimal control, Organisation des marchés, Rough volatility, Volatilité rugueuse

Stochastic Invariance and Stochastic Volterra Equations.

Affine processes, Equations de convolutions stochastiques, Invariance stochastique, Processus affines, Rough volatility, Stochastic convolution equations, Stochastic invariance, Volatilité rugueuse

Volterra process and applications in finance.

American options, Option Américaine, Processus de Volterra, Rough volatility, Volatilité rugueuse, Volterra processes

Markowitz portfolio selection for multivariate affine and quadratic Volterra models.

60G22, 60H10, Correlation matrices, Mean-variance portfolio theory, Multi- dimensional Volterra process, Non-Markovian Heston, Riccati equations, Rough volatility, Stein-Stein and Wishart models MSC Classification 93E20

Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models.

Correlation matrices, Mean-variance portfolio theory, Multi- dimensional Volterra process, Non-Markovian Heston, Riccati equations, Rough volatility, Stein-Stein and Wishart models