LPSM-Equipe Mathématiques Financières et Actuarielles, Probabilités Numériques

Table des matières

2005-2018
2018
2017
2016
2015
2014
2013

2005-2018

2018

Auteur(s)/Author(s)	Titre/Title
S. Laruelle, G. Pagès	Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
A. Cosso, F. Russo	STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs
I. Honoré, S. Menozzi, G. Pagès	Non-Asymptotic Gaussian Estimates for the Recursive Approximation of the Invariant Measure of a Diffusion
M. Grigorova, P. Imkeller, Y. Ouknine, M.-C. Quenez	Optimal stopping with f -expectations: the irregular case
M. Mrad, N. El Karoui	Mixture of consistent stochastic utilities, and a priori randomness
A. Cosso, H. Pham	Zero-sum stochastic differential games of generalized McKean-Vlasov type
R. Cont, N. Perkowski	Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
H. Pham, X. Wei, C. Zhou	Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
C. Franco, J. Nicolle, H. Pham	Bayesian learning for the Markowitz portfolio selection problem
N. El Karoui, K. Hajji, S. Kaakai	Inextricable complexity of two centuries of demographic changes: A fascinating modeling challenge
S. Kaakai, N. El Karoui	A pathwise construction of Birth-Death-Swap systems leading to an averaging result in the presence of two timescales
S. Kaakai, H. Labit-Hardy, S. Arnold (-Gaille ), N. El Karoui	How can a cause-of-death reduction be compensated for in the presence of heterogeneity? A population dynamics approach based on English data by deprivation
J. Baptiste, L. Carassus, E. Lépinette	Pricing without martingale measure
B. Basrak, O. Wintenberger, P. Zugec	On total claim amount for marked Poisson cluster models
G. Pages, F. Panloup	Supplement to ``Weighted Multilevel Langevin Simulation of Invariant Measures''
M. Brautigam, M. Dacorogna, M. Kratz	Predicting risk with risk measures : an empirical study
D. Giorgi, V. Lemaire, G. Pages	Weak error for nested Multilevel Monte Carlo
H. Chau, R. Cont	On pathwise quadratic variation for càdlàg functions
G. Pages, A. Sagna	A general weak and strong error analysis of the recursive quantization with an application to jump diffusions
A. Balata, C. Huré, M. Laurière, H. Pham, I. Pimentel	A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems
A. Angiuli, C. V. Graves H. Li J.F. Chassagneux, F. Delarue, R. Carmona	Numerical Probabilistic Approach to MFG
G. Callegaro, M. Grasselli, G. Pages	Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
R. Blanchard, L. Carassus, M. Rasonyi	Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach
R. Blanchard, L. Carassus	Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
E. Miller, H. Pham	Linear-Quadratic McKean-Vlasov Stochastic Differential Games
C. Huré, H. Pham, A. Bachouch, N. Langrené	Deep neural networks algorithms for stochastic control problems on finite horizon, part I: convergence analysis
A. Bachouch, C. Huré, N. Langrené, H. Pham	Deep neural networks algorithms for stochastic control problems on finite horizon, part 2: numerical applications
V. Lemaire, M. Thieullen, N. Thomas	Thinning and Multilevel Monte Carlo for Piecewise Deterministic (Markov) Processes. Application to a stochastic Morris-Lecar model

2017

Auteur(s)/Author(s)	Titre/Title
G. BERNIS, N. BRUNEL, A. KORNPROBST, S. SCOTTI	Stochastic Evolution of Distributions - Applications to CDS indices
M. GRIGOROVA, P. IMKELLER, Y. OUKININE, M.C. QUENEZ	Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case
J.F. CHASSAGNEUX, C.A. GARCIA TRILLOS	Cubature methods to solve BSDEs: Error expansion and complexity control
N. El KAROUI, C. HILLAIRET, M. MRAD	Consistent Utility of Investment and Consumption : a forward/backward SPDE viewpoint
V. LEMAIRE, M. THIEULLEN, N. THOMAS	Exact simulation of the jump times of a class of Piecewise Deterministic Markov Processes
J.F. CHASSAGNEUX, D. CRISAN, F. DELARUE	Numerical Method for FBSDEs of McKean-Vlasov Type
F. ABERGEL, C. HURE, H. PHAM	Algorithmic trading in a microstructural limit order book model
R. AID, M. BASEI, H. PHAM	The coordination of centralised and distributed generation
D. GIORGI, V. LEMAIRE, G. PAGES	Limit theorems for Multilevel estimators with and without weights. Comparisons and applications
B. ALONZO,P. DROBRINSKI, P. TANKOV	Probabilistic forecasting of the wind energy resource at the monthly to seasonal scale
N. FRIKHA, L.LI	Weak uniqueness and density estimates for sdes with coefficients depending on some path-functionals
G. SALL	Quelques algorithmes rapides pour la finance quantitative
S. Kaakai	Nouveaux paradigmes en dynamique de populations hétérogènes : modélisation trajectorielle, agrégation, et données empiriques
B. Bouchard, B. Djehiche, I. Kharroubi	Quenched mass transport of particles towards a target

