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).
Study and modeling of stochastic differential equations.
Calcul de Malliavin, Discretization schemes, Equation diffférentielles stochastiques, Estimateur de Maximum de Vraisemblance, Malliavin calculus, Maximum Likelyhood Estimator, Processus de Wishart, Schémas de discrétisation, Stochastic Differential Equations, Wishart process
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing.
Basket options, Implied volatility, Importance sampling, Large deviations, Wishart process
High weak order discretization schemes for stochastic differential equation.
Calcul de Malliavin, Discretization schemes, Equation diffférentielles stochastiques, Estimateur de Maximum de Vraisemblance, Malliavin calculus, Maximum Likelyhood Estimator, Processus de Wishart, Schémas de discrétisation, Stochastic Differential Equations, Wishart process