CMAP

ChaireDérivés du Futur 
Publications 2011
Publications parues ou acceptées : 43, dont 25 (*) liées directement aux thèmes de la chaire
K. Al Dayri, E. Bacry, J.F.Muzy.* Nonparametric kernel estimation for symmetric Hawkes processes. Application to high frequency nancial data. Forthcoming in Euro. Phys. Journal B., 2011.
R. Aïd, O. Féron, N. Touzi and C. Vialas.* An arbitragefree interest rate model consistent with economic constraints for longterm asset liability management. Forthcoming in Bankers, Markets and Investors , 2011.
R. Aïd, G. Chemla, A. Porchet and N. Touzi. Vertical integration and risk management in competitive markets of nonstorable goods. Management Science 57, 8, 14381452. , 2011.
E. Bacry, A.Kozhemyak, J.F.Muzy.* LogNormal continuous cascades : aggregation delling microstructure noise with Hawkes processes. Comptes rendus de ICASSP , 2011.
E. Bacry, S. Delattre, M. Ho properties and estimation. Application to nancial timeseries. Forthcoming in Quantitative Finance, 2011.
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy.* Modelling microstructure noise with Hawkes processes. Comptes rendus de ICASSP , 2011.
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy.* Modelling microstructure noise with mutually exciting point processes. Forthcoming in Quantitative Finance, 2011.
E. Bacry, L. Duvernet, J.F. Muzy.* Continuoustime skewed multifractal processes as a model for Þnancial returns. Forthcoming in Journal of Applied Probability, 2011.
P. Barrieu, H. Bensusan, C.Hillairet, N. El Karoui, S. Loisel, C. Ravanelli, Y. Salhi.* Understanding, Modeling and Managing Longevity Risk : Key issues and Main Challenges. Forthcoming in Scandinavian Actuarial Journal, 2010.
E. Benhamou, E. Gobet, and M. Miri.* Analytical formulas for local volatility model with stochastic rates. Forthcoming in in Quantitative Finance, 2011.
E. Benhamou, E. Gobet, and M. Miri.* Formules rapides de valorisation d'options et calibration tempsréel. Cahiers de l'Institut Louis Bachelier, 2, Juillet 2011.
M. Bernhart, P. Tankov, and X. Warin.* A nite dimensional approximation for pricing moving average options. SIAM Journal of Financial Mathematics pp. 989 1013, 2011. 15
M. Broden and P. Tankov. Tracking errors from discrete hedging in exponential Lévy models. International Journal of Theoretical and Applied Finance, 14 , pp. 135, 2011.
J. BionNadal and M. Kervarec.* Risk measuring under model uncertainty. Annals delling microstructure noise with mutually exciting point processes. Forthcoming in Quantitative Finance, 2011. of Applied Probability, vol 22, 1, 2012. Pages 213238, 2012.
B. Bouchard and N. Touzi. Weak dynamic programming principle for viscosity solutions. SIAM Journal on Control and Optimization 49, 3, 948962, 2011.
R. Carmona, F. Delarue, G.E. Espinosa and N. Touzi. FBSDE Valuations for the Emission Markets.* Forthcoming in Annals of Applied Probability, 2010.
A. Cretarola, F. Gozzi, H. Pham, and P. Tankov. Optimal consumption policies in illiquid markets. Finance and Stochastics, 15, pp. 85116, 2011.
C. De Franco and P. Tankov. Portfolio insurance under a riskmeasure constraint. Insurance : Mathematics and Economics, 49, pp. 361370, 2011.
P. Etore and E. Gobet. Stochastic expansion for the pricing of call options with discrete dividends. Forthcoming in Applied Mathematical Finance, 2012.
W. Faidi, A. Matoussi and M. Mnif.. Maximization of Recursive Utilities : A Dynamic Maximum Principle Approach. SIAM Journal on Financial Mathematics, Vol. 2, pp. 10141041, 2011.
S. Geiss and E. Gobet.* Fractional smoothness and applications in Finance. In G. Di Nunno and B. Oksendal, editors, AMAMEF. Springer Verlag, 2011.
C. Geiss, S. Geiss, and E. Gobet.* Generalized fractional smoothness and Lp variation of BSDEs with nonLipschitz terminal condition. Forthcoming in Stochastic Processes and their Applications, 2012.
E. Gobet and A. Makhlouf. The tracking error rate of the DeltaGamma hedging strategy. Forthcoming in Mathematical Finance, 2012.
E. Gobet. 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 delling microstructure noise with mutually exciting point processes. Forthcoming in Quantitative Finance, 2011.
E. Bacry, L. Duvernet, J.F. Muzy.* Continuoustime skewed multifractal processes as a model for Þnancial returns. Forthcoming in Journal of Applied Probability, 2011.
P. Barrieu, H. Bensusan, C.Hillairet, N. El Karoui, S. Loisel, C. Ravanelli, Y. Salhi.* Understanding, Modeling and Managing Longevity Risk : Key issues and Main Challenges. Forthcoming in Scandinavian Actuarial Journal, 2010.