2016

Auteur(s)/Author(s)	Titre/Title
H. PHAM, X. WEI	Bellman equation and viscosity solutions for mean-field stochastic control problem
K. GLAU, Z. GRBAC, A.PAPAPANTOLEON	A unified view of LIBOR models
A. ANANOVA, R. CONT	Pathwise integration with respect to paths of finite quadratic variation
N. EL KAROUI, A. MATOUSSI, A. NGOUPEYOU	Quadratic Exponential Semimartingales and Application to BSDEs with jumps
J. CAI, M. ROSENBAUM, P. TANKOV	Asymptotic Optimal Tracking: Feedback Strategies
H. PHAM, X. WEI	Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
H. PHAM	Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
N. FRIKHA	Multi-level stochastic approximation algorithms
N. EL KAROUI, M. JEANBLANC, Y. JIAO	Dynamics of multivariate default system in random environment
T. JAISSON, M. ROSENBAUM	The different asymptotic regimes of nearly unstable autoregressive processes
P. TANKOV	Lévy Copulas: Review of Recent Results
O. BARDOU, N. FRIKHA, G. PAGES	CVaR hedging using quantization based stochastic approximation algorithm
R. CONT, Y. LU	Weak approximation of martingale representations
Y. JIAO, C. MA, S. SCOTTI	Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
L. ABASS-TURKI,S. GRAILLAT	Resolution of a large number of small random symmetric linear systems in single precision arithmetic on GPUs
G. PAGES, O. PIRONNEAU, G. SALL	The Parareal Algorithm for American Options
I. HONORE, S. MENOZZI, G. PAGES	Non-Asymptotic Gaussian Estimates for the Recursive Approximation of the Invariant Measure of a Diffusion
E. BAYRAKTAR, A. COSSO, H. PHAM	Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
A. GENIN, P. TANKOV	Optimal importance sampling for Lévy Processes
G. PAGES, F. PANLOUP	Weighted Multilevel Langevin Simulation of Invariant Measures
Z. TAN, P. TANKOV	Optimal trading policies for wind energy producer
E. BANDINI, A. COSSO,M. FUHRMAN, H. PHAM	Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
N.H. CHAU, W. RUNGGALDIER, P. TANKOV	Arbitrage and utility maximization in market models with an insider
O. EL EUCH, M. ROSENBAUM	The characteristic function of rough Heston models
O. EL EUCH, M. FUKASAWA, M. ROSENBAUM	The microstructural foundations of leverage effect and rough volatility
N. FRIKHA	On the weak approximation of a skew diffusion by an Euler-type scheme
A. ISMAIL, H. PHAM	Robust Markowitz mean-variance portfolio selection under ambiguous volatility and correlation
J.D. FERMANIAN, O. GUEANT, J. PU	The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
J.FERNANDEZ-TAPIA, O. GUEANT, J.M. LASRY	Optimal Real-Time Bidding Strategies
D. GIORGI,V. LEMAIRE, G. PAGES	Limit theorems for weighted and regular Multilevel estimators
M. GRIGOROVA,P. IMKELLER, Y. OUKNINE, M.C. QUENEZ	Optimal stopping with f -expectations: the irregular case

2015

Auteur(s)/Author(s)	Titre/Title
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 diffusivity 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. GRBAC	Martingale 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

