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Bibliography

Major publications by the team in recent years
  • 1Numerical Methods implemented in the Premia Software, 2009, Bankers, Markets, Investors, Introduction by A. Sulem and A. Zanette.
  • 2A. Alfonsi, A. Fruth, A. Schied.

    Optimal execution strategies in limit order books with general shape functions, in: Quantitative Finance, 2009, vol. 10, no 2, p. 143-157, DOI:10.1080/14697680802595700.
  • 3A. Alfonsi, B. Jourdain.

    Exact volatility calibration based on a Dupire-type Call-Put duality for perpetual American options, in: Nonlinear Differential Equations and Applications, 2009, vol. 16, no 4, p. 523-554.
  • 4V. Bally, M.-. Bavouzet, M. Messaoud.

    Computations of Greeks using Malliavin Calculus in jump type market models, in: Annals of Applied Probability, 2007, vol. 17, p. 33-66.
  • 5B. Jourdain.

    Probabilités et statistique, Ellipses, 2009.
  • 6B. Jourdain, J. Lelong.

    Robust Adaptive Importance Sampling for Normal Random Vectors, in: Annals of Applied Probability, 2009, vol. 19, no 5, p. 1687-1718.

    http://arxiv.org/pdf/0811.1496v1+
  • 7A. Kohatsu-Higa, A. Sulem.

    Utility maximization in an insider influenced market, in: Mathematical Finance, 2006, vol. 16, no 1, p. 153–179.
  • 8D. Lamberton.

    Optimal stopping with irregular reward functions, in: Stochastic Processes and their Applications, 2009, vol. 119, p. 3253-3284.
  • 9D. Lamberton, M. Mikou.

    The critical exercise price for the American put in an exponential Lévy model, in: Finance & Stochastics, 2008, vol. 12, p. 561-581.
  • 10B. Øksendal, A. Sulem.

    Applied Stochastic Control of Jump Diffusions, Universitext, Second Edition, Springer, Berlin, Heidelberg, New York, 257 pages 2007.
  • 11B. Øksendal, A. Sulem.

    Maximum principles for optimal control of forward-backward stochastic differential equations with jumps, in: SIAM J. Control Optimization, 2009, vol. 48, no 5, p. 2845–2976.
Publications of the year

Doctoral Dissertations and Habilitation Theses

  • 12A. Ahdida.

    Wishart processes and correlation modeling in large dimension, ENPC, Université Paris-Est, December 1st 2011.
  • 13A. Minca.

    Modélisation mathématique de la contagion de défaut; Mathematical modeling of financial contagion, Université Pierre et Marie Curie (Paris 6), September 5 2011.
  • 14S. M. Ould Aly.

    Modélisation de la courbe de variance et modèles à volatilité stochastique ; Forward variance modelling and stochastic volatility models, Université Paris Est, June 16 2011.

Articles in International Peer-Reviewed Journal

  • 15V. Bally, M. Caballero, B. Fernandez, N. El-Karoui.

    Reflected BSDE's, PDE's and Variational Inequalities, in: Bernouilli, 2011, accepted for publication.
  • 16V. Bally, L. Caramellino.

    Positivity and lower bounds for the density of Wiener functionals, in: Stochastics, 2011, arXiv:1004.5269.
  • 17V. Bally, L. Caramellino.

    Riesz transform and integration by parts formulas for random variables, in: Stochastic Processes and their Applications, 2011, vol. 121, p. 1332-1355.
  • 18V. Bally, E. Clément.

    Integration by parts formulas and applications to equations with jumps, in: PTRF, 2011, no 151, p. 613-657.
  • 19V. Bally, E. Clément.

    Integration by parts formulas with respect to jump times and stochastic differential equations, in: Stochastic Analysis, 2011.
  • 20V. Bally, S. de Marco.

    Some estimates in extended Stochastic Volatility models of Heston type, in: Risk and Decision Analysis, 2011, vol. 2, no 4, p. 195-206.
  • 21V. Bally, B. Fernandez, A. Meda.

    Estimates of the probability Itô processes remain around a curve and applications in finance, in: Stoch. Proc. Appl., 2011, vol. 121, no 9, p. 2087-2113.
  • 22V. Bally, N. Fournier.

