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).
Dual Pricing of American Options by Wiener Chaos Expansion.
American option, Duality, High performance computing, Sample average approximation, Snell envelope, Stochastic optimization, Wiener chaos expansion
Importance sampling for jump processes and applications to finance.
Adaptive Monte Carlo methods, Importance sampling, Sample average approximation