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51 résultats
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triés par
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A generative model for fBm with deep ReLU neural networks13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Mannheim (online), Germany
Communication dans un congrès
hal-04506755v1
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Approximative closed formulas for models with local/stochastic volatilityWorkshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences, Nov 2008, Linz, Austria
Communication dans un congrès
hal-00781448v1
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Solving BSDE with adaptive control variateSIAM Journal on Numerical Analysis, 2010, 48 (1), pp.257-277. ⟨10.1137/090755060⟩
Article dans une revue
hal-00373350v1
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Adaptive Monte Carlo scheme for the numerical approximation of BSDEs5th Colloquium on BDSEs and Finance, Jun 2008, Le Mans, France
Communication dans un congrès
hal-00781442v1
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Time dependent Heston modelSMAI 2009 - 4e Biennale Française des Mathématiques Appliquées et Industrielles, May 2009, La Colle sur Loup, France
Communication dans un congrès
hal-00781449v1
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Sharp estimates for the convergence of the density of the Euler scheme in small timeElectronic Communications in Probability, 2008, 13, pp.352-363. ⟨10.1214/ECP.v13-1393⟩
Article dans une revue
hal-00281365v1
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Analytical pricing formulas for models with local volatilities and jumpsWorkshop on Numerics and Stochastics, Aug 2008, Helsinki, Finland
Communication dans un congrès
hal-00781446v1
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Smart expansion and fast calibration for jump diffusionFinance and Stochastics, 2009, 13 (4), pp.563-589. ⟨10.1007/s00780-009-0102-3⟩
Article dans une revue
hal-00200395v2
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On the approximation of extreme quantiles with neural networksSFdS 2021 - 52èmes Journées de Statistique de la Société Française de Statistique, Jun 2021, Nice, France. pp.1-5
Communication dans un congrès
hal-03268702v1
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On the simulation of extreme events with neural networks2024
Pré-publication, Document de travail
hal-04416809v1
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EV-GAN: Simulation of extreme events with ReLU neural networksJournal of Machine Learning Research, 2022, 23 (150), pp.1--39
Article dans une revue
hal-03250663v3
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Estimation of the tail-index and extreme quantiles from a mixture of heavy-tailed distributionsRESIM 2021 - 13th International Workshop on Rare-Event Simulation, May 2021, Paris / Virtual, France. pp.1
Communication dans un congrès
hal-03235031v1
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Estimation of extreme quantiles from heavy-tailed distributions with neural networksEVA 2023 - 13th International Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications, Jun 2023, Milan, Italy
Communication dans un congrès
hal-04170136v1
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A generative model for fBm with deep ReLU neural networksWorkshop on Numerical Analysis of Stochastic Partial Differential Equations, Nov 2021, Marseille, France
Communication dans un congrès
hal-04506759v1
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EV-GAN: Simulation of extreme events with ReLU neural networksEcoSta 2022 - 5th International Conference on Econometrics and Statistics, Jun 2022, Kyoto, Japan
Communication dans un congrès
hal-03689703v1
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Error expansion for the discretization of Backward Stochastic Differential EquationsStochastic Processes and their Applications, 2007, 117 (7), pp.803-829. ⟨10.1016/j.spa.2006.10.007⟩
Article dans une revue
hal-00019463v1
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Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k2009
Pré-publication, Document de travail
hal-00373349v1
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Time dependent Heston modelSIAM Journal on Financial Mathematics, 2010, 1 (1), pp.289-325. ⟨10.1137/090753814⟩
Article dans une revue
hal-00370717v1
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Advanced Monte Carlo methods for barrier and related exotic optionsBensoussan A., Zhang Q. et Ciarlet P. Mathematical Modeling and Numerical Methods in Finance, Elsevier, pp.497-528, 2009, Handbook of Numerical Analysis, ⟨10.1016/S1570-8659(08)00012-4⟩
Chapitre d'ouvrage
hal-00319947v1
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Smart Expansions and fast calibration methods for jump diffusion modelsInternational Conference on New Directions in Quantitative Finance, May 2008, Paris, France
Communication dans un congrès
hal-00781444v1
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Stopped diffusion processes: boundary corrections and overshootStochastic Processes and their Applications, 2010, 120 (2), pp.130-162. ⟨10.1016/j.spa.2009.09.014⟩
Article dans une revue
hal-00157975v3
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Fractional smoothness and applications in FinanceGiulia Di Nunno and Bernt Øksendal. Advanced Mathematical Methods for Finance, Springer, pp.313-331, 2011, 978-3-642-18411-6. ⟨10.1007/978-3-642-18412-3_12⟩
Chapitre d'ouvrage
hal-00474803v1
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Learning extreme expected shortfall with neural networksICSDS 2023 - IMS International Conference on Statistics and Data Science, Dec 2023, Lisbon, Portugal
Communication dans un congrès
hal-04350510v1
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A generative model for fBm with deep ReLU neural networksJournal of Complexity, 2022, 73, pp.101667. ⟨10.1016/j.jco.2022.101667⟩
Article dans une revue
hal-03237854v4
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Generative modeling of extremes with neural networksSNSL 2023 - Workshop on Stochastic Numerics and Statistical Learning: Theory and Applications, KAUST, May 2023, KAUST, Saudi Arabia
Communication dans un congrès
hal-04506774v1
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Closed pricing formula via weak approximation of financial models5th European Congress of Mathematics, Jul 2008, Amsterdam, Netherlands
Communication dans un congrès
hal-00781445v1
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Discrete sampling of functionals of Itô processesCatherine Donati-Martin, Michel Emery, Alain Rouault, Christophe Stricker. Séminaire de probabilités XL, Springer, pp.355-374, 2007, Lecture Notes in Mathematics n°1899, ⟨10.1007/978-3-540-71189-6_19⟩
Chapitre d'ouvrage
hal-00168857v1
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The tracking error rate of the Delta-Gamma hedging strategyMathematical Finance, 2012, 22 (2), pp.277-309. ⟨10.1111/j.1467-9965.2010.00466.x⟩
Article dans une revue
hal-00401182v1
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A Sequential Monte-Carlo algorithm for solving BSDEsICIAM07 - 6th International Congress on Industrial Applied Mathematics, Jul 2007, Zurich, Switzerland. pp.1081801-1081802, ⟨10.1002/pamm.200700298⟩
Communication dans un congrès
hal-00393602v1
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LAMN property for hidden processes: the case of integrated diffusionsAnnales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2008, 44 (1), pp.104-128. ⟨10.1214/07-AIHP111⟩
Article dans une revue
hal-00159317v1
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