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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The Sustainable Black-Scholes Equations.

Cost of capital KVA, Cost of funding FVA, Market incompleteness, Model risk, Optimal martingale transport, Volatility uncertainty

The Sustainable Black-Scholes Equations.

Cost of capital KVA, Cost of funding FVA, Market incompleteness, Model risk, Optimal martingale transport, Volatility uncertainty

Journey to the heart of second-order EDSRs and other contemporary problems in financial mathematics.

American options, Analyse stochastique quasi-sûre, Asymptotic expansions, Bank monitoring, CDS, CDSs, Développements asymptotiques, EDP complètement non-linéaires, Formule de Feynman-Kac non-linéaire, Fully non-linear PDEs, Générateur à croissance linéaire, Générateur à croissance quadratique, HJB equation, Incertitude de volatilité, Linear growth generator, Liquidity, Liquidité, Maximisation d’utilité robuste, Mesures de probabilité singulières, Non-linear Feynman-Kac formula, Obstacle problem, Options Américaines, Principal/agent problem, Problème d’obstacle, Problème principal/agent, Quadratic growth generator, Quasi-sure stochastic analysis, Robust utility maximization, Second order backward stochastic differential equations, Singular probability measures, Solutions de viscosité, Super-replication, Surréplication, Surveillance des banques, Viscosity solutions, Volatility uncertainty, Équation de HJB, Équations différentielles stochastiques rétrogrades du second ordre

Maximum Maximum of Martingales given Marginals.

Lookback option, Optimal control, Optimal transportation, Pathwise inequalities, Robust pricing and hedging, Volatility uncertainty