Emmanuel GOBET - Research

"Mathscinet Author Profile"

PAPERS

  1. Improved convergence rate for Reflected BSDE by penalisation method.
     With W.Wang and M. Xu
    Preprint, 2023.
  2. Mean Field model for renewable investment under long-term uncertainty and risk aversion.
     With C. Escribe, J. Garnier, and P. Quirion.
    Preprint, 2023.
  3. Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling.
     With M. Allouche, C. Lage and E. Mangin.
    Preprint, 2022.
  4. Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes.
     With M. Echenim, E. Gobet and A.C. Maurice.
    Preprint, 2022.
  5. On the extrapolation of extreme quantiles with neural networks.
     With M. Allouche and S. Girard.
    Preprint, 2022.
  6. Mean estimation for Randomized QMC under heavy-tail assumptions.
     With M. Lerasle and D. Metivier.
    Preprint, 2022.
  7. Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributions.
     With S. Girard.
    Preprint, 2022.
  8. Seasonal Hierarchical Hidden Markov Model for spatio-temporal stochastic rain generator in France.
     With D. Metivier and S. Parey.
    Preprint, 2022.
  9. Weak approximations and VIX option price expansions in forward variance curve models.
     With F. Bourgey and S. De Marco.
    Submitted to Quantitative Finance, 2022.
  10. Federated stochastic control of numerous heterogeneous energy storage systems.
     With M. Grangereau.
    Preprint hal-03108611, 2021.
  11. Newton method for stochastic control problems.
     With M. Grangereau.
    To appear in SIAM Journal on Control and Optimization, preprint hal-03458299, 2021.
  12. Bridging socioeconomic pathways of CO2 emission and credit risk.
     With F. Bourgey and Y. Jiao.
    To appear in Annals of Operations Research, 2022.
  13. Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation.
     With C. Lage.
    Preprint hal-03423114, 2021.
  14. Transform MCMC schemes for sampling intractable factor copula models.
     With C. Benezet and R. Targino.
    To appear in Methodology and Computing in Applied Probability, 2023.
  15. EV-GAN: Simulation of extreme events with ReLU neural networks.
     With M. Allouche and S. Girard.
    Journal of Machine Learning Research, Vol. 23, pp. 1--39, 2022.
  16. A generative model for fBm with deep ReLU neural networks.
     With M. Allouche and S. Girard.
    Journal of Complexity, Vol. 73, 2022.
  17. Generalization bounds for nonparametric regression with beta–mixing samples.
     With D. Barrera.
    In revision for Journal of Machine Learning Research, preprint hal-03311506, 2021.
  18. A comparative study of polynomial-type chaos expansions for indicator functions.
     With F. Bourgey and C.Rey.
    In revision for ASA-SIAM Journal on Uncertainty Quantification, preprint hal-03199734, 2021.
  19. Non-Asymptotic comparison of covariance matrix inputs in dynamic minimum variance portfolio.
     With L. Chamakh and J.P. Lemor.
    Preprint hal-03207061, 2021.
  20. Orlicz norms and concentration inequalities for beta-heavy tailed random variables.
     With L. Chamakh and W. Liu.
    In revision for Bernoulli, 2021.
  21. Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations.
     With F. Bourgey, S. De Marco, and A. Zhou.
    Monte Carlo Methods and Applications, Vol. 26(2), pp. 131--161, 2020.
  22. Orlicz Random Fourier Features.
     With L. Chamakh and Z.Szabo.
    Journal of Machine Learning Research, Vol. 21, pp. 1--37, 2020.
  23. Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model.
     With F. Bourgey and C.Rey.
    SIAM Journal on Financial Mathematics, Vol. 11(4), pp. 1098--1136, 2020.
  24. Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion.
    With S. Crépey, G. Fort and U. Stazhynski.
    ASA-SIAM Journal on Uncertainty Quantification, Vol.8(3), pp.1061--1089, 2020.
  25. Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations.
    With I. Pimentel and X. Warin.
    Finance Stochastics, Vol. 24(3), pp.633--675, 2020.
  26. Extended McKean-Vlasov optimal stochastic control applied to smart grid management.
