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Regularity of the American put option in the Black-Scholes model with general discrete dividends

 Maxence Jeunesse , Benjamin Jourdain
2011
Pré-publication, Document de travail hal-00633199v1

Efficient second order weak schemes for stochastic volatility models, Seminar on Stochastic Analysis

 Benjamin Jourdain , M. Sbai
Dalang, R and Dozzi, M and Russo, F. Random Fields and Applications VII, Progress in Probability, Vol. 67, Springer Basel, pp.395-410, 2013
Chapitre d'ouvrage hal-00964984v1
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Sur l'interprétation probabiliste de quelques équations aux dérivées partielles non linéaires

 Benjamin Jourdain
Modélisation et simulation. Ecole des Ponts ParisTech, 1998. Français. ⟨NNT : ⟩
Thèse tel-00005616v1
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Stochastic flows approach to Dupire's formula

 Benjamin Jourdain
2006
Pré-publication, Document de travail hal-00110196v1
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Does waste-recycling really improve Metropolis-Hastings Monte Carlo algorithm?

 Jean-François Delmas , Benjamin Jourdain
2009
Pré-publication, Document de travail hal-00117197v3
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Exact retrospective Monte Carlo computation of arithmetic average Asian options

 Benjamin Jourdain , Mohamed Sbai
Monte Carlo Methods and Applications, 2007, 13 (2), pp 135-171. ⟨10.1515/mcma.2007.008⟩
Article dans une revue hal-00141141v4
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Coupling Index and Stocks

 Benjamin Jourdain , Mohamed Sbai
2008
Pré-publication, Document de travail hal-00350652v2
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Convergence of a stochastic particle approximation for fractional scalar conservation laws

 Benjamin Jourdain , Raphaël Roux
Stochastic Processes and their Applications, 2011, 121 (5), pp.957-988. ⟨10.1016/j.spa.2011.01.012⟩
Article dans une revue hal-00493773v1

Erratum : Exact retrospective Monte Carlo computation of arithmetic average Asian options

 Benjamin Jourdain , Mohamed Sbai
Monte Carlo Methods and Applications, 2010, 16 (2), pp.191-193. ⟨10.1515/MCMA.2010.005⟩
Article dans une revue istex hal-00624324v1
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A Call-Put Duality for Perpetual American Options

 Aurélien Alfonsi , Benjamin Jourdain
Nonlinear Differential Equations and Applications, 2009, http://link.springer.com/article/10.1007%2Fs00030-009-0027-8
Article dans une revue hal-00121589v1
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General Duality for Perpetual American Options

 Aurélien Alfonsi , Benjamin Jourdain
International Journal of Theoretical and Applied Finance, 2008, http://www.worldscientific.com/doi/abs/10.1142/S0219024908004920
Article dans une revue hal-00121600v1
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Yet Another Approximation of the American Put

 Benjamin Jourdain , Claude Martini
[Research Report] RR-3851, INRIA. 2000
Rapport inria-00072805v1
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Existence, uniqueness and convergence of a particle approximation for the Adaptive Biasing Force process

 Benjamin Jourdain , Tony Lelièvre , Raphaël Roux
ESAIM: Mathematical Modelling and Numerical Analysis, 2010, 44 (05), pp.831-865. ⟨10.1051/m2an/2010044⟩
Article dans une revue hal-00370821v2
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Diffusion Monte Carlo method: numerical analysis in a simple case

 Tony Lelièvre , Mohamed El Makrini , Benjamin Jourdain
2007
Pré-publication, Document de travail hal-00136428v1
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A Moments and Strike Matching Binomial Algorithm for Pricing American Put Options

 Benjamin Jourdain , Antonino Zanette
[Research Report] RR-5569, INRIA. 2005, pp.15
Rapport inria-00070437v1
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Equivalence of the Poincaré inequality with a transport-chi-square inequality in dimension one

 Benjamin Jourdain
2012
Pré-publication, Document de travail hal-00711885v1
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American Prices Embedded in European Prices

 Benjamin Jourdain , Claude Martini
[Research Report] RR-3799, INRIA. 1999
Rapport inria-00072860v1

Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean

 Oumaima Bencheikh , Benjamin Jourdain
ESAIM: Proceedings and Surveys, 2019, CEMRACS 2017 - Numerical methods for stochastic models: control, uncertainty quantification, mean-field, 65, pp.219-235. ⟨10.1051/proc/201965219⟩
Article dans une revue hal-01877002v1
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Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor

 Roberta Flenghi , Benjamin Jourdain
2023
Pré-publication, Document de travail hal-04338337v1

One dimensional martingale rearrangement couplings

 Benjamin Jourdain , William Margheriti
ESAIM: Probability and Statistics, 2022, 26, pp.495-527. ⟨10.1051/ps/2022012⟩
Article dans une revue hal-03126853v1

Statistics and Risk Modeling

 Benjamin Jourdain , Agnès Sulem
De Gruyter, 31, pp.128, 2014, Systemic Risk (Special issue 1)
Ouvrages hal-01110659v1
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Central limit theorem for the stratified resampling mechanism

 Roberta Flenghi , Benjamin Jourdain
2023
Pré-publication, Document de travail hal-04338384v1

Central limit theorem over non-linear functionals of empirical measures: beyond the iid setting

 Roberta Flenghi , Benjamin Jourdain
2022
Pré-publication, Document de travail hal-03653469v1

Probabilités et statistique

 Benjamin Jourdain
Ellipses, 2016, 978-2340013964
Ouvrages hal-03133840v1
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A remark on the optimal transport between two probability measures sharing the same copula

 Aurélien Alfonsi , Benjamin Jourdain
Statistics and Probability Letters, 2014, dx.doi.org/10.1016/j.spl.2013.09.035
Article dans une revue hal-00844906v1

Martingale Wasserstein inequality for probability measures in the convex order

 Benjamin Jourdain , William Margheriti
Bernoulli, 2022, 28 (2), pp.830-858. ⟨10.3150/21-bej1368⟩
Article dans une revue hal-03021483v1
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Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures

 Oumaima Bencheikh , Benjamin Jourdain
Journal of Approximation Theory, 2022, 274 (105684), ⟨10.1016/j.jat.2021.105684⟩
Article dans une revue hal-03081116v1
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Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability

 Aurélien Alfonsi , Benjamin Jourdain
ESAIM: Probability and Statistics, 2020, 24, pp.703-717. ⟨10.1051/ps/2020013⟩
Article dans une revue hal-01934705v2
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Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

 Aurélien Alfonsi , Benjamin Jourdain , Arturo Kohatsu-Higa
The Annals of Applied Probability, 2014, http://dx.doi.org/10.1214/13-AAP941
Article dans une revue hal-00727430v1
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Implied volatility (also) is path-dependent

 Hervé Andrès , Alexandre Boumezoued , Benjamin Jourdain
2023
Pré-publication, Document de travail hal-04362544v1
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