LPSM-Equipe Mathématiques Financières et Actuarielles, Probabilités Numériques

2012

Auteur(s)/Author(s)	Titre/Title
S. GOUTTE, B. ZOU	Continuous time regime switching model applied to foreign exchange rate
A. BENTATA, R. CONT	Short-time asymptotics for marginal distributions of semimartingales
S. GOUTTE, N. OUDJANE, F. RUSSO	On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
R. CONT, A. DE LARRARD	Order book dynamics in liquid markets: limit theorems and diffusion approximations.
S. FEDERICO, H. PHAM	Smooth-fit principle for a degenerate two-dimensional singular stochastic control problem arising in irreversible investment.
E. CHEVALIER, V. LYVATH, S. SCOTTI	An optimal dividend and investment control problem under debt constraints.
S. SCOTTI	Asset Pricing under uncertainty
S. CORLAY, J. LEBOVITS & J. LÉVY VÉHEL	Multifractional Stochastic volatility models.
G. FARAUD, S. GOUTTE	Bessel bridges decomposition with varying dimension. Applications to finance
R. CONT, L. WAGALATH	Fire sales forensics: Measuring endogenous risk
P. FODRA, M. LABADIE	High-frequency market-making with inventory constraints and directional bets.
F. GUILBAUD, H. PHAM	Optimal high frequency trading in a pro-rata microstructure with predictive information.
I. KHARROUBI, T. LIM, A. NGOUPEYOU	Mean-Variance Hedging on uncertain time horizon in a market with a jump
A. KOHATSU-HIGA, S. ORTIZ-LATORRE, P. TANKOV	Optimal simulation schemes for Levy driven stochastic differential equations
M.C. QUENEZ, M. ROGER DE CAMPAGNOLLE	Dynkin games in a general framework
J. FIGUERA-LOPEZ, P. TANKOV	Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias
M.C. QUENEZ, A. SULEM	BSDEs with jumps, optimization and applications to dynamic risk measures
C. DE FRANCO, P. TANKOV, X. WARIN	Numerical methods for the quadratic hedging problem in Markov models with jumps
J. JACOD, M. ROSENBAUM	Quarticity and other functionals of volatility: efficient estimation
A. MIJATOVIC, P. TANKOV	A new look at short-term implied volatility in asset price models with jumps
S. CHOUKROUN, S. GOUTTE, A. NGOUPEYOU	Mean variance hedging under defaults risk.
G. PAGÈS, H. LUSCHGY	Critical dimension for quadratic functional quantization
G. PAGÈS	Functional co-monotony of processes with an application to peacocks
R. CONT, A. KUKANOV	Optimal order placement in limit order markets.
R. AÏD, L. CAMPI, N. LANGRENÉ, H. PHAM	A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation.
S. GOUTTE	Conditional Markov regime switching model applied to economic modelling.
G. PAGÈS, F. PANLOUP	A mixed-step algorithm for the approximation of the stationary regime of a diffusion.
I. KHARROUBI, H. PHAM	Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE.
J. JACOD, M. ROSENBAUM	Estimation of volatility functionals: the case of a square root n window

LPSM-Equipe Mathématiques Financières et Actuarielles, Probabilités Numériques

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