     With M. Grangereau.
    In revision for ESAIM: Control, Optimisation and Calculus of Variations, preprint hal-02181227, 2019
  27. Volatility uncertainty quantification in a stochastic control problem applied to energy.
    With F. Bernal and J. Printems.
    Methodology and Computing in Applied Probability, Vol. 22(1), pp.135--159, 2019.
  28. Quasi-Regression Monte-Carlo Scheme for Semi?Linear PDEs and BSDEs with Large Scale Parallelization on GPUs.
    With J. Lopez-Salas, C. Vasquez.
    Archives of Computational Methods in Engineering, DOI 10.1007/s11831-019-09335-x, 2019.
  29. Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case.
    With D. Barrera.
    Journal of Complexity, Vol. 52, pp.45--81, 2019.
  30. Model-adaptive optimal discretization of stochastic integrals.
    With U. Stazhynski.
    Stochastics, Vol. 91(3), pp.321--351, 2019.
  31. Central limit theorem for discretization errors based on stopping time sampling.
    With N.Landon and U. Stazhynski.
    In revision for Bernoulli, 2018.
  32. Parametric inference for diffusions observed at stopping times.
    With U. Stazhynski.
    Electronic Journal of Statistics, Vol.54(3), pp.1556--1582, 2018.
  33. Convergence rate of strong approximations of compound random maps.
    With M. Mrad.
    Discrete And Continuous Dynamical Systems Series B, Vol. 23(10), pp.4455--4476, 2018.
  34. Analytical approximations of non-linear SDEs of McKean-Vlasov type.
    With S. Pagliarani.
    Journal of Mathematical Analysis and Applications, Vol. 466, pp.71-106, 2018.
  35. Study of new rare event simulation schemes and their application to extreme scenario generation.
    With A. Agarwal, S. De Marco and G. Liu.
    Mathematics and Computers in Simulation, Vol. 143, pp.89-98, 2018.
  36. Optimal discretization of stochastic integrals for degenerate semimartingale.
    With U. Stazhynski.
    Annales de l'Institut Henri Poincaré, Probabilités et Statistique, Vol. 54(3), pp.1556-1582, 2018.
  37. Analytical approximations of local-Heston volatility model and error analysis.
    With R. Bompis.
    Mathematical Finance, Vol. 28(3), pp.920-961, 2018.
  38. A non-intrusive stratified resampler for regression Monte Carlo: application to solving non-linear equations.
    With G. Liu and J. Zubelli.
    SIAM Journal on Numerical Analysis, Vol. 56(1), pp. 50-77, 2018.
  39. Finite variance unbiased estimation of stochastic differential equations.
    With A. Agarwal.
    Winter Simulation Conference, pp. 1950-1961, 2017.
  40. Perturbation of Ornstein-Uhlenbeck stationary distributions: expansion and simulation.
    With Q. She.
    In revision for ESAIM Probability and Statistics, 2017.
    Preprint available on hal-01345926.
  41. MCMC design-based non-parametric regression for rare-event. Application to nested risk computations
    With G. Fort and E. Moulines.
    Monte Carlo Methods and Applications, Vol. 23(1), pp. 21-42, 2017.
  42. Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph.
    With G. Matulewicz.
    Statistical Inference for Stochastic Processes, Vol. 20(2), pp. 211-235, 2017.
  43. Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations.
    With P. Turkedjiev.
    Stochastic Processes and their applications, Vol. 127(4), pp. 1171-1203, 2017.
  44. Analytical approximation of Variable Annuities for small volatility and small withdrawal.
    With T. Ben Zineb.
    Theory of Probability and its Applications, Vol. 61(1), pp. 40-56, 2017.
  45. First time to exit of a continuous Ito process: general moment estimates and L1-convergence rate for discrete time approximations.
    With B. Bouchard and S. Geiss.
    Bernoulli, Vol. 23(3), pp. 1631-1662, 2017.
  46. Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs.
    With J. Lopez-Salas, P. Turkedjiev, C. Vasquez.
    SIAM Journal on Scientific Computing, Vol. 38(6), C652-C677, 2016.
  47. Strong approximation of stochastic processes at random times and application to their exact simulation.
    With M. Mrad.
    Stochastics, DOI 10.1080/17442508.2016.1267179, 2016.
