EN FR
EN FR


previous Previous | up Home


Bibliography

Major publications by the team in recent years
  • 1Numerical Methods implemented in the Premia Software, 2009, Bankers, Markets, Investors, Introduction by Agnès 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.-P. 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.
  • 5El Hadj Aly. Dia, D. Lamberton.

    Continuity Correction for Barrier Options in Jump-Diffusion Models, in: SIAM Journal on Financial Mathematics, 2011, p. 866-900.
  • 6B. Jourdain.

    Probabilités et statistique, Ellipses, 2009.
  • 7B. 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+
  • 8A. Kohatsu-Higa, A. Sulem.

    Utility maximization in an insider influenced market, in: Mathematical Finance, 2006, vol. 16, no 1, p. 153–179.
  • 9D. Lamberton.

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

  • 12L. Abbas-Turki.

    Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance, Université Paris-Est, Marne la Vallée, September 21 2012, (Credinext grant).
  • 13A. Alfonsi.

    Discrétisation de processus et modélisation en finance, Université Paris-Est, Ecole des Ponts, December 14 2012, Habilitation à Diriger des Recherches.

Articles in International Peer-Reviewed Journals

  • 14A. Alfonsi, A. Schied, A. Slynko.

    Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem,, in: SIAM J. Finan. Math., 2012, vol. 3, p. 511-533.
  • 15V. Bally, M. Caballero, B. Fernandez, N. El-Karoui.

    Reflected BSDE's, PDE's and Variational Inequalities, in: Bernouilli, 2012, accepted for publication.
  • 16V. Bally, L. Caramellino.

    Positivity and lower bounds for the density of Wiener functionals, in: Potential Analysis, 2012, Accepted.

    http://arxiv.org/abs/1004.5269
  • 17N. Belaribi, F. Cuvelier, F. Russo.

    A probabilistic algorithm approximating solutions of a singular PDE of porous media type, in: Monte Carlo Methods and Applications, 2012, to appear.

    http://dx.doi.org/doi:10.1515/MCMA.2011.014
  • 18S. Goutte, N. Oudjane, F. Russo.

    Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets, in: Journal of Computational Finance., 2012, to appear.
  • 19M. Jeunesse, B. Jourdain.

    Regularity of the American put option in the Black-Scholes model with general discrete dividends, in: Stochastic Processes and their Applications, 2012, vol. 112, p. 3101-3125.

    http://hal.archives-ouvertes.fr/hal-00633199/fr/
  • 20B. Jourdain.

    Equivalence of the Poincaré inequality with a transport-chi-square inequality in dimension one, in: Electronic Communications in Probability, 2012, vol. 17, no 43, p. 1-12.

    http://dx.doi.org/10.1214/ECP.v17-2115
  • 21B. Jourdain, S. Meleard, W. A. Woyczynski.

    Lévy flights in evolutionary ecology, in: Journal of Mathematical Biology, 2012, vol. 64, no 4, p. 677-707.
  • 22B. Jourdain, M. Sbai.

    Coupling Index and Stocks, in: Quantitative Finance, 2012, vol. 12, no 5, p. 805-818.

    http://dx.doi.org/doi:10.1080/14697681003785959
  • 23B. Jourdain, M. Sbai.

    High order discretization schemes for stochastic volatility models, in: Journal of Computational Finance, 2012, accepted.
  • 24D. 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.
  • 25D. Lamberton, M. Mikou.

    Exercise boundary of the American put near maturity in an exponential Lévy model, in: Finance and Stochastics, 2013, to appear.
  • 26J. Lelong, A. Alfonsi.

    A closed-form extension to the Black-Cox model, in: International Journal of Theoretical and Applied Finance, 2012, vol. 15, no 8.
  • 27J. Lelong.

    Asymptotic normality of randomly truncated stochastic algorithms, in: ESAIM Probability and Statistics, 2012, to appear. [ DOI : 10.1051/ps/2011110 ]

    http://hal.archives-ouvertes.fr/hal-00464380/fr
  • 28B. Øksendal, A. Sulem.

    Forward-Backward Stochastic Differential games and stochastic control under model uncertainty, in: J. Optimization Theory and Applications, 2012.

    http://dx.doi.org/doi:10.1007/s10957-012-0166-7
  • 29B. Øksendal, A. Sulem.

