Chaire

Dérivés du Futur

Publications 2010

Publications parues ou acceptées : 39, dont 21 (*) liées directement aux thèmes de la chaire

  • Ben Tahar, I., M. Soner and N. Touzi. Modelling continuous-time financial markets with capital gains taxes. SIAM Journal on Financial Mathematics, 1 (2010), pp. 366-395
  • Aïd, R., O. Féron, N. Touzi et C. Vialas *(2010). An arbitrage-free interest rate model consistent with economic constraints for long-term asset liability management, Bankers, Markets and Investors, to appear.
  • Al Dayri, K. and E. Bacry and Muzy, J. F.* The nature of price returns during periods of high market activity Proceedings of Econophys-Kolkata V (Kolkata, India, 2010)
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  • E. Bacry and Gloter, A. and Hoffmann, M. and Muzy, J. F.* Multifractal analysis in a mixed asymptotic framework Annals of Applied Probability, 5:20 (2010), pp.1729-1760
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  • E. Bacry and Muzy, J. F.* Multifractal models for asset prices In Encyclopedia of Quantitative Finance, R. Cont (ed.), Wiley (2010)
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  • Benhamou, E., E. Gobet and M. Miri* Analytical formulas for local volatility model with stochastic rates Quantitative Finance - forthcoming.
  • Benhamou, E., E. Gobet and M. Miri* Time dependent Heston model SIAM Journal on Financial Mathematics, 1(2010), pp.289-325
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  • Benhamou, E., E. Gobet and M. Miri* Expansion formulas for European options in a local volatility model International Journal of Theoretical and Applied Finance, 4:13 (2010), pp.602-634
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  • J. Bion-Nadal.* Dynamic pricing models calibrated on both liquid and illiquid assets. To appear in International Journal of Economic Research - (2010).
  • J. Bion-Nadal and M. Kervarec.* Risk measuring under model uncertainty. To appear in Annals of Applied Probability
    • (2010).
  • Bouchard, B. and N. Touzi. Weak dynamic programming principle for viscosity solutions. SIAM Journal on Control and Optimization - to appear (2010).
  • Bouchard, B., R. Elie and N. Touzi. Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs Radon Series on Computational and Applied Mathematics - (2010)
  • Cetin, U., M. Soner and N. Touzi.* Option hedging for small investors under liquidity costs Finance and Stochastics - to appear.
  • Crisan, D., K. Manolarakis et N. Touzi. On the Monte Carlo simulation of BSDEs : an improvement on the Malliavin weights. Stochastic Processes and their Applications
    • , to appear (2010).
  • L. Duvernet* Convergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting Stochastic Analysis and Applications, 5:28 (2010), pp.763-792
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  • L. Duvernet and Robert, Christian Y. and M. Rosenbaum Testing the type of a semi-martingale: Ito against multifractal Electronic Journal of Statistics, 4 (2010), 1300-1323
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  • Fahim, A., N. Touzi, et X. Warin. A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs. Annals of Applied Probability
    • , to appear (2010).
  • Geiss, S. and E. Gobet.* Fractional smoothness and applications in Finance. AMaMeF - ESF volume, 2010
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  • E. Gobet and A. Makhlouf* The tracking error rate of the Delta-Gamma hedging strategy Mathematical Finance
    • , forthcoming.
  • E. Gobet and A. Makhlouf. L2-time regularity of BSDEs with irregular terminal functions Stochastic Processes and their Applications, 120 (2010), pp.1105-1132.
  • E. Gobet and A. Suleiman.* New Approximations in Local Volatility Models. Special volume in the honor of the 60th anniversary of M. Musiela, 2010
  • E. Gobet and Labart, C. Solving BSDE with adaptive control variate SIAM Journal on Numerical Analysis, 1:48 (2010), pp.257-277
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  • E. Gobet and S. Menozzi. Stopped diffusion processes: overshoots and boundary correction Stochastic Processes and their Applications, 120 (2010), pp.130-162.
  • 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. To appear in Scandinavian Actuarial Journal
    • (2010).
  • C. Hillairet, Y. Jiao.* Credit Risk with asymmetric information on the default threshold. To appear in Stochastics An International Journal of Probability and Stochastic Processes
    • (2010).
  • C. Hillairet, Y. Jiao.* Information Asymmetry in Pricing of Credit Derivatives. To appear in International Journal of Theoretical and Applied Finance
    • (2011).
  • Kohatsu-Higa, A. and P. Tankov Jump-adapted discretization schemes for Lévy-driven SDEs Stochastic Processes and their Applications, 120 (2010), pp. 2258-2285.
  • A. Matoussi, L. Stoica. Obstacle problem for quasilinear Stochastic PDE's Annals of Probability, Vol. 38, N°.3, 1143-1179 (2010).
  • Robert, Christian, Y. and M. Rosenbaum On the limiting spectral distribution of the covariance matrices of time-lagged processes Journal of Multivariate Analysis, 10:101 (2010), pp. 2434-2451
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  • Robert, Christian, Y. and M. Rosenbaum* On the microstructural hedging error SIAM Journal of Financial Mathematics, 1(2010), pp. 427-453
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  • M. Rosenbaum and Tsybakov, A. Sparse Recovery under Matrix Uncertainty Annals of Statistics, 5:38 (2010), pp. 2620-2651
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  • Soner, M., N. Touzi et J. Zhang Stochastic representation of G-martingales Stochastic Processes and their Applications
    • , to appear (2010).
  • Soner, M., N. Touzi et J. Zhang. Wellposedness of second order backward SDEs. Probability Theory and Related Fields
    • , to appear.
  • Soner, M., N. Touzi et J. Zhang. Quasi-sure Stochastic Analysis through Aggregation Electronic Journal of Probability
    • , to appear.
  • P. Tankov Pricing and hedging in exponential Lévy models: review of recent results Paris-Princeton Lecture Notes in Mathematical Finance, Springer (2010).
  • P. Tankov* Pricing and hedging gap risk The Journal of Computational Finance, 3:13 (2010).
  • Jena, R. and P. Tankov *Arbitrage Opportunities in Misspecified Stochastic volatility Models SIAM Journal on Financial Mathematics
    • , to appear (2010).
  • P. Tankov* Improved Frechet bounds and model-free pricing of multi-asset options Journal of Applied Probability
    • , to appear.
  • Chemla, G., R. Aïd, A. Porchet et N. Touzi (2010). Vertical integration and risk management in competitive markets of non-storable goods, to appear in Management Science.

