Emmanuel GOBET - Research

"Mathscinet Author Profile"

PAPERS

  1. Meta-modelling paths of simple climate models using Neural Networks and Dirichlet polynomials : An application to DICE.
     With Y. Liu and G. Vermandel.
    Preprint hal-04990321, 2025.
  2. Optimal business model adaptation plan for a company under a transition scenario.
     With E. Ndiaye, A. Bezat, C. Guivarch, Y. Jiao.
    In revision for Mathematics and Financial Ecoomics, 2025.
  3. Learning out-of-sample Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data.
     With M. Allouche and S. Girard.
    Neural Networks, Vol. 182, 2025.
  4. Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data.
     With M. Allouche, M. Echenim, E. Gobet and A.C. Maurice.
    To appear in Mathematical Finance, 2025.
  5. Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas.
     With A. Richou and L. Szpruch.
    Preprint hal-04644887, 2024.
  6. Deep generative modeling of multivariate dependent extremes.
     With S. Girard and J. Pachebat.
    Preprint hal-04700084, 2024.
  7. An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio.
     With F. Bourgey, Y. Jiao.
    Preprint hal-04665712, 2024.
  8. Interpretable Seasonal Hidden Markov Model for spatio-temporal stochastic rain generation in France.
     With D. Metivier and S. Parey.
    In revision for Advances in Statistical Climatology, Meteorology and Oceanography, 2024.
  9. Mean Field model for renewable investment under long-term uncertainty and risk aversion.
     With C. Escribe, J. Garnier.
    Dynamic games and applications, Vol. 14, 2024.
  10. Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling.
     With M. Allouche, C. Lage and E. Mangin.
    Computational statistics, Vol. 39, 2024.
  11. Bridging socioeconomic pathways of CO2 emission and credit risk.
     With F. Bourgey and Y. Jiao.
    Annals of Operations Research, Vol. 336, 2024.
  12. Estimation of extreme quantiles from heavy-tailed distributions with neural networks.
     With M. Allouche and S. Girard.
    Statistics and Computing, Vol. 34, 2024.
  13. Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation.
     With C. Lage.
    Annals of Operations Research, Vol. 336, 2024.
  14. Thorough mathematical modelling and analysis of Uniswap v3.
     With M. Echenim, E. Gobet and A.C. Maurice.
    In revision for SIAM Journal on Financial Mathematics, preprint hal-04214315, 2023.
  15. Learning Value-at-Risk and Expected Shortfall.
     With D. Barrera, S. Crepey, H.D. Nguyen, B. Saadeddine.
    In revision for Mathematical Finance, preprint hal-03775901, 2023.
  16. Improved convergence rate for Reflected BSDE by penalisation method.
     With W.Wang.
    In revision for Applied Mathematics and Optimization, preprint hal-04020304, 2023.
  17. 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.
    Quantitative Finance, Vol. 23, 2023.
  18. Transform MCMC schemes for sampling intractable factor copula models.
     With C. Benezet and R. Targino.
    Methodology and Computing in Applied Probability, Vol. 25, 2023.
  19. Weak approximations and VIX option price expansions in forward variance curve models.
     With F. Bourgey and S. De Marco.
    Quantitative Finance, Vol. 23, 2023.
  20. Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributions.
     With S. Girard.
    Preprint, 2022.
  21. Mean estimation for Randomized QMC under heavy-tail assumptions.
     With M. Lerasle and D. Metivier.
    In revision for Journal of Complexity, Preprint hal-03631879, 2022.
  22. Newton method for stochastic control problems.
     With M. Grangereau.
    SIAM Journal on Control and Optimization, Vol. 60, 2022.
  23. 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.
  24. A generative model for fBm with deep ReLU neural networks.
     With M. Allouche and S. Girard.
    Journal of Complexity, Vol. 73, 2022.
  25. A comparative study of polynomial-type chaos expansions for indicator functions.
     With F. Bourgey and C.Rey.
    ASA-SIAM Journal on Uncertainty Quantification, Vol. 10, 2022.
  26. Extended McKean-Vlasov optimal stochastic control applied to smart grid management.
     With M. Grangereau.
    ESAIM: Control, Optimisation and Calculus of Variations, Vol. 28, 2022
  27. Generalization bounds for nonparametric regression with beta-mixing samples.
     With D. Barrera.
    In revision for Journal of Machine Learning Research, preprint hal-03311506, 2021.
  28. Federated stochastic control of numerous heterogeneous energy storage systems.
     With M. Grangereau.
    In revision for Journal on Optimization Theory and Applications, Preprint hal-03108611, 2021.
  29. Non-Asymptotic comparison of covariance matrix inputs in dynamic minimum variance portfolio.
     With L. Chamakh and J.P. Lemor.
    Preprint hal-03207061, 2021.
  30. Orlicz norms and concentration inequalities for beta-heavy tailed random variables.
     With L. Chamakh and W. Liu.
    In revision for Bernoulli, 2021.
  31. 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.
  32. Orlicz Random Fourier Features.
     With L. Chamakh and Z.Szabo.
    Journal of Machine Learning Research, Vol. 21, pp. 1--37, 2020.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Model-adaptive optimal discretization of stochastic integrals.
    With U. Stazhynski.
    Stochastics, Vol. 91(3), pp.321--351, 2019.
  40. Central limit theorem for discretization errors based on stopping time sampling.
    With N.Landon and U. Stazhynski.
