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).
Averaged reflected EDSs with jumps and McKean-Vlasov type retrograde EDSs: theoretical and numerical study.
Décomposition en chaos de Wiener, EDSRs de type McKean-Vlasov, EDSs réfléchies en moyenne avec sauts, Marche aléatoire, McKean-Vlasov backward SDEs, Mean reflected SDEs with jumps, Particle system, Propagation du chaos, Propagation of chaos, Random walk, Système de particules, Wiener chaos expansion
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
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach.
High performance computing, Optimal stopping, Path-dependent Bermudan options, Regression methods, Wiener chaos expansion