Prépublications : 28 dont 15 (*) liées directement aux thémes de la chaire

  • J. Bion-Nadal and M. Kervarec. Dynamic risk measuring under model uncertainty: taking advantage of the hidden probability measure (2010).
  • J. Bion-Nadal and G. Di Nunno. Extension theorems for linear operators on $L_{\infty}$ and application to price systems (2011).
  • Chemla, G., R. Aïd, A. Porchet et N. Touzi. Vertical integration and risk management in competitive markets of non-storable goods (2009).
  • (2009) Espinosa, G.-E. and N. Touzi.* Detecting the maximum of a mean reverting scalar diffusion (2009).
  • Espinosa, G.-E. and N. Touzi.* Optimal investment with relative wealth concerns (2009).
  • Soner, M., N. Touzi et J. Zhang. Dual Formulation of Second order target problems (2009).
  • Bacry, E. and L. Duvernet and Muzy, J. F.* Continuous-time skewed multifractal processes as a model for financial returns (2010).
  • E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy.* Modelling microstructure noise with mutually exciting point processes (2010).
  • E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy.* Modelling microstructure noise with Hawkes processes (2010).
  • Bernhart, M., P. Tankov and X. Warin.* A finite dimensional approximation for pricing moving average options (2010).
  • Broden, M. and P. Tankov. Tracking errors from discrete hedging in exponential Lévy models (2010).
  • Carmona, R. F. Delarue, G.E. Espinosa et N. Touzi. * FBSDE Valuations for the Emission Markets (2010).
  • E. Gobet. Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes (2010).
  • Fahim, A., E. Belaouar et N. Touzi.* Optimal Production Policy under the Carbon Emission Market (2010).
  • Fukasawa, M. and M. Rosenbaum* Central limit theorems for realized volatility under hitting times of an irregular grid (2010).
  • Geiss, C., S. Geiss and E. Gobet. Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition (2010).
  • E. Gobet and P. Etoré.* Stochastic expansion for the pricing of call options with discrete dividends (2010).
  • Hoffmann, M. and Rosenbaum. M.* and Yoshida, N.. Estimation of the lead-lag parameter from non-synchronous data (2010).
  • S. Loisel, and Y. Salhi.* Joint modeling of portfolio experienced and national mortality : A co-integration based approach (2011).
  • N. Touzi, D.Possomai, M. Soner.* Large liquidity expansion of super-hedging costs (2010).
  • M. Rosenbaum and P. Tankov Asymptotic results for time-changed Lévy processes sampled at hitting times (2010).
  • P. Tankov High order weak approximation schemes for Lévy-driven SDEs (2010).
  • Podolskij, M. and M. Rosenbaum* Testing the local volatility assumption: a statistical approach (2011).
  • Y. Salhi, S. Loisel.* Joint modeling of portfolio experienced and national mortality: A co-integration based approach, (2011).
  • A. Matoussi, D. Possamai et C. Zhou.* Second Order Reflected BSDEs and pricing American option under volatility uncertainty (2011).
  • A. Matoussi, D. Possamai et C. Zhou. Second Order Backward Stochastic Differential Equations with Quadratic Growth (2011).
  • W. Faidi, A. Matoussi et M. Mnif. A Dynamic Maximum Principle Approach (2010).
  • M. Jeanblanc, A. Matoussi et A. Ngoupeyou. Robust utility maximization in a discontinuous filtration (2010).
  • A. Matoussi and H. Wang. Probabilistic interpretation for Sobolev solution of semilinear parabolic Integro-differential equations (2010).

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