  48. Empirical Regression Method for Backward Doubly Stochastic Differential Equations.
    With A. Bachouch, A. Matoussi.
    SIAM ASA Journal on Uncertainty Quantification, Vol. 4(1), pp.358-379, 2016.
  49. Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions.
    With P. Turkedjiev.
    Mathematics of Computations, Vol. 85(299), pp.1359-1391, 2016.
  50. Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression.
    With P. Turkedjiev.
    Bernoulli, Vol. 22(1), pp.530-562, 2016.
  51. Analytical approximations of BSDEs with non-smooth driver.
    With S. Pagliarani.
    SIAM Journal on Financial Mathematics, Vol.6, pp.919-958, 2015.
  52. Rare event simulation using reversible shaking transformations.
    With G. Liu.
    SIAM Journal on Scientific Computing, Vol.37(5), pp.A2295-A2316, 2015.
  53. Stochastic Approximation Finite Element method: analytical formulas for multidimensional diffusion process
    With R. Bompis.
    SIAM Journal on Numerical Analysis, Vol.52(6), pp.3140-3164, 2014.
  54. Optimization of joint p-variations of Brownian semimartingales.
    With N. Landon.
    Electronic Communications in Probability, Vol.19(36), 2014.
  55. Fractional smoothness of functionals of diffusion processes under a change of measure.
    With S. Geiss.
    Electronic Communications in Probability, Vol.19(35), 2014.
  56. Expansion formulas for Best-Of Option on Equity and Inflation.
    With J. Hok.
    International Journal of Theoretical and Applied Finance, Vol.17(2), pp.1450010, 2014.
  57. Almost sure optimal hedging strategy.
    With N. Landon.
    Annals of Applied Probability, Vol. 24(4), pp.1652-1690, 2014.
  58. Weak approximation of averaged diffusion processes.
    With M. Miri.
    Stochastic Processes and their Applications, Vol.124, pp.475-504, 2014.
  59. Preliminary control variates to improve empirical regression methods.
    With T. Ben Zineb.
    Monte Carlo Methods and Applications, Vol.19(4), pp.331-354, 2013.
    Pdf available on HAL.
  60. Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition.
    With C. Geiss and S. Geiss.
    Stochastic Processes and their Applications, Vol.122(5), pp.2078-2216, 2012.
  61. Stochastic expansion for the pricing of call options with discrete dividends.
    With P. Etore.
    Applied Mathematical Finance, Vol.19(3), pp.233-264, 2012.
  62. Analytical formulas for local volatility model with stochastic rates.
    With E. Benhamou and M. Miri.
    Quantitative Finance, Vol.12(2), pp.185-198, 2012.
    Pdf available on HAL.
  63. The tracking error rate of the Delta-Gamma hedging strategy.
    With A. Makhlouf.
    Mathematical Finance, Vol. 22(2), pp.277-309, 2012.
  64. Solving BSDE with adaptive control variate.
    With C. Labart.
    SIAM Journal on Numerical Analysis, Vol.48(1), pp.257-277, 2010.
  65. Time dependent Heston model.
    With E. Benhamou and M. Miri.
    SIAM Journal on Financial Mathematics, Vol.1, pp.289-325, 2010.
  66. L2-time regularity of BSDEs with irregular terminal functions.
    With A. Makhlouf.
    Stochastic Processes and their Applications, Vol.120, pp.1105-1132, 2010.
  67. Expansion formulas for European options in a local volatility model.
    With E. Benhamou and M. Miri.
    International Journal of Theoretical and Applied Finance, Vol.13(4), pp.602-634, 2010.
    Pdf available on HAL.
  68. Stopped diffusion processes: overshoots and boundary correction.
    With S. Menozzi.
    Stochastic Processes and their Applications, Vol.120, pp.130-162, 2010.
  69. Smart expansion and fast calibration for jump diffusion.
    With E. Benhamou and M. Miri.
    Finance and Stochastics, Vol.13(4), pp.563-589, 2009.
  70. Sharp estimates for the convergence of the density of the Euler scheme in small time.
    With C. Labart.
    Electronic Communications in Probability, Vol.13, pp.311-322, 2008. Erratum.
  71. LAMN property for hidden processes: the case of integrated diffusions.
    With A. Gloter.
    Annales de l'IHP (B) Probability and Statistics, Vol.44(1), pp.104-128, 2008.
