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preprints:2012

2012

Auteur(s)/Author(s)Titre/Title
S. GOUTTE, B. ZOUContinuous time regime switching model applied to foreign exchange rate
A. BENTATA, R. CONTShort-time asymptotics for marginal distributions of semimartingales
S. GOUTTE, N. OUDJANE, F. RUSSOOn 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. PHAMSmooth-fit principle for a degenerate two-dimensional singular stochastic control problem arising in irreversible investment.
E. CHEVALIER, V. LYVATH, S. SCOTTIAn optimal dividend and investment control problem under debt constraints.
S. SCOTTIAsset Pricing under uncertainty
S. CORLAY, J. LEBOVITS & J. LÉVY VÉHELMultifractional Stochastic volatility models.
G. FARAUD, S. GOUTTEBessel bridges decomposition with varying dimension. Applications to finance
R. CONT, L. WAGALATHFire sales forensics: Measuring endogenous risk
P. FODRA, M. LABADIEHigh-frequency market-making with inventory constraints and directional bets.
F. GUILBAUD, H. PHAMOptimal high frequency trading in a pro-rata microstructure with predictive information.
I. KHARROUBI, T. LIM, A. NGOUPEYOUMean-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. SULEMBSDEs 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. NGOUPEYOUMean variance hedging under defaults risk.
G. PAGÈS, H. LUSCHGYCritical dimension for quadratic functional quantization
G. PAGÈSFunctional co-monotony of processes with an application to peacocks
R. CONT, A. KUKANOVOptimal 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. GOUTTEConditional Markov regime switching model applied to economic modelling.
G. PAGÈS, F. PANLOUPA mixed-step algorithm for the approximation of the stationary regime of a diffusion.
I. KHARROUBI, H. PHAMFeynman-Kac representation for Hamilton-Jacobi-Bellman IPDE.
J. JACOD, M. ROSENBAUMEstimation of volatility functionals: the case of a square root n window
/var/www/wikis/mathfipronum/data/pages/preprints/2012.txt · Dernière modification: 2013/12/28 10:25 par pham