Source: https://www.lpsm.paris/mathfipronum/topics/index
Timestamp: 2019-04-19 12:42:17+00:00

Document:
L'équipe MathFiProNum fédère des chercheurs travaillant sur la modélisation probabiliste et statistique des marchés financiers, sur la théorie et les outils mathématiques développés en finance, et sur les méthodes numériques en probabilité avec des applications principales en finance quantitative.
L.A. ABBAS-TURKI, M. MIKOU TVA on American options.
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. CORLAY, J. LEBOVITS & J. LÉVY VÉHEL Multifractional Stochastic volatility models.
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.
S. CHOUKROUN, S. GOUTTE, A. NGOUPEYOU Mean variance hedging under defaults risk.
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.
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.
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.
T. LIM, V. LY VATH, J.-M. SAHUT, S. SCOTTI Bid-ask spread modelling, a perturbation approach.
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, I. KHARROUBI, H. PHAM Time discretization and quantization methods for optimal multiple switching problem.
M. GRIGOROVA Stochastic dominance with respect to a capacity and risk measures.
S. LARUELLE, C.-A. LEHALLE, G. PAGÈS Optimal posting distance of limit orders: a stochastic algorithm approach.
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.
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.
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.
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.
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.
G. Pagès, B. Wilbertz Dual Quantization for random walks with application to credit derivatives.
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.
G. Pagès, A. Sagna Asymptotics of the maximal radius of an $L^r$-optimal sequence of quantizers.
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.
R. Cont, P. Tankov Constant proportion portfolio insurance in presence of jumps in asset prices.
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.
G. Pagès, F. Panloup Approximation of the distribution of a stationary Markov process with application to option pricing.
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.
Luschgy H., Pagès G. Moment estimates for Lévy processes.
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.
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.
Lamberton D., Pagès G. How fast is the bandit ?
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.

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