  72. Error expansion for the discretization of Backward Stochastic Differential Equations
    With C. Labart.
    Stochastic Processes and their Applications, Vol.117(7), pp.803-829, 2007.
  73. Discrete sampling of functionals of Itô processes.
    With S. Menozzi.
    Séminaire de Probabilités, Vol.XL, pp.355-375, 2007. pdf file
  74. Numerical methods for the pricing of Swing options: a stochastic control approach.
    With C. Barrera-Esteve, F. Bergeret, C. Dossal, A. Meziou, R. Munos and D. Reboul-Salze.
    Methodology and Computing in Applied Probability, Vol.8(4), pp.517-540, 2006.
  75. Boundary sensitivities for diffusion processes in time dependent domains.
    With C. Costantini and N. El Karoui.
    Applied Mathematics and Optimization, Vol.54(2), pp.159-187, 2006. pdf file
  76. Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations.
    With J.P. Lemor and X. Warin.
    Bernoulli, Vol.12(5), pp.889-916, 2006.
  77. Discretization and simulation of Zakai equation.
    With G. Pagès, H. Pham and J. Printemps.
    SIAM Journal on Numerical Analysis, Vol.44(6), pp.2505-2538, 2006.
  78. Sequential control variates for functionals of Markov processes.
    With S. Maire.
    SIAM Journal on Numerical Analysis, Vol.43(3), pp.1256-1275, 2005.
  79. A regression-based Monte-Carlo method to solve backward stochastic differential equations.
    With J.P. Lemor and X. Warin.
    Annals of Applied Probability, Vol.15(3), pp.2172-2002, 2005.
  80. Sensitivity analysis using Itô-Malliavin calculus and martingales. Application to stochastic optimal control.
    With R. Munos.
    SIAM Journal on Control and Optimization, Vol.43(5), pp.1676-1713, 2005. pdf file
    Sensitivity analysis using Itô-Malliavin calculus and martingales. Numerical implementation. Internal report #520 CMAP.
  81. Symmetrized Euler scheme for an efficient approximation of reflected diffusions.
    With M. Bossy and D. Talay.
    Journal of Applied Probability, Vol.4(3), pp.877-889, 2004.
  82. Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme.
    With S. Menozzi.
    Stochastic Processes and their Applications, Vol.112(2), pp.201-223, 2004.
  83. Nonparametric estimation of scalar diffusions based on low frequency data.
    With M. Hoffmann and M. Reiss.
    Annals of Statistics, Vol.32(5), pp.2223-2253, 2004.
  84. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options.
    With G. Bernis and A. Kohastu-Higa.
    Mathematical Finance, Vol.13(1), pp.99-113, 2003.
  85. Représentation de Feynman-Kac dans des domaines temps-espace et sensibilité par rapport au domaine (Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain).
    With C. Costantini and N. El Karoui.
    Comptes Rendus Mathématiques, Vol.337(5), pp.337-342, 2003.
  86. Computation of Greeks for barrier and lookback options using Malliavin calculus.
    With A. Kohastu-Higa.
    Electronic Communications in Probability, Vol.8, pp.51-62, 2003.
  87. LAN property for ergodic diffusions with discrete observations.
    Annales de l'IHP (B) Probabilités et statistiques, Vol.38(5), pp.711-737, 2002.
  88. Euler schemes and half-space approximation for the simulation of diffusion in a domain.
    ESAIM Probability and Statistics, Vol.5, pp.261-297, 2001.
  89. Local asymptotic mixed normality property for elliptic diffusion: a Malliavin calculus approach.
    Bernoulli, Vol.7(6), pp.899-912, 2001.
  90. Discrete time hedging errors for options with irregular pay-offs.
    With E. Temam.
    Finance and Stochastics, Vol.5(3), pp.357-367, 2001.
    Erratum: A correction note to “Discrete time hedging errors for options with irregular payoffs”. Finance and Stochastics, 2014.
  91. Weak approximation of killed diffusion using Euler schemes.
    Stochastic Processes and their Applications, Vol.87, pp.167-197, 2000.
  92. Schéma d'Euler discret pour diffusion multidimensionnelle tuée.
    C.R. Acad. Sci. Paris, Série I, Vol.328, pp.515-520, 1999.
  93. Schéma d'Euler continu pour des diffusions tuées et options barrière.
    C.R. Acad. Sci. Paris, Série I, Vol.326, pp.1411-1414, 1998.