    Regularization properties od the 2D homogenuos Bolzmann equation without cutoff, in: PTRF, 2011, no 151, p. 659-704.
  • 23V. Barbu, M. Röckner, F. Russo.

    Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case, in: Probability Theory and Related Fields, 9 2011, vol. 151, no 1-2, p. 1–43.

    http://dx.doi.org/10.1007/s00440-010-0291-x
  • 24N. Belaribi, F. Cuvelier, F. Russo.

    A probabilistic algorithm approximating solutions of a singular PDE of porous media type, in: Monte Carlo Methods and Applications, 2011, to appear.

    http://dx.doi.org/doi:10.1515/MCMA.2011.014
  • 25L. Caramellino, A. Zanette.

    Monte Carlo Methods for pricing and hedging American Options in High Dimension, in: Risk and Decision Analysis, 2011, vol. 2, no 4, p. 207-220, ISSN: 1569-7371.
  • 26Z. Chen, A. Sulem.

    An integral representation theorem of g-expectations, in: Risk and Decision Analysis, 2011, p. 1-11, IOS Press.

    http://hal.inria.fr/inria-00072303_v1
  • 27R. Coviello, C. D. Girolami, F. Russo.

    On stochastic calculus related to financial assets without semimartingales, in: Bulletin Scienses Mathématiques, 7 2011, vol. 135, p. 733-774.
  • 28E. H. J. Dia, D. Lamberton.

    Connecting discrete and continuous lookback or hindsight options in exponential Lévy models, in: Advances in Applied Probability, 2011, vol. 43.
  • 29E. H. J. Dia, D. Lamberton.

    Continuity Correction for Barrier Options in Jump-Diffusion Models, in: SIAM Journal on Financial Mathematics, 2012, to appear.
  • 30P. Etoré, G. Fort, B. Jourdain, É. Moulines.

    On adaptive stratification, in: Ann. Oper. Res., 2011, vol. 189, no 1, p. 127-154.
  • 31M. Gaudenzi, A. Zanette.

    Pricing cliquet options by tree methods, in: Computational Management Science, 2011, vol. 8, p. 125-135, ISSN: 1619-697X.
  • 32C. D. Girolami, F. Russo.

    Clark-Ocone type formula for non-semimartingales with finite quadratic variation, in: Comptes Rendus de l'Académie des Sciences., 1 2011, vol. 349, no 3-4, p. 209-214.
  • 33S. Goutte, N. Oudjane, F. Russo.

    Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets, in: Journal of Computational Finance., 2011, to appear.
  • 34B. Jourdain, A. Kohatsu-Higa.

    A review of recent results on approximation of solutions of stochastic differential equations, in: Progress in Probability, 2011, vol. 65, p. 141-165.
  • 35B. Jourdain, B. Lapeyre, P. Sabino.

    Convenient Multiple Directions of Stratification, in: International Journal of Theoretical and Applied Finance, 2011, vol. 14, no 6, p. 867-897.

    http://dx.doi.org/10.1142/S0219024911006772
  • 36B. Jourdain, R. Roux.

    Convergence of a stochastic particle approximation for fractional scalar conservation laws, in: Stochastic Processes and their Applications, 2011, vol. 121, p. 957-988.
  • 37B. Jourdain, M. Sbai.

    High order discretization schemes for stochastic volatility models, in: Journal of Computational Finance, 2011, accepted.
  • 38B. Jourdain, M. Vellekoop.

    Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends, in: SIAM Journal on Financial Mathematics, 2011, vol. 2, p. 538-561.

    http://dx.doi.org/DOI:10.1137/100800889
  • 39M. Kobylanski, M.-C. Quenez, E. Rouy-Mironescu.

    Optimal multiple stopping time problem, in: The Annals of Applied Probability, 2011, vol. 21, no 4, p. 1365-1399.

    http://dx.doi.org/DOI:10.1214/10-AAP727
  • 40D. Lamberton, M. Mikou.

    The smooth-fit property in an exponential Lévy model, in: Journal of Applied Probability, March 2012, vol. 49, no 1, to appear.
  • 41B. Lapeyre, J. Lelong.

