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18 documents classés par : Date Titre Nom du premier auteur Type de documents Date de dépôt

1 - 2

Stochastic Local Intensity Loss Models with Interacting Particle Systems Alfonsi A., Labart C., Lelong J. [hal-00786239 - version 1] (08/02/2013)

Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture Chancelier J.-P., Lelong J., Lapeyre B. Concurrency and Computation: Practice and Experience (2013) - [hal-00447845 - version 2]

A closed-form extension to the Black-Cox model Alfonsi A., Lelong J. International Journal of Theoretical and Applied Finance 15, 8 (2012) 1250053:1-30 [hal-00414280 - version 2]

Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme Alfonsi A., Jourdain B., Kohatsu-Higa A. [hal-00727430 - version 1] (2012-09-03)

Optimal execution and price manipulations in time-varying limit order books Alfonsi A., Infante Acevedo J. [hal-00687193 - version 1] (2012-04-12)

Capacitary measures for completely monotone kernels via singular control Alfonsi A., Schied A. [hal-00659421 - version 2] (2012-01-19)

Parametric multi-attribute utility functions for optimal profit under risk constraints Seck B., Andrieu L., De Lara M. Theory and Decision 72, 2 (2012) 257-271 [hal-00654574 - version 1]

A Mean-Reverting SDE on Correlation matrices Ahdida A., Alfonsi A. [hal-00617111 - version 2] (13/02/2012)

Some estimates in extended stochastic volatility models of Heston type Bally V., De Marco S. Risk and Decision Analysis 2, 4 (2011) 195-206 [hal-00676429 - version 1]

Convenient Multiple Directions of Stratification Jourdain B., Lapeyre B., Sabino P. International Journal of Theoretical and Applied Finance 14, 6 (2011) 867-897 [hal-00477403 - version 1]