CHAPTERS/BOOKS

  1. Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear.
    HEP Book Cover 258 pages, in Chinese. Academic High Education Press, 2021.
  2. Day-ahead probabilistic forecast of solar irradiance : a Stochastic Differential Equation approach.
    With J. Badosa, M. Grangereau and D. Kim.
    In "Renewable Energy: Forecasting and Risk Management", Springer Proceedings in Mathematics & Statistics, chapter 4, pp. 73--93, 2018.
  3. Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear.
    Monte-Carlo methods and stochastic processes: from linear to non-linear327 pages, CRC Press, August 2016.  You can buy it on Amazon or CRC Press.
  4. Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations.
    Springer SEMA/SIMAI series, Proceedings of the XV Spanish-French School, Malaga, september 2012.
    Edited by F. Coquel, C. Pares, C. Vasques Cendon, 2013.
  5. Méthodes de Monte-Carlo et processus stochastiques: du linéaire au non-linéaire.
    Méthodes de Monte-Carlo et processus stochastiques: du linéaire au non-linéaire 252 pages, Editions de l’Ecole Polytechnique, 2013. You can buy it on Amazon or GibertJoseph.
  6. New Approximations in Local Volatility Models.
    With A. Suleiman.
    In Y. Kabanov, M. Rutkowski, T. Zariphopoulou, editors, Inspired by Finance. The Musiela Festschrift. Springer, 2013.
    Pdf available on HAL
  7. Asymptotic and non asymptotic approximations for option valuation.
     With R. Bompis.
    In Recent Developments in Computational Finance:Foundations, Algorithms and Applications, Thomas Gerstner and Peter Kloeden (Ed.), World Scientific Publishing Company. Available on HAL and ssrn, 2012.
  8. Les outils stochastiques des marchés financiers : une visite guidée de Einstein à Black-Scholes.
    With N. El Karoui.
    Les outils stochastiques des marchés financiers 221 pages, Editions de l’Ecole Polytechnique, 2011.
    You can download a simplified version without figures and exercises here. Or you can buy the full version on Amazon or Ellipses.
  9. Fractional smoothness and applications in Finance.
    With S. Geiss.
    In G. Di Nunno and B. Oksendal, editors, AMaMeF. Springer Verlag, 2011.
    Available on HAL.
  10. Advanced Monte Carlo methods for barrier and related exotic options.
    Handbook of Numerical Analysis, Vol.XV. Elsevier.
    Special Volume: Mathematical Modeling and Numerical Methods in Finance.
    Editor: P.G. Ciarlet. Guest Editors: Alain Bensoussan and Qiang Zhang, pp.497-528, 2009.
    Pdf available on HAL.

PROCEEDINGS

  1. Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements.
    With A. Agarwal, S. De Marco, J. López-Salas, F. Noubiagain and A. Zhou.
    ESAIM Proc & Surveys, Vol. 65, pp.1--26, 2019.
  2. Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations.
    With D. Barrera, S. Crépey, D. Diallo, G. Fort and U. Stazhynski.
    ESAIM Proc & Surveys, Vol. 65, pp.182--218, 2019.
  3. Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes.
    In L. Plaskota and H. Wozniakowski, editors, Proceedings of the 9th International Conference on Monte Carlo and Quasi- Monte Carlo Methods in Scientific Computing (MCQMC’2010), 15-20 August 2010. Springer, 2011.
  4. A sequential Monte Carlo algorithm for solving BSDEs.
    With C. Labart.
    Proceedings of "6th International Congress on Industrial and Applied Mathematics", ICIAM 2007 at ETH Zurich, Suisse. Wiley Inter Science. PAMM, 7(1), pp.1081801-1081802, Dec 2007.
  5. A class of financial products and models where super-replication prices are explicit.
    With L. Carassus and E. Temam. 
    Proceedings of the "Ritsumeikan International Symposium on Stochastic Processes and Applications to Mathematical Finance" at Ritsumeikan University, Kusatsu, Japan, March 2006. Edited by J. Akahori, S. Ogawa, S. Watanabe. World Scientific, pp.67-84, 2007. pdf file
  6. Numerical simulation of BSDEs using empirical regression methods: theory and practice.
    With J.P. Lemor.
    Proceedings of the "Fifth Colloquium on BSDEs" (29th May - 1st June 2005, Shanghai).
    Available on ArXiv and HAL.
  7. Sequential Monte Carlo domain decomposition for the Poisson equation.
    With S. Maire.
    Proceedings of the 17th IMACS World Congress, Scientific Computation, Applied Mathematics and Simulation (11-15 July 2005, Paris).
  8. A spectral Monte Carlo method for the Poisson equation.
    With S. Maire.
    Proceedings of the "IVth IMACS Seminar on Monte Carlo Methods MCM-2003" (15-19 September 2003, Berlin). Monte Carlo Methods and Applications, Vol.10(3-4), pp.275-285, 2004.
  9. Revisiting the Greeks for European and American options.
    Proceedings of the "International Symposium on Stochastic Processes and Mathematical Finance" at Ritsumeikan University, Kusatsu, Japan, March 2003. Edited by J. Akahori, S. Ogawa, S. Watanabe. World Scientific, pp.53-71, 2004. pdf file
  10. Efficient schemes for the weak approximation of reflected diffusions.
    Proceedings of the "International Conference on Monte Carlo and Probabilistic Methods for Partial Differential Equations", Monaco, July 3-5, 2000. Monte Carlo Methods and Applications, Vol.7(1-2), pp.193-202, 2001. pdf file

