Emmanuel GOBET - Research

"Mathscinet Author Profile"

PAPERS

  1. 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.
    Preprint available on HAL.
  2. Stochastic expansion for the pricing of call options with discrete dividends.
    With P. Etore.
    Forthcoming in Applied Mathematical Finance, 2011.
    Preprint available on HAL and SSRN.
  3. Analytical formulas for local volatility model with stochastic rates.
    With E. Benhamou and M. Miri.
    Quantitative Finance, Vol.12(2), pp.185-198, 2012.
    Preprint available on HAL and ssrn.
  4. The tracking error rate of the Delta-Gamma hedging strategy.
    With A. Makhlouf.
    Mathematical Finance, Vol. 22(2), pp.277-309, 2012.
    Preprint available on HAL and ssrn.
  5. Solving BSDE with adaptive control variate.
    With C. Labart.
    SIAM Journal on Numerical Analysis, Vol.48(1), pp.257-277, 2010.
    Preprint available on HAL.
  6. Time dependent Heston model.
    With E. Benhamou and M. Miri.
    SIAM Journal on Financial Mathematics, Vol.1, pp.289-325, 2010.
    Preprint available on HAL and ssrn.
  7. L2-time regularity of BSDEs with irregular terminal functions.
    With A. Makhlouf.
    Stochastic Processes and their Applications, Vol.120, pp.1105-1132, 2010.
    Preprint available on HAL.
  8. 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.
    Preprint available on HAL and ssrn.
  9. Stopped diffusion processes: overshoots and boundary correction.
    With S. Menozzi.
    Stochastic Processes and their Applications, Vol.120, pp.130-162, 2010.
    Preprint available on arXiv and HAL.
  10. Smart expansion and fast calibration for jump diffusion.
    With E. Benhamou and M. Miri.
    Finance and Stochastics, Vol.13(4), pp.563-589, 2009.
    Preprint available on arXiv, HAL and ssrn.
  11. 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.
    Preprint available on HAL.
  12. 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.
    Preprint available on arXiv and HAL.
  13. 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.
    Preprint available on arXiv and HAL.
  14. Discrete sampling of functionals of Itô processes.
    With S. Menozzi.
    Séminaire de Probabilités, Vol.XL, pp.355-375, 2007.
    (352K).
  15. 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.
    Preprint available on HAL.
  16. 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.
    (432K).
  17. 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.
    (400K).
  18. 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.
    (524K).
  19. Sequential control variates for functionals of Markov processes.
    With S. Maire.
    SIAM Journal on Numerical Analysis, Vol.43(3), pp.1256-1275, 2005.
    (380K).
  20. 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.
    (268K).
  21. 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.
    (1548K).
    Sensitivity analysis using Itô-Malliavin calculus and martingales. Numerical implementation. Rapport interne #520 du CMAP.
  22. 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.
    (308K).
  23. 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.
    (608K).
  24. 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.
    (252K)
  25. 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.
  26. 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.
    (276K).
  27. LAN property for ergodic diffusions with discrete observations.
    Annales de l'IHP (B) Probabilités et statistiques, Vol.38(5), pp.711-737, 2002.
    (328K).
  28. Euler schemes and half-space approximation for the simulation of diffusion in a domain.
    ESAIM Probability and Statistics, Vol.5, pp.261-297, 2001.
    (772K).
  29. Local asymptotic mixed normality property for elliptic diffusion: a Malliavin calculus approach.
    Bernoulli, Vol.7(6), pp.899-912, 2001.
    (256K).
  30. Discrete time hedging errors for options with irregular pay-offs.
    With E. Temam.
    Finance and Stochastics, Vol.5(3), pp.357-367, 2001.
    (268K)
  31. Weak approximation of killed diffusion using Euler schemes.
    Stochastic Processes and their Applications, Vol.87, pp.167-197, 2000.
    (472K).
  32. Schéma d'Euler discret pour diffusion multidimensionnelle tuée.
    C.R. Acad. Sci. Paris, Série I, Vol.328, pp.515-520, 1999.
  33. 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. New Approximations in Local Volatility Models.
    With A. Suleiman.
    Forthcoming in Y. Kabanov, editor, Musiela Festschrift. Springer, 2012.
    Preprint available on HAL and SSRN, 2012.
  2. Les outils stochastiques des marchés financiers : une visite guidée de Einstein à Black-Scholes.
    With N. El Karoui.
    221 pages, Editions de l’Ecole Polytechnique, 2011.
  3. Fractional smoothness and applications in Finance.
    With S. Geiss.
    In G. Di Nunno and B. Oksendal, editors, AMaMeF. Springer Verlag, 2011.
    Available on HAL.
  4. 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.
    Preprint available on HAL and ssrn.

PROCEEDINGS

  1. 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.
  2. 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.
  3. 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.
    (144K).
  4. 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, Shangai).
    Available on ArXiv and HAL.
  5. 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).
  6. 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.
  7. 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.
    (200K).
  8. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options.
    With G. Bernis and A. Kohastu-Higa.
    Proceedings of the "Workshop on the Application of Malliavin calculus in finance", Rocquencourt (France), December 13-14, 2001. Mathematical Finance, Vol.13(1), pp.99-113, 2003.
    (556K)
  9. 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.
    (244K).

PREPRINTS

  1. Analysis of the zigzag convergence for barrier options with binomial trees.
    Prépublication # 536 du laboratoire PMA, 24 pages, 1999. Unpuplished manuscript.
  2. Arbitrage free cointegrated models in gas and oil future markets.
    With G. Benmenzer and C. Jérusalem.
    Preprint available on arXiv and HAL, 2007.
  3. 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.
  4. Weak approximation of averaged diffusion processes.
    With M. Miri.
    Preprint available on HAL, 2011.
  5. Approximation of discrete BSDE using least-squares regression.
    With P. Turkedjiev.
    Preprint available on HAL, 2011.
  6. Almost sure optimal hedging strategy.
    With N. Landon.
    Preprint available on HAL, 2012.

OTHER PUBLICATIONS

  • 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.
    (312K).
  • Les mathématiques appliquées au coeur de la finance.
    "Images des mathématiques 2004" (édité par le CNRS) pp.58-63, 2004.
    (260K).
  • HDR: Contributions à la simulation et à l'analyse de discrétisation de processus, et applications.
    November 24, 2003. (1424K).

PhD STUDENTS

  1. Stéphane Menozzi (2001-2004): currently assistant professor at Paris 7 University.
  2. Jean-Philippe Lemor (2002-2005): formerly Risk Manager at Société Générale, now Quant at BNP Paribas.
  3. Céline Labart (2004-2007): currently assistant professor at Chambéry University.
  4. Azmi Makhlouf (2006-2009): currently Post Doc researcher at Osaka University.
  5. Mohammed Miri (2006-2009): currently Quant at Pricing Partners.
  6. Tarik Ben Zineb (2009-)
  7. Nicolas Landon (2009- )
  8. Romain Bompis (2010- )

CO-AUTHORS


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