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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Joint stock/option dynamics and application to option trading strategies.

Market making, Option trading, Stochastic volatility, Trading d'options, Volatilité stochastique

Non-linear filtering and optimal investment under partial information for stochastic volatility models.

Kushner-Stratonovich equations, Martingale duality method, Non-linear filtering, Partial information, Semilinear partial differential equation, Stochastic volatility, Utility maximization

Non-linear filtering and optimal investment under partial information for stochastic volatility models.

Kushner-Stratonovich equations, Martingale duality method, Non-linear filtering, Partial information, Semilinear partial differential equation, Stochastic volatility, Utility maximization

Stochastic algorithms for risk management and indexing of media databases.

Apprentissage automatique, Control stochastic, Contrôle stochastique, Exact simulation, Incomplete market, Indexation d'images, Machine learning, Malliavin sensitivity, Marché incomplet, Media indexing, Optimization problem, Problème d'optimisation, Quantification, Quantization, Réduction de variance, Sensibilité par Malliavin, Simulation trajectorielle exacte, Stochastic volatility, Variance reduction, Volatilité stochastique

On probability distributions of diffusions and financial models with non-globally smooth coefficients.

Calcul de Malliavin, Density estimation, Equations différentielles Stochastiques, Estimation de densités, Implied volatility, Malliavin calculus, Mathematical Finance, Mathématiques financières, Stochastic Volatility, Stochastic differential equations, Volatilité implicite, Volatilité stochastique

Optimization of valuation and hedging models for financial options under liquidity constraints.

Constraintes de liquidité, Financial options, Liquidity constraints, Liquidity premium, Options financières, Portefeuille de réplication, Prime de liquidité, Replicating portfolio, Smile de volatilité, Stochastic volatility, Volatility smile, Volatilité stochastique

Parametric estimation of hidden Markov models by least squares type estimation and deconvolution.

Contrast func-tion, Contrast function, Deconvolution, Expected Inflation, Least square estimation, Measurement error, Parametric inference, Stochastic volatility, Unobserved components model 1

Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient.

Affine processes, Displaced Diffusion, LIBOR Market Model, Optimization algorithms, Stochastic Volatility, Swaptions pricing

Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion.

Displaced Diffusion, Edgeworth expansions, Gram-Charlier expansions, Libor Market Model, Model calibration, Stochastic Volatility, Swaption pricing

Fast calibration of the Libor market model with stochastic volatility and displaced diffusion.

Displaced Diffusion, Edgeworth expansions, Gram-Charlier expansions, Libor Market Model, Model calibration, Stochastic Volatility, Swaption pricing

Jacobi Stochastic Volatility factor for the Libor Market Model.

Displaced Diffusion, Gram-Charlier ex- pansions, Jacobi dynamics, LIBOR Market Model, Polynomial processes, Stochastic Volatility

Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data.

Coupling, Indian equity markets, Stochastic volatility