2014

Auteur(s)/Author(s)	Titre/Title
T. JAISSON, M. ROSENBAUM	Limit theorems for nearly unstable Hawkes processes: Version with technical appendix
B. ACCACIO, C. FONTANA, C. KARDARAS	Arbitrage of the first kind and filtration enlargements in semimartingale financial models
A. COSSO, F. RUSSO	A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs
Y. JIAO, S. LI	Generalized density approach in progressive enlargement of filtrations
L. HUANG, S. MENOZZI	Density Bounds for some Degenerate Stable Driven SDEs
P. TANKOV	Large deviation asymptotics for the left tail of the sum of dependent positive random variables
N. EL KAROUI, M. MRAD, C. HILLAIRET	Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
R. DUMITRESCU, M.C. QUENEZ, A. SULEM	Optimal stopping for dynamic risk measures with jumps and obstacle problems
Z. GRBAC, A. PAPAPANTOLEON, J. SCHOENMAKERS, D. SKOVMAND	Affine LIBOR models with multiple curves: theory, examples and calibration
S. CHOUKROUN, A. COSSO	Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity
A. GULISASHVILI, P. TANKOV	Implied volatility of basket options at extreme strikes
R AID, S. FEDERICO, H. PHAM, B. VILLENEUVE	Explicit investment rules with time-to-build and uncertainty
A. SAGNA, G. PAGÈS	Recursive marginal quantization of an Euler scheme with applications to local volatility models
R. DUMITRESCU, M.C. QUENEZ, A. SULEM	A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with $\mathcal{E}^f$- expectations
J. CAI, M. FUKASAWA, M. ROSENBAUM, P. TANKOV	Optimal discretization of hedging strategies with directional views
C. CUCHIERO, C. FONTANA, A. GNOATTO	A general HJM framework for multiple yield curve modeling
H. LUSCHGY, G. PAGÈS	Greedy vector quantization
G. PAGÈS	Introduction to optimal vector quantization and its applications for numerics
G. PAGÈS	Convex order for path-dependent derivatives: a dynamic programming approach
J. CAI, M. FUKASAWA	Asymptotic replication with modified volatility under small transaction costs
H. PHAM	Long time asymptotics for optimal investment
H. PHAM	Feynman-Kac representation of fully nonlinear PDEs and applications
N. FRIKHA, L. HUANG	A multi-step Richardson-Romberg extrapolation method for stochastic approximation
E. BAYRAKTAR, A. COSSO, H. PHAM	Robust feedback switching control: dynamic programming and viscosity solutions
A. COSSO, M. FUHRMAN, H. PHAM	Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
A. BELLONI, M. ROSENBAUM, A. TSYBAKOV	Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models
J. GATHERAL, T. JAISSON, M. ROSENBAUM	Volatility is rough
M. NGO, H. PHAM	Optimal switching for pairs trading rule: a viscosity solutions approach

2013

Auteur(s)/Author(s)	Titre/Title
M.C. QUENEZ, A. SULEM	Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
K. DAYRI, M. ROSENBAUM	Large tick assets: implicit spread and optimal tick size
N. FRIKHA, M. FATHI	Transport-entropy inequalities and deviation estimates for stochastic approximation schemes
V. LEMAIRE, G. PAGÈS, F. PANLOUP	Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
S. DELATTRE, C. ROBERT, M. ROSENBAUM	Estimating the efficient price from the order flow: a Brownian Cox process approach
E. CHEVALIER, V. LY VATH, A. ROCH, S. SCOTTI	Optimal Liquidation of an Illiquid Asset Under Stochastic Liquidity and Regime Shifting
P. FODRA, H. PHAM	Semi Markov Model for Market Microstructure
S. GOUTTE	Markov switching quadratic term structure models
A. GULISASHVILI, P. TANKOV	Tail behavior of sums and dierences of log-normal random variables
M. KOBYLANSKI, M.C. QUENEZ, M. DE CAMPAGNOLLE	Dynkin games in general framework
S. CHOUKROUN, A. COSSO, H. PHAM	Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Y. JIAO, O. KLOPFENSTEIN, P. TANKOV	Hedging under multiple risk constraints
P. FODRA, H. PHAM	High frequency trading in a Markov renewal model
R. ELIE, M. ROSENBAUM, M. YOR	On the expectation of normalized Brownian functionals up to first hitting times
T. JAISSON, M. ROSENBAUM	Limit theorems for nearly unstable Hawkes processes
R. DUMITRESCU, M.C. QUENEZ, A. SULEM	Double barrier reflected BSDEs with jumps and generalized Dynkin games
N. FRIKHA	Multi-level stochastic approximation algorithms
S. FEDERICO, P. TANKOV	Finite dimensional representations for controlled diffusions with delay
M. FUHRMAN, H. PHAM	Dual and backward SDE representation for optimal control of non-Markovian SDEs
M. ROSENBAUM, M. YOR	On the law of a triplet associated with the pseudo-Brownian bridge
I. KHARROUBI, N. LANGRENÉ, H. PHAM	Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
I. KHARROUBI, N. LANGRENÉ, H. PHAM	A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
M. ROSENBAUM, M. YOR	Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
S. LARUELLE, G. PAGÈS	Nonlinear Randomized Urn Models: a Stochastic Approximation Viewpoint
E. CHEVALIER, V. LY VATH, A. ROCH, S. SCOTTI	Optimal Execution Cost for Liquidation Through a Limit Order Market
W. HUANG, C.A. LEHALLE, M. ROSENBAUM	Simulating and analyzing order book data: The queue-reactive model
H.N. CHAU, P. TANKOV	Market models with optimal arbitrage
V. LEMAIRE, G. PAGÈS	Multilevel Richardson-Romberg extrapolation
G. PAGÈS, J. YU	Pointwise convergence of the Lloyd algorithm in higher dimension

