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).
Liquidity in the banking sector.
Analyse de la réactivité, Banking liquidity, Basel III, Cash holding motives, Cox regression, Création de liquidité, Difference-in-difference, Différence dans la différence, GMM, Liquidity creation, Liquidité bancaire, Motivations pour détenir des liquidités, Sensitivity analysis
Quantification and statistical methods for model risk.
Affine model, Analyse de sensibilité, Contrast index, Courbe de crédit, Courbe de taux, Credit curve, Indice de Sobol, Indice de contraste, Model risk, Modèle affine, Ordre stochastique, Risque de modèle, Sensitivity analysis, Sobol index, Stochastic order, Yield curve
Rare event simulation related to financial risks: efficient estimation and sensitivity analysis.
Credit default swaps, Deep out-of-the-money options, Ergodic properties, Fractional Brownian motion, Interacting particle systems, Malliavin calculus, Markov chains, Model misspecification, Monte Carlo simulation, Rare event, Sensitivity analysis
Model Consistency of Partly Smooth Regularizers.
Convexity, Inverse problem, Low-rank, Partial smoothness, Sensitivity analysis, Sparsity
Comparative life cycle assessment and costing of an autonomous lawn mowing system with human-operated alternatives: implication for sustainable design improvements.
Autonomous systems, Design improvement, Economic analysis, Environmental evaluation, Sensitivity analysis, Sustainability