    A framework for adaptive Monte-Carlo procedures, in: Monte Carlo Methods and Applications, 2011, vol. 17, no 1.
  • 42J. Lelong.

    Asymptotic normality of randomly truncated stochastic algorithms, in: ESAIM: Probability and Statistics, 2011.

    http://hal.archives-ouvertes.fr/hal-00464380/fr
  • 43T. Lim, M.-C. Quenez.

    Exponential utility maximization in an incomplete market with defaults, in: Electronic Journal of Probability, 2011, vol. 16, no 53, p. 1434-1464.
  • 44B. Øksendal, A. Sulem, T. Zhang.

    Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations, in: Advances in Applied Probability, 2011, vol. 43, p. 572-596.

    http://hal.inria.fr/inria-00560229/en
  • 45B. Øksendal, A. Sulem.

    Portfolio optimization under model uncertainty and BSDE games, in: Quantitative Finance, 2011, vol. 11, no 11, p. 1665-1674.

    http://dx.doi.org/DOI:10.1080/14697688.2011.615219, http://hal.inria.fr/inria-00570532/en

Scientific Books (or Scientific Book chapters)

  • 46A. Alfonsi.

    An introduction to the multiname modelling in credit risk, in: Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, T. Bielecki, D. Brigo, F. Patras (editors), Bloomberg Press, Wiley, 2011.
  • 47R. Dalang, M. Dozzi, F. Russo.

    Seminar on stochastic analysis, random fields and applications VI, Progress in Probability 63, Birkäuser Verlag, 5 2011, vol. 63.
  • 48B. Øksendal, A. Sulem, T. Zhang.

    Optimal control of SPDEs with delay and time-advanced backward stochastic partial differential equations, in: Stochastic Analysis with Financial Applications, 2011, vol. 65, to appear.
  • 49B. Øksendal, A. Sulem.

    Optimal control of SPDEs with delay and time-advanced backward stochastic partial differential equations, in: Stochastic Analysis with Financial Applications, April 2011, vol. 65, p. 179-189.

    http://hal.inria.fr/inria-00573117/en

Internal Reports

Other Publications

  • 60M. Jeunesse, B. Jourdain.

    Regularity of the American put option in the Black-Scholes model with general discrete dividends, october 2011, Preprint submitted.

    http://hal.archives-ouvertes.fr/hal-00633199/fr/
  • 61D. Lamberton, M. Mikou.

    Exercise boundary of the American put near maturity in an exponential Levy model, 2011, submitted for publication.
References in notes
  • 62PREMIA: un outil d'évaluation pour les options, NextOption, 2006.
  • 63A. Alfonsi.

    On the discretization schemes for the CIR (and Bessel squared) processes, in: Monte Carlo Methods and Applications, 2005, vol. 11, no 4, p. 355–384.
  • 64V. Bally.

    An elementary introduction to Malliavin calculus, Inria, Rocquencourt, February 2003, no 4718.

    http://hal.inria.fr/inria-00071868
  • 65V. Bally, L. Caramellino, A. Zanette.

    Pricing American options by a Monte Carlo method using a Malliavin calculus approach, in: Monte Carlo methods and applications, 2005, vol. 11, no 2, p. 97–133.
  • 66D. Bell.

    The Malliavin Calculus, Pitman Monographs and Surveys in Pure and Applied Math., Longman and Wiley, 1987, no 34.
  • 67F. Black, E. Derman, W. Toy.

    A one factor model of interest rates and its application to treasury bond options, in: Financial Analysts Journal, January-February 1990.
  • 68A. Brace, D. Gatarek, M. Musiela.

    The Market Model of Interest Rate Dynamics, in: Mathematical Finance, 1997, vol. 7, p. 127-156.
  • 69E. Clément, D. Lamberton, A. Kohatsu-Higa.

    A duality approach for the weak approximation of stochastic differential equations, in: Annals of Applied Probability, August 2006, vol. 16, no 3, p. 1124-1154.
  • 70J. C. Cox, J. E. Ingersoll, S. A. Ross.

    A Theory of the Term Structure of Interest Rate, in: Econometrica, 1985, vol. 53, p. 363-384.
  • 71J. D. Fonseca, M. Messaoud.