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

2011

Auteur(s)/Author(s)	Titre/Title
R. CONT, A. DE LARRARD	Price Dynamics in a Markovian Limit Order Book Market.
M. BERNHART, H. PHAM, P. TANKOV, X. WARIN	Swing Options Valuation: a BSDE with Constrained Jumps Approach.
M. BERNHART, P. TANKOV, X. WARIN	A finite dimensional approximation for pricing moving average options.
S. LARUELLE, G. PAGÈS	Randomized Urn Models revisited using Stochastic Approximation
I. KHARROUBI, T. LIM	Progressive enlargement of filtrations and Backward SDEs with jumps.
G. PAGÈS, B. WILBERTZ	GPGPUs in computational finance: Massive parallel computing for American style options.
S. CORLAY	Partial functional quantization and generalized bridges.
Y. JIAO, I. KHARROUBI, H. PHAM	Optimal investment under multiple defaults risk: a BSDE-decomposition approach.
G. PAGÈS, B. WILBERTZ	Optimal Delaunay and Voronoi quantization schemes for pricing American style options.
C. DE FRANCO, P. TANKOV	Portfolio Insurance under a risk-measure constraint
T. LIM, V. LY VATH, J.-M. SAHUT, S. SCOTTI	Bid-ask spread modelling, a perturbation approach.
S. BOHN	The slippage paradox
I. KHARROUBI, T. LIM	A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case.
S. FEDERICO, B. GOLDYS, F. GOZZI	HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks.
S. CORLAY	A fast nearest neighbor search algorithm based on vector quantization.
S. FEDERICO, E. TACCONI	HJB equations for the optimal control of differential equations with delay in the control variable.
F. GUILBAUD, H. PHAM	Optimal high frequency trading with limit and market orders.
L. CARASSUS, M. RASONYI	On optimal investment for a behavioral investor in multiperiod incomplete market models.
P. GASSIAT, F. GOZZI, H. PHAM	Investment/consumption problem in illiquid markets with regimes switching
S. GOUTTE, A. NGOUPEYOU	Pricing and hedging defaultable claim
P. GASSIAT, I. KHARROUBI, H. PHAM	Time discretization and quantization methods for optimal multiple switching problem.
S. GOUTTE, A. NGOUPEYOU	Conditional Laplace formula in regime switching model: Application to defaultable bond
R. CONT, R. DEGUEST, X.D. HE	Loss-Based Risk Measures
M. GRIGOROVA	Stochastic orderings with respect to a capacity and an application to a financial optimization problem
M. GRIGOROVA	Stochastic dominance with respect to a capacity and risk measures.
M. ROSENBAUM, P. TANKOV	Asymptotically optimal discretization of hedging strategies with jumps
S. LARUELLE, C.-A. LEHALLE, G. PAGÈS	Optimal posting distance of limit orders: a stochastic algorithm approach.