PREPRINTS

  • Analysis of the zigzag convergence for barrier options with binomial trees.
    Prépublication # 536 du laboratoire PMA, 24 pages, 1999. Unpuplished manuscript.
  • Arbitrage free cointegrated models in gas and oil future markets.
    With G. Benmenzer and C. Jérusalem.
    Pdf available on HAL, 2007. Unpuplished manuscript.
  • Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator $Pk$.
    With C. Labart.
    Technical note available on HAL, 2009. Unpuplished manuscript.
  • A new sequential algorithm for L2-approximation and application to Monte-Carlo integration.
    With K. Surana.
    Preprint available on HAL, 2014.
  • Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. With A. Agarwal, S. De Marco and G. Liu.
    Preprint available on hal-01219616, 2015.
  • A power plant valuation under an asymmetric risk criterion taking into account maintenance costs.
     With C. Alasseur, I. Pimentel and X. Warin.
    Preprint, 2019.

OTHER PUBLICATIONS

  • Evènements rares: comment calculer l'imprévisible?
    Cahiers de l'Institut Louis Bachelier, Vol.17, avril 2015.
  • Comment définir des dates d'intervention optimales sur les marchés peu liquides?
    Cahiers de l'Institut Louis Bachelier, Vol.11, octobre 2013.
  • Formules rapides de valorisation d'options et calibration temps-réel.
    With E. Benhamou and M. Miri.
    Cahiers de l'Institut Louis Bachelier, Vol.2, juillet 2011.
  • Mathématiques et Finance.
    With G. Pagès and M. Yor.
    "La Lettre de l'Académie des sciences", numéro 13, 11 pages, Automne 2004. ps file
  • Les mathématiques appliquées au coeur de la finance.
    "Images des mathématiques 2004" (édité par le CNRS) pp.58-63, 2004. ps file
  • HDR: Contributions à la simulation et à l'analyse de discrétisation de processus, et applications.
    November 24, 2003. pdf file

PhD STUDENTS

  1. Stéphane Menozzi (2001-2004): currently Professor at Evry University
  2. Jean-Philippe Lemor (2002-2005): currently Head of systematic strategies and hybrids at BNP Paribas
  3. Céline Labart (2004-2007): currently associate professor at Université de Savoie
  4. Azmi Makhlouf (2006-2009): currently assistant professor at ENIT, Tunisie
  5. Mohammed Miri (2006-2009): currently Quantitative Manager at Thomson Reuters
  6. Tarik Ben Zineb (2009-2012): currently Quantitative Analyst at Thomson Reuters
  7. Nicolas Landon (2009-2012): currently Quantitative Researcher at Millennium
  8. Romain Bompis (2010-2013): currently Quantitative Analyst at Natixis
  9. Gang Liu (2013-2016): currently Data Scientist à Square Point
  10. Gustaw Matulevicz (2014-2017): currently Data Scientist à Square Point
  11. Isaque Pimentel (2015-2018): currently Quantitative Risk Analyst à Natixis
  12. Uladzislau Stazhynki (2016-2018): currently Data Scientist à GSA Capital
  13. Margaux Faucher (2016-2019): currently Research Engineer at EDF
  14. Florian Bourgey (2017-2020): currently Quantitative Researcher at Bloomberg
  15. Maxime Grangereau (2017-2021): currently Research Engineer at EDF
  16. Linda Chamakh (2018-2021): currently Quantitative Analyst at JP Morgan
  17. Dorinel Bastide (2019-)
  18. Michael Allouche (2020-2022): currently Data Scientist at Kaiko
  19. Manon Rivoire (2020-)
  20. Charu Shardul (2020-)
  21. Wanqing Wang (2020-)
  22. Elisa Ndiaye (2021-)
  23. Celia Escribe (2021-)
  24. Jean Pachebat (2023-)
   

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