Published and Accepted Papers

7. 2018 - Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process (34 pages).
Clément Rey.
to appear in Stochastic Processes and their Applications, Elsevier, 2018 [HAL] [SPA]

6. 2018 - Numerical methods for Stochastic differential equations: two examples.
Paul-Eric Chaudru de Raynal, Gilles Pagès, and Clément Rey.
to appear in ESAIM : Proc. And Surveys. SMAI 2017

5. 2017 - Convergence in total variation distance for a third order scheme for one dimensional diffusion processes.
Clément Rey.
Monte Carlo Methods and Applications, Issue 1 : 1-12, 2017 [HAL] [MCMA]

4. 2016 - Maximum Likelihood Estimation for Wishart processes.
Aurélien Alfonsi, Ahmed Kebaier, and Clément Rey.
in Stochastic Processes and their Applications, Elsevier, Vol.126, Issue 11 : 3243-3282, 2016 [HAL] [SPA]

3. 2016 - Approximation of Markov semigroups in total variation distance.
Vlad Bally and Clément Rey.
in Electronic Journal of Probability, Vol. 21 : article 12, 44 pp, 2016 [HAL] [EJP]

2. 2015 - Recent advances in various fields of numerical probability.
Charles-Edouard Bréhier, Paul-Eric Chaudru de Raynal, Vincent Lemaire, Fabien Panloup, and Clément Rey.
in ESAIM : Proc. And Surveys. Journées MAS 2014. Vol. 51 : 272-292, 2015 [MAS]

1. 2014 - Detection of high and low states in stock market returns with MCMC method in a Markov switching model.
Clément Rey, Serge Rey, and Jean-Renaud Viala.
in Economic Modelling. Vol 41 : 145-155, 2014 [EM]

Preprints

3. 2018 - First and second order Central Limit Theorems for the recursive computation of the invariant distribution of a Feller process (34 pages).
Gilles Pagès and Clément Rey.
[PDF] [Arxiv]

2. 2017 - Recursive computation of the invariant distribution of Feller processes: Revisited Examples and New Applications (39 pages).
Gilles Pagès and Clément Rey.
[PDF] [Arxiv]

1. 2017 - Recursive computation of the invariant distribution of Feller processes (33 pages).
Gilles Pagès and Clément Rey.
[PDF] [Hal] [Arxiv]

PhD Thesis

04-12-2015 - Etude et modélisation des équations différentielles stochastiques / High weak order discretization schemes for stochastic differential equation.
Clément Rey.
[version theses.fr]

Talks

2018 - Séminaire Méthodes Stochastiques et Finance, Université Paris Est Marne la Vallée - Ecole des Ponts.
2017 - London Bachelier Workshop, University College of London.
2017 - Congrès SMAI, Ronce-les-Bains.
2017 - Séminaire MATHRISK, Inria-Université Paris Est.
2017 - Séminaire de Mathématiques Financières, Probabilités Numériques, Statistiques, Université Paris VI.
2017 - Séminaire de Probabilités, Université Paris XIII.
2017 - Advances in Financial Mathematics, Paris.
2016 - Séminaire CMAP, Ecole Polytechnique.
2015 - Séminaire MATHRISK, Inria-Université Paris Est.
2014 - Séminaire MATHRISK, Inria-Université Paris Est.
2014 - Séminaire de Probabilités, Université Paris XIII.
2014 - Journées MAS 2014, Université Paul Sabatier, Toulouse.
2013 - Séminaire des doctorants, Cermics-Ecole Nationale des Ponts et Chaussées.

Seminar Organisation

2013-2014 - Séminaire des doctorants du Cermics.
2013-2014 - Séminaire inter-laboratoires de recherches, Ecole Nationale des Ponts et Chaussées.

Research Projects

2015 - Projet MATHRISK : Implémentation dans Premia (Plateforme numérique pour la finance quantitative) d’un module de simulation et d’estimation des paramètres pour les processus de Wishart.
Library PREMIA