2010

Auteur(s)/Author(s)	Titre/Title
A. Bentata, R. Cont	Forward equations for option prices in semimartingale models.
H. Pham	Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management.
V. Lemaire, S. Menozzi	On some non asymptotic bounds for the Euler scheme.
R. Cont, D. Fournié	Functional Itô calculus and stochastic integral representation of martingales.
C. Hillairet, Y. Jiao	Information asymmetry in pricing of credit derivatives
S. Corlay and G. Pagès	Functional quantization based stratified sampling methods.
R. Cont, D. Fournié	Change of variable formulas for non-anticipative functionals on path space.
F. Guilbaud, M. Mnif, H. Pham	Numerical methods for an optimal order execution problem.
L. Carassus, E. Temam	Pricing and hedging basis risk under No Good Deal Assumption
T. Lim, M.C. Quenez	Portfolio optimization in a default model under full/partial information.
S. Laruelle, G. Pagès	Stochastic approximation with averaging innovation.
L Carassus, T. Vargiolu	Super-replication price for asset prices having bounded increments in discrete time.
G. Pagès, F. Panloup	Ergodic approximation of the distribution of a stationary diffusion : rate of convergence.
S. Corlay	The Nyström method for functional quantization with an application to the fractional Brownian motion.
S. Graf, H. Luschgy, G. Pagès	The local quantization behaviour of absolutely continuous probabilities.
R. Cont, N. Lantos, O. Pironneau	A reduced basis for option pricing.
G. Pagès, B. Wilbertz	Intrinsic stationarity for vector quantization: Foundation of dual quantization.
G. Pagès, B. Wilbertz	Sharp rate for the dual quantization problem.
O. Bardou, N. Frikha, G. Pagès	CVaR hedging using quantization based stochastic approximation algorithm

2009

Auteur(s)/Author(s)	Titre/Title
H. Luschgy, G. Pagès	Expansions for Gaussian processes and Parseval frames.
Y. Jiao, H. Pham	Optimal investment with counterparty risk: a default-density modeling approach.
Y. Jiao	Zero bias transformation and asymptotic expansions.
R. Elie, I. Kharroubi	Constrained backward SDEs with jumps: Application to optimal switching.
L. Carassus, M. Rasonyi	Risk-averse asymptotics for reservation prices.
Y. Jiao	Zero bias transformation and asymptotic expansions II: the Poisson case.
N. El Karoui, M. Jeanblanc, Y. Jiao	What happens after a default: the conditional density approach.
E. Gobet, C. Labart	Solving BSDE with adaptive control variate
I. Kharroubi, H. Pham	Optimal portfolio liquidation with execution cost and risk.
C. Callegaro, A. Sagna	An application to credit risk of a hybrid Monte Carlo-Optimal quantization method.
P. Gassiat, H. Pham, M. Sirbu	Optimal investment on finite horizon with random discrete order flow in illiquid markets.
R. Cont, R. Deguest, G. Scandolo	Robustness and sensitivity analysis of risk measurement procedures.
R. Cont, A. Minca	Recovering portfolio default intensities implied by CDO quotes.
N. Frikha, V. Lemaire	Joint Modelling of Gas and Electricity spot prices.
S. Laruelle, C.A. Lehalle, G. Pagès	Optimal split of orders across liquidity pools: a stochastic algorithm approach
A. Bentata, R. Cont	Mimicking the marginal distributions of a semimartingale
G. Pagès, B. Wilbertz	Dual Quantization for random walks with application to credit derivatives.

2008

Auteur(s)/Author(s)	Titre/Title	Status
G. Pagès, A. Sellami	Convergence of multi-dimensional quantized $SDE$'s.
H. Luschgy, G. Pagès, B. Wilbertz	Asymptotically optimal quantization schemes for Gaussian processes.
A.L. Bronstein, G. Pagès, B. Wilbertz	A quantization tree algorithm: improvements and financial applications for swing options.
I. Kharroubi, J. Ma, H. Pham, J. Zhang	Backward SDEs with constrained jumps and Quasi-Variational Inequalities.	To appear in Annals of Probability
G. Pagès, A. Sagna	Asymptotics of the maximal radius of an $L^r$-optimal sequence of quantizers.
A. Cretarola, F. Gozzi, H. Pham, P. Tankov	Optimal consumption policies in illiquid markets.	Finance and Stochastics
V. Lemaire, G. Pagès	Unconstrained recursive importance sampling.
T. Lim, M.-C. Quenez	Utility maximization in incomplete markets with default.
O. Bardou N. Frikha, G. Pagès	Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling.

