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R. CONT, Y. LU Weak approximation of martingale representations
E. BAYRAKTAR, A. COSSO, H. PHAM Ergodicity of robust switching control and nonlinear system of quasi variational inequalities
R. AÏD, P. GRUET, H. PHAM An optimal trading problem in intraday electricity markets
C. MENASSE, P. TANKOV Asymptotic indifference pricing in exponential Lévy models
M. FUHRMAN, H. PHAM, F. ZENI Non-Markovian optimal stopping problems and constrained BSDEs with jump
T. JAISSON, M. ROSENBAUM The different asymptotic regimes of nearly unstable autoregressive processes
A. COSSO, S. FEDERICO, F. GOZZI, M. ROSESTOLATO, N. TOUZI Path-dependent equations and viscosity solutions in infinite dimension
L. HUANG Density estimates for SDEs driven by tempered stable processes
M. GRIROROVA, P. IMKELLER, E. OFFEN, Y. OUKNINE, M.C.QUENEZ Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
L.A. ABBAS-TURKI, M. MIKOU TVA on American options.
T. JAISSON, M. ROSENBAUM Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
A. COSSO, H. PHAM, H. XING BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
A. BOUMEZOUED Population viewpoint on Hawkes processes
W. HUANG, M. ROSENBAUM Ergodicity and di ffusivity of Markovian order book models: a general framework
Y. JIAO, S. LI Modelling sovereign risks: from a hybrid model to the generalized density approach
D. CRIENS, K. GLAU, Z. GRBACMartingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
W. HUANG, C.A. LEHALLE, M. ROSENBAUM How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
C. FONTANA The strong predictable representation property in initially enlarged filtrations
R.DUMITRESCU, M.C. QUENEZ,A. SULEM Mixed generalized Dynkin game and stochastic control in a Markovian framework
J. CAI, M. ROSENBAUM, P. TANKOV Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
G. PAGÈS, A. SAGNA Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
F. LUCIO, G. PAGÈS, A. SAGNA Markovian and product quantization of an R^d -valued Euler scheme of a diffusion process with applications to finance
Z. GRBAC, D. KRIEF, P. TANKOV Approximate Option Pricing in the Lévy Libor Model
N. EL KAROUI, M. JEANBLANC, Y. JIAO, Dynamics of multivariate default system in random environment
R.DUMITRESCU, M.C. QUENEZ,A. SULEM Game options in an imperfect market with default
H. PHAM, X. WEI Discrete time McKean-Vlasov control problem: a dynamic programming approach
E. BANDINI, A. COSSO, M. FUHRMAN, H. PHAM Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
G. PAGÈS, O. PIRONNEAU, G. SALL Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options
Z. GRBAC, L. MENEGHELLO, W. RUNGGALDIER Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
/var/www/wikis/mathfipronum/data/pages/preprints/2015.txt · Dernière modification: 2016/12/26 19:23 par pham