E. Benhamou, E. Gobet, and M. Miri.* Analytical formulas for local volatility model with stochastic rates. Forthcoming in in Quantitative Finance, 2011.
E. Benhamou, E. Gobet, and M. Miri.* Formules rapides de valorisation d'options et calibration tempsréel. Cahiers de l'Institut Louis Bachelier, 2, Juillet 2011.
M. Bernhart, P. Tankov, and X. Warin.* A nite dimensional approximation for pricing moving average options. SIAM Journal of Financial Mathematics pp. 989 1013, 2011. 15
M. Broden and P. Tankov. Tracking errors from discrete hedging in exponential Lévy models. International Journal of Theoretical and Applied Finance, 14 , pp. 135, 2011.
J. BionNadal and M. Kervarec.* Risk measuring under model uncertainty. Annals of Applied Probability, vol 22, 1, 2012. Pages 213238, 2012.
B. Bouchard and N. Touzi. Weak dynamic programming principle for viscosity solutions. SIAM Journal on Control and Optimization 49, 3, 948962, 2011.
R. Carmona, F. Delarue, G.E. Espinosa and N. Touzi. FBSDE Valuations for the Emission Markets.* Forthcoming in Annals of Applied Probability, 2010.
A. Cretarola, F. Gozzi, H. Pham, and P. Tankov. Optimal consumption policies in illiquid markets. Finance and Stochastics, 15, pp. 85116, 2011.
C. De Franco and P. Tankov. Portfolio insurance under a riskmeasure constraint. Insurance : Mathematics and Economics, 49, pp. 361370, 2011.
P. Etore and E. Gobet. Stochastic expansion for the pricing of call options with discrete dividends. Forthcoming in Applied Mathematical Finance, 2012.
W. Faidi, A. Matoussi and M. Mnif.. Maximization of Recursive Utilities : A Dynamic Maximum Principle Approach. SIAM Journal on Financial Mathematics, Vol. 2, pp. 10141041, 2011.
S. Geiss and E. Gobet.* Fractional smoothness and applications in Finance. In G. Di Nunno and B. Oksendal, editors, AMAMEF. Springer Verlag, 2011.
C. Geiss, S. Geiss, and E. Gobet.* Generalized fractional smoothness and Lp variation of BSDEs with nonLipschitz terminal condition. Forthcoming in Stochastic Processes and their Applications, 2012.
E. Gobet and A. Makhlouf. The tracking error rate of the DeltaGamma hedging strategy. Forthcoming in Mathematical Finance, 2012.
E. Gobet. 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 Scientic Computing (MCQMC'2010), 1520 August 2010. Springer, 2011.
E. Gobet and A. Suleiman.* New approximations in local volatility models. Forthcoming in "Marek Musiela Festchrift", 2012.
N. El Karoui and E. Gobet. Les outils stochastiques des marchés nanciers : une visite guidée de Einstein à BlackScholes. Editions de l'Ecole Polytechnique, 2011.
C. Hillairet and Y. Jiao.* Information Asymmetry in Pricing of Credit Derivatives. International Journal of Theoretical and Applied Finance Vol. 14, No. 5 (2011) 611 633, 2011.
C. Hillairet and Y. Jiao.* Credit Risk with asymmetric information on the default threshold.. Forthcoming in Stochastics An International Journal of Probability and Stochastic Processes, 2011. 16
M. Rosenbaum and N. Yoshida.* Estimation of the leadlag parameter from nonsynchronous data. Forthcoming in Bernoulli, 2011.
R. P. Jena and P. Tankov.* Arbitrage opportunities in misspecied stochastic volatility models. SIAM Journal on Financial Mathematics, 2 , pp. 317341, 2011.
S. Loisel and X. Milhaud. * From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital. European Journal of Operational Research, October 2011, Pages 348357, 2011.
D. Possamaï, M. Soner, and N. Touzi.* Large liquidity expansion of superhedging costs. Forthcoming in Asymptotic Analysis, 2011.
M. Rosenbaum.* A new microstructure noise index. Quantitative Finance 11 (6) p 883899, 2011.
M. Rosenbaum and M. Podolskij. Testing the local volatility assumption : a statistical approach. Annals of Finance, 8 (1) p 3148, 2012.
M. Rosenbaum and C.Y. Robert.* A new approach for the dynamics of ultra high frequency data : the model with uncertainty zones. Journal of Financial Econometrics, 9 (2) p 344366, 2011.
M. Rosenbaum and C.Y. Robert.* The model with uncertainty zones for ultra high frequency prices and durations ; applications to statistical estimation and mathematical nance. Econophysics Of OrderDriven Markets F. Abergel, B. Chakrabarti, A. Chakraborti (editors), Springer, 2011.
M. Rosenbaum and C.Y. Robert.* Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22 (1) p 133164, 2012.
M. Rosenbaum and P. Tankov. Asymptotic results for timechanged Lévy processes sampled at hitting times. Stochastic Processes and Their Applications 121 (07) p 16071632, 2011.
