Published and Accepted Papers

10. To appear - Meta-model of a large credit risk portfolio in the Gaussian copula model .
Florian Bourgey, Emmanuel Gobet and Clément Rey.
[Hal]

9. 2020 - Recursive computation of the invariant distribution of Feller processes.
Gilles Pagès and Clément Rey.
Stochastic processes and their applications, Vol. 130, Issue 1 : 328-365, 2020 [PDF] [Hal] [Arxiv] [SPA]

8. 2019 - Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process
Clément Rey.
Stochastic processes and their applications, Vol. 129, Issue 2 : 539-571, 2019 [HAL] [SPA]

7. 2019 - Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications
Gilles Pagès and Clément Rey.
Monte Carlo Methods and Applications, Vol. 25, Issue 1, 2019 [PDF] [Arxiv] [MCMA]

6. 2018 - Numerical methods for Stochastic differential equations: two examples
Gilles Pagès and Clément Rey.
Esaim: Proceedings and Surveys, Vol. 64, 65-77, 2018 [Esaim]

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

2. 2020 - Arbitrary order total variation Convergence of Markov semigroups using random grids
Clément Rey.
[PDF]

1. 2018 - Discretization of the Ergodic Functional Central Limit Theorem.
Gilles Pages, Clément Rey.
[Arxiv] [PDF]

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]

Seminar Organisation

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

Implémentations

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