    Singular stochastic Control and Optimal stopping with partial information of Itô-Lévy processes, in: SIAM J. Control & Optim., 2012, vol. 50, no 4, p. 2254–2287.

    http://epubs.siam.org/doi/abs/10.1137/100793931

Scientific Books (or Scientific Book chapters)

  • 30B. Øksendal, A. Sulem, T. Zhang.

    Optimal control of SPDEs with delay and time-advanced backward stochastic partial differential equations, in: Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-an Yan, T. Zhang, X. Zhou (editors), Interdisciplinary Mathematical Sciences, World Scientific, July 2012, no 13.

Internal Reports

References in notes
  • 47PREMIA: un outil d'évaluation pour les options, NextOption, 2006.
  • 48M. Akian, J. Menaldi, A. Sulem.

    On an Investment-Consumption model with transaction costs, in: SIAM J. Control and Optim., 1996, vol. 34, p. 329-364.
  • 49M. Akian, A. Sulem, M. Taksar.

    Dynamic optimisation of long term growth rate for a portfolio with transaction costs - The logarithmic utility case, in: Mathematical Finance, 2001, vol. 11, p. 153-188.
  • 50A. Alfonsi, A. Schied.

    Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models, in: SIAM J. Finan. Math., 2010, vol. 1, p. 490-522.
  • 51H. Amini, R. Cont, A. Minca.

    Resilience to Contagion in Financial Networks, 2010, Manuscript.

    http://ssrn.com/abstract=1865997
  • 52B. Arouna.

    Adaptative Monte Carlo method, a variance reduction technique, in: Monte Carlo Methods and Applications, 2004, vol. 10, no 1, p. 1-24.
  • 53B. Arouna.

    Robbins-Monro algorithms and Variance reduction in finance, in: Journal of Computational Finance, 2004, vol. 7, no 2, p. 35-61.
  • 54P. Artzner, F. Delbaen, J.-M. Eber, D. Heath.

    Coherent measures of risk, in: Math. Finance, 1999, vol. 9, no 3, p. 203-228.
  • 55V. Bally.

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

    http://hal.inria.fr/inria-00071868
  • 56V. 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.
  • 57P. Barrieu, N. El-Karoui.

    Optimal derivatives design under dynamic risk measures, in: Mathematics of Finance, Contemporary Mathematics (A.M.S. Proceedings), 2004, p. 13-26.
  • 58E. Bayraktar, S. Yao.

    Optimal stopping for Non-linear Expectations, in: Stochastic Processes and Their Applications, 2011, vol. 121, no 2, p. 185-211 and 212-264.
  • 59D. Bell.

    The Malliavin Calculus, Pitman Monographs and Surveys in Pure and Applied Math., Longman and Wiley, 1987, no 34.
  • 60T. Bielecki, J. Chancelier, S. Pliska, A. Sulem.

    Risk sensitive portfolio optimization with transaction costs, in: Journal of Computational Finance, 2004, vol. 8, p. 39-63.
  • 61F. Black, M. Scholes.

    The pricing of Options and Corporate Liabibilites, in: Journal of Political Economy, 1973, vol. 81, p. 637-654.
  • 62I. Elsanosi, B. Øksendal, A. Sulem.

    Some Solvable Stochastic control Problems with Delay, in: Stochastics and Stochastics Reports, 2000.
  • 63P. Etoré, B. Jourdain.

    Adaptive optimal allocation in stratified sampling methods, in: Methodology and Computing in Applied Probability, 2010, vol. 12, no 3, p. 335-360.
  • 64J. 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.
  • 65E. 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.
  • 66E. 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.
  • 67N. C. Framstad, B. Øksendal, A. Sulem.

    Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs, in: Journal of Mathematical Economics, 2001, vol. 35, p. 233-257.
  • 68M. Fritelli, E. R. Gianin.

    Putting order in risk measures, in: J. Banking & Finance, 2002, vol. 26, p. 1473-1486.
  • 69H. Föllmer, T. Knispel.

    Convex Capital Requirements for Large Porfolios, 2011, Preprint, Humboldt University, Berlin, to appear.
  • 70H. Föllmer, A. Schied.

    Convex measures of risk and trading constraints, in: Finance Stoch., 2002, vol. 6, no 4, p. 429-447.
  • 71J. Garnier, T.-W. Papanicolaou.

    Large deviations for a mean field model of systemic risk, 2012, manuscript.
  • 72P. Gassiat, H. Pham, M. Sirbu.

