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Collection : Universite Paris 13
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Dissertation/ Thesis

Improved Monte Carlo method for diffusion processes and applications in Finance ; Accélération de la méthode de Monte Carlo pour des processus de diffusions et applications en Finance

Subjects: Esscher transform; Heston model; Euler scheme

  • Source: https://theses.hal.science/tel-01288425 ; Numerical Analysis [math.NA]. Université Paris-Nord - Paris XIII, 2014. English. ⟨NNT : 2014PA132054⟩.

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Academic Journal

Recover Dynamic Utility from Observable Process: Application to the economic equilibrium

Subjects: [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]; [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN]; [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

  • Source: EISSN: 1945-497X ; SIAM Journal on Financial Mathematics ; https://hal.science/hal-01966312 ; SIAM Journal on

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Academic Journal

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Subjects: Characteristic function; Normal Inverse Gaussian distribution; Electricity markets

  • Source: ISSN: 1460-1559.

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Academic Journal

About Fokker-Planck equation with measurable coefficients and applications to the fast diffusion equation

Subjects: stochastic particle algorithm; non-linear diffusion; probabilistic representation

  • Source: ISSN: 1083-6489 ; Electronic Journal of Probability ; https://inria.hal.science/hal-00645483 ; Electronic Journal of Probability, 2012, 17 (84), pp.1-28.

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Academic Journal

Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case

Subjects: Singular degenerate porous media type equation; probabilistic representation; Stochastic analysis

  • Source: ISSN: 0178-8051.

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Academic Journal

On stochastic calculus related to financial assets without semimartingales

Subjects: hedging; $\mathcal{A}$-martingale; weak k-order Brownian motion

  • Source: ISSN: 0007-4497.

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Report

Infinite dimensional stochastic calculus via regularization

Subjects: Hedging theory without semimartingales; Quadratic variation; Ito formula

  • Source: https://inria.hal.science/inria-00473947 ; 2010.

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Report

On the Robustness of the Snell envelope

Subjects: Snell envelope; optimal stopping; American option pricing

  • Source: https://inria.hal.science/inria-00487103 ; [Research Report] RR-7303, INRIA. 2010, pp.41.

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A probabilistic algorithm approximating solutions of a singular PDE of porous media type

Subjects: Stochastic particle algortithm; porous media equation; monotonicity

  • Source: https://inria.hal.science/inria-00535806 ; 2010.

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Malliavin-Skorohod calculus and Paley-Wiener integral for covariance singular processes

Subjects: Malliavin-Skorohod calculus; singular covariance; symmetric integral

  • Source: https://inria.hal.science/inria-00540914 ; 2010.

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  • 1-10 of  11 results for ""Financial mathematics""