    In revision for Bernoulli, 2018.
  41. Parametric inference for diffusions observed at stopping times.
    With U. Stazhynski.
    Electronic Journal of Statistics, Vol.54(3), pp.1556--1582, 2018.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. Analytical approximations of local-Heston volatility model and error analysis.
    With R. Bompis.
    Mathematical Finance, Vol. 28(3), pp.920-961, 2018.
  47. 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.
  48. Finite variance unbiased estimation of stochastic differential equations.
    With A. Agarwal.
    Winter Simulation Conference, pp. 1950-1961, 2017.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. 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.
  57. 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.
  58. 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.
  59. Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression.
    With P. Turkedjiev.
    Bernoulli, Vol. 22(1), pp.530-562, 2016.
  60. Analytical approximations of BSDEs with non-smooth driver.
    With S. Pagliarani.
    SIAM Journal on Financial Mathematics, Vol.6, pp.919-958, 2015.
  61. Rare event simulation using reversible shaking transformations.
    With G. Liu.
    SIAM Journal on Scientific Computing, Vol.37(5), pp.A2295-A2316, 2015.
  62. 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.
  63. Optimization of joint p-variations of Brownian semimartingales.
    With N. Landon.
    Electronic Communications in Probability, Vol.19(36), 2014.
  64. Fractional smoothness of functionals of diffusion processes under a change of measure.
    With S. Geiss.
    Electronic Communications in Probability, Vol.19(35), 2014.
  65. 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.
  66. Almost sure optimal hedging strategy.
    With N. Landon.
    Annals of Applied Probability, Vol. 24(4), pp.1652-1690, 2014.
  67. Weak approximation of averaged diffusion processes.
    With M. Miri.
    Stochastic Processes and their Applications, Vol.124, pp.475-504, 2014.
  68. 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.
  69. 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.
  70. Stochastic expansion for the pricing of call options with discrete dividends.
    With P. Etore.
    Applied Mathematical Finance, Vol.19(3), pp.233-264, 2012.
  71. 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.
  72. The tracking error rate of the Delta-Gamma hedging strategy.
    With A. Makhlouf.
    Mathematical Finance, Vol. 22(2), pp.277-309, 2012.
  73. Solving BSDE with adaptive control variate.
    With C. Labart.
    SIAM Journal on Numerical Analysis, Vol.48(1), pp.257-277, 2010.
  74. Time dependent Heston model.
    With E. Benhamou and M. Miri.
    SIAM Journal on Financial Mathematics, Vol.1, pp.289-325, 2010.
  75. L2-time regularity of BSDEs with irregular terminal functions.
    With A. Makhlouf.
    Stochastic Processes and their Applications, Vol.120, pp.1105-1132, 2010.
  76. 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.
  77. Stopped diffusion processes: overshoots and boundary correction.
    With S. Menozzi.
    Stochastic Processes and their Applications, Vol.120, pp.130-162, 2010.
  78. Smart expansion and fast calibration for jump diffusion.
    With E. Benhamou and M. Miri.
    Finance and Stochastics, Vol.13(4), pp.563-589, 2009.
  79. 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.
  80. 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.
  81. 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.
  82. Discrete sampling of functionals of Itô processes.
    With S. Menozzi.
    Séminaire de Probabilités, Vol.XL, pp.355-375, 2007. pdf file
  83. 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.
  84. 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
  85. 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.
  86. 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.
  87. Sequential control variates for functionals of Markov processes.
    With S. Maire.
    SIAM Journal on Numerical Analysis, Vol.43(3), pp.1256-1275, 2005.
  88. 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.
  89. 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.
  90. 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.
  91. 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.
  92. 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.
  93. 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.
  94. 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.
  95. 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.
  96. LAN property for ergodic diffusions with discrete observations.
    Annales de l'IHP (B) Probabilités et statistiques, Vol.38(5), pp.711-737, 2002.
  97. Euler schemes and half-space approximation for the simulation of diffusion in a domain.
    ESAIM Probability and Statistics, Vol.5, pp.261-297, 2001.
  98. Local asymptotic mixed normality property for elliptic diffusion: a Malliavin calculus approach.
    Bernoulli, Vol.7(6), pp.899-912, 2001.
  99. 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.
  100. Weak approximation of killed diffusion using Euler schemes.
    Stochastic Processes and their Applications, Vol.87, pp.167-197, 2000.
  101. Schéma d'Euler discret pour diffusion multidimensionnelle tuée.
    C.R. Acad. Sci. Paris, Série I, Vol.328, pp.515-520, 1999.
  102. Schéma d'Euler continu pour des diffusions tueés et options barriere.
    C.R. Acad. Sci. Paris, Série I, Vol.326, pp.1411-1414, 1998.

