Thibaut Mastrolia

Home Conferences Teaching CV 


Optimal make-take fees for market making regulation, (arXiv:1805.02741)
with O. El Euch, M. Rosenbaum and N. Touzi.

Contract theory in a VUCA world, (arXiv:1803.08951)
with N. Hernandez-Santibanez.

Accepted papers

Principal-Agent problem with common agency without communication, (2017). To appear in SIAM Journal of Financial Mathematics, (arXiv:1706.02936)
with Z. Ren.

Moral Hazard under Ambiguity, (2017). To appear in Journal of Optimization Theory and Applications (hal-01220331)
with D. Possamaï.

A tale of a Principal and many many Agents, (2017). To appear in Mathematics of Operations Research, (arXiv:1608.05226)
with R. Elie and D. Possamaï.

Density analysis of non-Markovian BSDEs and applications to biology and finance, (2017). To appear in Stochastic Processes and their Applications , (hal-01220331)

On the Malliavin differentiability of BSDEs, (2017). Annales de l’Institut Henri Poincaré série Probabilités et Statistiques, Vol. 53, No. 1, 464–492,
with D. Possamaï and A. Réveillac.

Density analysis of BSDEs, (2016). Annals of Probability, Vol. 44, No. 4, 2817-2857 ,
with D. Possamaï and A. Réveillac.

A note on the Malliavin-Sobolev spaces, (2016). Statistics and Probability Letters, 109:45-53.(arXiv:1501.01777).
with P. Imkeller, D. Possamaï and A. Réveillac.

Utility maximization with random horizon: a BSDE approach, (2015). International Journal of Theoretical and Applied Finance, 18(07)1550045. (arXiv:1503.02062)
with M. Jeanblanc, D. Possamaï and A. Réveillac.

PhD thesis

On the regularity of solutions to Backward SDE and applications to finance, (pdf) defended December 14th, 2015 at Paris-Dauphine University.

Technical reports

Exponential Utility Maximisation under Risk Constraints, (pdf), (in french)
with B. Bartoli and E. Pillin.

Dynamic risk measure, and quadratic BSDEs, (pdf), (in french)
with C. Guillaumie.