M. Rosenbaum and A. Tsybakov. Improved Matrix Uncertainty selector. Forthcoming in Festschrift in honor of J.Wellner, IMS Collections, 2011.
M. Soner, N. Touzi and J. Zhang. Stochastic representation of G?martingales. Stochastic Processes and their Applications 121, 265287, 2011.
M. Soner, N. Touzi and J. Zhang. Wellposedness of second order backward SDEs. Forthcoming in Probability Theory and Related Fields, 2009.
M. Soner, N. Touzi and J. Zhang. Quasisure Stochastic Analysis through Aggregation. Electronic Journal of Probability, 16, 18441879., 2009.
M. Soner, N. Touzi and J. Zhang. Dual Formulation of Second order target problems. Forthcoming in Annals of Applied Probability, 2009.
P. Tankov. Improved Frechet bounds and modelfree pricing of multiasset options.
Journal of Applied Probability, 43, pp. 389403, 2011.
Springer, 2011.
Prépublications : 30 dont 14 (*) liées directement aux thémes de la chaire
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy.* Scaling limits for Hawkes processes and application to financial statistics. Submitted, 2011.
E. Belaouar, A. Fahim, and N. Touzi.* Optimal Production Policy under the Carbon Emission Market. Preprint.
A. Ben Lasmar, A. Matoussi and M. Mnif. Numerical scheme for semilinear SPDEs with Backward doubly SDEs. Submitted, 2012.
T. BenZineb and E. Gobet. Variation reduction for empirical regressions : the method of Preliminary Control Variates. Preprint, 2012.
J. BionNadal and G. Di Nunno.* Dynamic no good deal pricing measures and extension theorems for linear operators on $L_inf$. En révision pour Finance and Stochastics, 2011.
J. BionNadal and M. Kervarec.* Dynamic risk measuring under model uncertainty : taking advantage of the hidden probability measure. Preprint., 2011.
R. Bompis and E. Gobet.* Price expansion for model combining local and stochastic volatility. Preprint, 2012.
S. Delattre and M. Rosenbaum. Testing the finiteness of the support of a distribution : a statistical look at Tsirelson's equation. Submitted, 2012
L. Denis and A. Matoussi. Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions. Submitted, 2012.
L. Denis, A. Matoussi and J. Zhang. The Obstacle problem for quasilinear SPDEs : Analytical approach. Submitted, 2011.
I. Ekren, C. Keller, N. Touzi and J. Zhang. On Viscosity Solutions of Path Dependent PDEs. Submitted. 2011.
G.E. Espinosa and N. Touzi.* Detecting the Maximum of a MeanReverting Scalar Diffusion. En révision pour SIAM Journal on Control and Optimization. 2010.
G.E. Espinosa and N. Touzi.* Optimal investment with relative wealth concerns. En révision pour Mathematical Finance. 2009.
J. E. FigueroaLopez and P. Tankov. Smalltime asymptotics of stopped Lévy bridges and simulation schemes with controlled bias. Preprint, 2012.
N. Frikha.* Quantization based Recursive Importance Sampling. Submitted, 2012.
N. Frikha and A. Sagna. Shortfall risk minimization in discrete time financial market models. Submitted, 2011.
M. Fukasawa and M. Rosenbaum.* Central limit theorems for realized volatility under hitting times of an irregular grid. Submitted, 2011.
A. Galichon, P.H. Labordère and N. Touzi.* A stochastic control approach to noarbitrage bounds given marginals, with an application to Lookback options. En révision pour Annals of Applied Probability. 2010.
S. Geiss and E. Gobet. Fractional smoothness of diffusion process under change of measure. Preprint, 2012.
E. Gobet and J. Hok. Expansion formulas for bestof option on equity and inflation. Preprint, 2012.
E. Gobet and N. Landon.* Almost sure optimal hedging strategy. Submitted, 2012.
E. Gobet and M. Miri. Weak approximations of averaged diffusion processes. Submitted, 2011.
E. Gobet and P. Turkedjiev. Approximation of discrete BSDE using leastsquares regression. Submitted, 2011.
M. Jeanblanc, A. Ngoupeyou and A. Matoussi. Robust utility maximization in a discontinuous filtration. Submitted, 2012.
S. Loisel and Y. Salhi.* Basis Risk Modeling : a cointegration based approach. Submitted, 2012.
A. Matoussi, D. Possamai and C. Zhou.. Robust Utility Maximization in Nondominated Models with 2BSDE : the Uncertain Volatility Model. Submitted, 2011.
M. Rosenbaum and P. Tankov. Asymptotically optimal discretization of hedging strategies with jumps. Submitted, 2011.
M. Soner and N. Touzi, Homogenization and asymptotics for small transaction costs. Submitted, 2011.
X. Tan and N. Touzi.* Optimal Transportation under Controlled Stochastic Dynamics. Submitted, 2011.
P. Tankov. High order weak approximation schemes for Lévydriven SDEs. Preprint,
2011.