    Libor Market Model in Premia: Bermudan pricer, Stochastic Volatility and Malliavin calculus, in: Bankers, Markets, Investors, March-April 2009, vol. Special report: Numerical Methods implemented in the Premia Software, no 99, p. 44–57.
  • 72E. Fournié, J.-M. Lasry, J. Lebuchoux, P.-L. Lions.

    Applications of Malliavin calculus to Monte Carlo methods in Finance, II, in: Finance & Stochastics, 2001, vol. 2, no 5, p. 201-236.
  • 73E. Fournié, J.-M. Lasry, J. Lebuchoux, P.-L. Lions, N. Touzi.

    An application of Malliavin calculus to Monte Carlo methods in Finance, in: Finance & Stochastics, 1999, vol. 4, no 3, p. 391-412.
  • 74J. Guyon.

    Euler scheme and tempered distributions, in: Stochastic Processes and their Applications, 2006, vol. 116, no 6, p. 877–904.
  • 75J. Hull, A. White.

    Numerical Procedures for Implementing Term Structure Models I:Single Factor Models, in: Journal of Derivatives, 1994, vol. 2, p. 7-16.
  • 76B. Jourdain, M. Sbai.

    Exact retrospective Monte Carlo computation of arithmetic average Asian options, in: Monte Carlo methods and Applications, 2007, vol. 13, no 2, p. 135–171.
  • 77A. Kebaier.

    Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing, in: The Annals of Applied Probability, 2005, vol. 15, no 4, p. 2681–2705.
  • 78C. Labart, J. Lelong.

    Pricing Parisian Options using Laplace transforms, in: Bankers, Markets, Investors, March-April 2009, vol. Special report: Numerical Methods implemented in the Premia Software, no 99, p. 29–43.
  • 79D. Lamberton, B. Lapeyre, A. Sulem.

    Application of Malliavin Calculus to Finance, in: special issue of Mathematical Finance, January 2003.
  • 80B. Lapeyre, A. Sulem, D. Talay.

    Simulation of Financial Models: Mathematical Foundations and Applications., Cambridge University Press, 2009, to appear.
  • 81P. Malliavin.

    Stochastic calculus of variations and hypoelliptic operators, in: Proc. Inter. Symp. on Stoch. Diff. Equations, Kyoto, Wiley 1978, 1976, p. 195-263.
  • 82P. Malliavin, A. Thalmaier.

    Stochastic Calculus of variations in Mathematical Finance, Springer Finance, Springer, 2006.
  • 83D. Nualart.

    The Malliavin Calculus and Related Topics, Springer–Verlag, 1995.
  • 84D. Ocone, I. Karatzas.

    A generalized representation formula with application to optimal portfolios, in: Stochastics and Stochastic Reports, 1991, vol. 34, p. 187-220.
  • 85D. Ocone.

    A guide to the stochastic calculus of variations, in: Stochastic Analysis and Related Topics, H. Koerzlioglu, S. Üstünel (editors), Lecture Notes in Math.1316, 1987, p. 1-79.
  • 86N. Privault, X. Wei.

    Calibration of the LIBOR market model - implementation in Premia, in: Bankers, Markets, Investors, March-April 2009, vol. Special report: Numerical Methods implemented in the Premia Software, no 99, p. 20–29.
  • 87F. Russo, P. Vallois.

    Stochastic calculus with respect to continuous finite quadratic variation processes, in: Stochastics and Stochastics Reports, 2000, vol. 70, p. 1–40.
  • 88A. Sulem, A. Zanette.

    Premia: A Numerical Platform for Pricing Financial Derivatives, in: Ercim News, July 2009, vol. 78.
  • 89O. Vasicek.

    An Equilibrium Characterisation of Term Strucuture, in: Journal of Financial Economics, 1977, vol. 5, p. 177-188.
  • 90B. Øksendal, A. Sulem.

    Risk indifference pricing in jump diffusion markets, in: Mathematical Finance, 2009, vol. 19, no 4, p. 619–637.
  • 91B. Øksendal.

    An Introduction to Malliavin Calculus with Applications to Economics, in: Lecture Notes from a course given 1996 at the Norwegian School of Economics and Business Administration (NHH), September 1996, NHH Preprint Series.