    Optimal investment on finite horizon with random discrete order flow in illiquid markets, in: International Journal of Theoretical and Applied Finance, 2010, vol. 14, p. 17-40.
  • 73B. Jourdain, J. Lelong.

    Robust adaptive importance sampling for normal random vectors, in: Annals of Applied Probability, 2009, vol. 19, no 5, p. 1687-1718.
  • 74Y. Kabanov, M. Safarian.

    Markets with Transaction Costs: Mathematical Theory, Springer Verlag, 2009.
  • 75R. Kawai.

    Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation, in: Monte Carlo Methods Appl., 2007, vol. 13, no 3, p. 197-217.
  • 76R. Kawai.

    Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation, in: Methodol. Comput. Appl. Probab., 2008, vol. 10, no 2, p. 199-223.
  • 77R. Kawai.

    Optimal importance sampling parameter search for Lévy processes via stochastic approximation, in: SIAM J. Numer. Anal., 2008, vol. 47, no 1, p. 293-307.
  • 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, J. Lelong.

    A framework for adaptive Monte-Carlo procedures, in: Monte Carlo Methods and Applications, 2011, vol. 17, no 1, p. 77-98.
  • 81J. Lelong.

    Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions, in: Statistics & Probability Letters, 2008, vol. 78, no 16, p. 2632-2636.
  • 82P. Malliavin.

    Stochastic calculus of variations and hypoelliptic operators, in: Proc. Inter. Symp. on Stoch. Diff. Equations, Kyoto, Wiley 1978, 1976, p. 195-263.
  • 83P. Malliavin, A. Thalmaier.

    Stochastic Calculus of variations in Mathematical Finance, Springer Finance, Springer, 2006.
  • 84A. Minca.

    Modélisation mathématique de la contagion de défaut; Mathematical modeling of financial contagion, Université Pierre et Marie Curie, Paris 6, September 5 2011, Adviser: R. Cont. Partnership with Mathfi. Current Position: Assistant Professor, School of Operations Research and Information Engineering, Cornell University.
  • 85S. Morris, H. S. Shin..

    Illiquidity component of credit risk, 2009, Working paper.
  • 86D. Nualart.

    The Malliavin Calculus and Related Topics, Springer–Verlag, 1995.
  • 87D. Ocone, I. Karatzas.

    A generalized representation formula with application to optimal portfolios, in: Stochastics and Stochastic Reports, 1991, vol. 34, p. 187-220.
  • 88D. 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.
  • 89N. 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.
  • 90M. Royer.

    Backward stochastic differential equations with jumps and related non-linear expectations, in: Stochastic Processes and Their Applications, 2006, vol. 116, p. 1358-1376.
  • 91F. Russo, P. Vallois.

    Stochastic calculus with respect to continuous finite quadratic variation processes, in: Stochastics and Stochastics Reports, 2000, vol. 70, p. 1–40.
  • 92H. S. Shin..

    Risk and Liquidity, Oxford University Press, 2010.
  • 93Y. Song, J.-A. Yan.

    An overview of representation theorems for static risk measures, in: Sci. China Ser. A,, 2009, vol. 52, no 7, p. 1412-1422.
  • 94A. Sulem.

    Dynamic Optimisation for a mixed Portfolio with transaction costs, in: Numerical methods in Finance, 1997, p. 165-180, edited by L.C.G. Rogers and D.Talay, Cambridge University Press, Publications of the Newton Institute.
  • 95A. Sulem, A. Zanette.

    Premia: A Numerical Platform for Pricing Financial Derivatives, in: Ercim News, July 2009, vol. 78.
  • 96U. Çetin, R. Jarrow, P. Protter.

    Liquidity risk and arbitrage pricing theory, in: Finance and Stochastics, 2004, vol. 8.

    http://dx.doi.org/10.1007/s00780-004-0123-x
  • 97B. 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.
  • 98B. Øksendal, A. Sulem.

    Optimal Consumption and Portfolio with both fixed and proportional transaction costs: A Combined Stochastic Control and Impulse Control Model, in: SIAM J. Control and Optim., 2002, vol. 40, p. 1765-1790.
  • 99B. Øksendal, A. Sulem.

    Optimal stochastic impulse control with delayed reaction, in: Applied Mathematics and Optimization, 2008, vol. 58, p. 243-255.
  • 100B. 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.
  • 101B. 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.


previous Previous | up Home