2007

Auteur(s)/Author(s)	Titre/Title	Status
R. Cont, P. Tankov	Constant proportion portfolio insurance in presence of jumps in asset prices.
H. Pham	Some applications and methods of large deviations in finance and insurance.	Paris-Princeton Lectures on Mathematical Finance 2004, vol 919
B. Bruder, H. Pham	I mpulse control problem on finite horizon with execution delay.	Stochastic Processes and their Applications, 2009, 119, 1436-1469
O. Bardou, S. Bouthemy, G. Pagès	When are Swing options bang-bang and how to use it.
J.-F. Chassagneux	Discrete-time approximation of doubly reflected BSDEs.
Pagès, G.	Quadratic optimal functional quantization of stochastic processes and numerical applications.
Sagna, A.	Universal L^s -rate-optimality of L^r-optimal quantizers by dilatation and contraction.
B. Bouchard, S. Menozzi	Strong approximations of BSDEs in a domain.
T. Meyer-Brandis, P. Tankov	Multi-factor jump-diffusion models of electricity prices.
P. Tankov, E. Voltchkova	Asymptotic analysis of hedging errors in models with jumps.
H. Pham, V. Ly Vath, X.Y. Zhou	Optimal switching over multiple regimes.	To appear in SIAM Journal on Control and Optimization
G. Pagès, F. Panloup	Approximation of the distribution of a stationary Markov process with application to option pricing.

2006

Auteur/Author(s)	Titre/Title	Status
Luschgy H., Pagès G.	Functional quantization rate and mean pathwise regularity of processes with an application to Lévy processes.
Graf S., Luschgy H., Pagès G.	Distortion mismatch in the quantization of probability measures.
Ly Vath V.	Competitive market equilibrium under asymmetric information.
Bouchard B., Bentahar I.	Barrier option hedging under constraints : a viscosity approach.
Bouchard B., Chassagneux J.-F.	Discrete time approximation for continuously and discretely reflected BSDE's.
Ly Vath V., Pham H., Villeneuve S.	A mixed singular/switching control problem for a dividend policy with reversible technology investment.	Annals of Applied Probability, 2008, 18, 1164-1200
Luschgy H., Pagès G.	Moment estimates for Lévy processes.
H. Pham & P. Tankov	A model of optimal consumption under liquidity risk with random trading times and its coupled system of integrodifferential equations.	Mathematical Finance, 2008, 18, 613-627
B. Bouchard	A stochastic target formulation for optimal switching problems in finite horizon.
B. Bouchard	Optimal reflection of diffusions and barrier options pricing under constraints.
G. Pagès	Multi-step Richardson-Romberg extrapolation: Remarks on variance control and complexity.

2005

Auteur(s)/Author(s)	Titre/Title	Status
Bouchard B.	No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Gobet E., Pagès G., Pham H., Printems J.	Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equations	SIAM Journal on Numerical Analysis, 2006, 44, 2505-2538.
Carassus L., Rasonyi M.	Optimal strategies and utility-based prices converge when agents' preferences do.
Pagès G.	A two armed bandit type problem revisited.
Carassus L. & Rasonyi M.	Convergence of utility indifference prices to the superreplication price.
Luschgy H. & Pagès G.	Functional quantization and metric entropy for Riemann-Liouville processes.
Graf S., Luschgy H., Pagès G.	Optimal quantizers for Radon random vectors in a Banach space.
Ly Vath V., Pham H.	Explicit solution to an optimal switching problem in the two regimes case.	SIAM Journal on Control and Optimization, 2007, 395-426.
Sellami A	Quantization based filtering method using first order approximation.
Pham H.	On some recent aspects of stochastic control and their applications.	Probability surveys, 2005, 2, 506-549
Ly Vath V., Mnif M., Pham H.	A model of optimal portfolio selection under liquidity risk and price impact.	Finance and Stochastics, 2007, 11, 51-90
Lamberton D., Pagès G.	How fast is the bandit ?
Lamberton D., Pagès G.	A penalized bandit algorithm
Bruder B.	Super-replication of European options with a derivative asset under constrained finite variation strategies.
Sellami A.	Comparative survey on non linear filtering methods : the quantization and the particle filtering approaches.
Luschgy H., Pagès G.	High-resolution product quantization for Gaussian processes under sup-norm distortion.
Bouchard B., Elie R.	Discrete time approximation of decoupled Forward-Backward SDE with jumps.

LPSM-Equipe Mathématiques Financières et Actuarielles, Probabilités Numériques

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