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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Study of numerical methods for partial hedging and switching problems with costs uncertainty.

Contrôle optimal stochastique, Enlargement of filtration, Grilles Sparses, Grossissement de filtration, Mesures de risque (finances), Monotone finite difference schemes, Non-Linear partial differential equations (PDEs), Obliquely reflected backward stochastic differential equations (BSDEs), Optimal Switching, Quantile hedging, Risk measures, Schémas de différences finies monotones, Sparse grids, Stochastic optimal control, Switching optimal, Viscosity solutions, Équations différentielles stochastiques rétrogrades obliquement réfléchies

Size matters for OTC market makers: General results and dimensionality reduction techniques.

Curse of dimensionality, Integro-dierential equations, Integro-differential equations, Market making, Risk factor models, Stochastic optimal control

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty.

Bayesian learning, Hamilton–Jacobi–Bellman equations, Online learning, Optimal execution, Optimal portfolio choice, Optimal portfolio liquidation, Optimal portfolio transition, Stochastic optimal control

Size matters for OTC market makers: general results and dimensionality reduction techniques.

Curse of dimensionality, Integro-dierential equations, Market making, Risk factor models, Stochastic optimal control

Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality.

Actor-critic algorithms, Market making, Reinforcement learning, Stochastic optimal control

Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality.

Actor-critic algorithms, Market making, Reinforcement learning, Stochastic optimal control

Optimal market making.

CDX indices, Closed-form approximations, Guéant–Lehalle–Fernandez-Tapia formulas, Market making, Stochastic optimal control

Algorithmic market making for options.

Algorithmic trading, Market making, Options, Stochastic optimal control

Algorithmic market making for options.

Algorithmic trading, Market making, Options, Stochastic optimal control

Accelerated share repurchase and other buyback programs: what neural networks can bring.

ASR contracts, Deep learning, Optimal stopping, Recurrent neural networks, Reinforcement learning, Stochastic optimal control

Accelerated Share Repurchase and other buyback programs: what neural networks can bring.

ASR contracts, Deep learning, Optimal stopping, Recurrent neural networks, Reinforcement learning, Stochastic optimal control

Study of two stochastic control problems: American put with discrete dividends and dynamic programming principle with constraints in probabilities.

American Options, Contrôle optimal stochastique, Dividendes, Dividends, Dynamic programming, Exercise boundary, Frontière d\'exercice, Lévy processes, Options Américaines, Processus de Lévy, Programmation dynamique, Stochastic optimal control