CHAPTERS/BOOKS

  1. On the simulation of extreme events with neural networks.
    With M. Allouche and S. Girard.
    In "handbook on statistics of extremes", edited by M. de Carvalho, R. Huser, P. Naveau, B.J. Reich. Chapman Hall / CRC, chapter 18, 2024. Preprint hal-04416809.
  2. Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear.
    HEP Book Cover 258 pages, in Chinese. Academic High Education Press, 2021.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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
  8. 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.
  9. 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.
  10. Fractional smoothness and applications in Finance.
    With S. Geiss.
    In G. Di Nunno and B. Oksendal, editors, AMaMeF. Springer Verlag, 2011.
    Available on HAL.
  11. 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): Professor at Evry University
  2. Jean-Philippe Lemor (2002-2005): Head of systematic strategies and hybrids at BNP Paribas
  3. Céline Labart (2004-2007): Associate Professor at Université de Savoie
  4. Azmi Makhlouf (2006-2009): Assistant Professor at ENIT, Tunisie
  5. Mohammed Miri (2006-2009): Quantitative Manager at Thomson Reuters
  6. Tarik Ben Zineb (2009-2012): Quantitative Analyst at Thomson Reuters
  7. Nicolas Landon (2009-2012): Quantitative Researcher at Millennium
  8. Romain Bompis (2010-2013): Quantitative Analyst at Natixis
  9. Gang Liu (2013-2016): Systematic macro trader at Schonfeld
  10. Qihao She (2013-2016): Project officer at Nanyang Technological University
  11. Gustaw Matulevicz (2014-2017): Portfolio Manager at WorldQuant
  12. Isaque Pimentel (2015-2018): Quantitative Specialist at Santander
  13. Uladzislau Stazhynki (2016-2018): currently Data Scientist at GSA Capital
  14. Margaux Faucher (2016-2019): Research Engineer at EDF
  15. Florian Bourgey (2017-2020): Quantitative Researcher at Bloomberg
  16. Maxime Grangereau (2017-2021): Rates strategist at Morgan Stanley
  17. Linda Chamakh (2018-2021): Quantitative Analyst at JP Morgan
  18. Dorinel Bastide (2019-2024): Senior Quantitative Analyst at BNP Paribas
  19. Michael Allouche (2020-2022): Senior Quant-Product Manager at Kaiko
  20. Manon Rivoire (2020-2024): Quantitative Analyst at BNP Paribas
  21. Charu Shardul (2020-2023) Research engineer at Ecole Polytechnique
  22. Wanqing Wang (2020-2023): Quantitative Analyst at BNP Paribas
  23. Célia Escribe (2021-2024): energy economics expert at World Bank
  24. Elisa Ndiaye (2021-): Quantitative research Analyst at BNP Paribas
  25. Jean Pachebat (2023-)
  26. Yushan Liu (2023-)
  27. Louis Latournerie (2024-)
  28. Lucas Morisset (2024-)
CMAP UMR 7641 Ecole Polytechnique and CNRS, Institut Polytechnique de Paris, Route de Saclay, 91128 Palaiseau Cedex France