Linear credit risk models. Swiss Finance Institute Research Paper No. 16-34, 2016. ,
The Jacobi stochastic volatility model, Finance and Stochastics, vol.22, issue.3, pp.667-700, 2018. ,
URL : https://hal.archives-ouvertes.fr/hal-01338330
Cubature Kalman filters, IEEE Transactions on automatic control, vol.54, issue.6, pp.1254-1269, 2009. ,
A quantization tree method for pricing and hedging multidimensional american options, Mathematical Finance, vol.15, issue.1, pp.119-168, 2005. ,
URL : https://hal.archives-ouvertes.fr/inria-00072123
The proof of Tchakaloff's theorem, Proceedings of the American Mathematical Society, vol.134, issue.10, pp.3035-3040, 2006. ,
Cubature on Wiener space in infinite dimension, Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences, vol.464, pp.2493-2516, 2008. ,
Recombining tree approximations for optimal stopping for diffusions, SIAM Journal on Financial Mathematics, vol.9, issue.2, pp.602-633, 2018. ,
Polynomial diffusion models for life insurance liabilities, Insurance Mathematics and Economics, vol.71, pp.114-129, 2016. ,
Probability and Measure, Wiley Series in Probability and Statistics, 1995. ,
, Quantization goes polynomial, 2017.
A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations, Stochastic Processes and their Applications, vol.125, pp.2206-2255, 2015. ,
URL : https://hal.archives-ouvertes.fr/hal-00847789
Option pricing: A simplified approach, Journal of Financial Economics, vol.7, issue.3, pp.229-263, 1979. ,
Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing, SIAM Journal on Financial Mathematics, vol.3, issue.1, pp.534-571, 2012. ,
Second order discretization of backward SDEs and simulation with the cubature method, The Annals of Applied Probability, vol.24, issue.2, pp.652-678, 2014. ,
Polynomial processes in stochastic portfolio theory, Stochastic Processes and their Applications, vol.129, pp.1829-1872, 2019. ,
Polynomial processes and their applications to mathematical finance, Finance and Stochastics, vol.16, pp.711-740, 2012. ,
A jump-diffusion model for exchange rates in a target zone, Statistica Neerlandica, vol.55, issue.3, pp.270-300, 2001. ,
An interest rate model with upper and lower bounds, AsiaPacific Financial Markets, vol.9, pp.191-209, 2002. ,
Cubature methods for stochastic (partial) differential equations in weighted spaces, Stochastic Partial Differential Equations: Analysis and Computations, vol.1, pp.634-663, 2013. ,
Polynomial diffusions and applications in finance, Finance and Stochastics, vol.20, issue.4, pp.931-972, 2016. ,
, Polynomial jump-diffusion models, 2017.
Quadratic variance swap models, Journal of Financial Economics, vol.119, issue.1, pp.44-68, 2016. ,
Linear-rational term structure models, Journal of Finance, vol.72, issue.2, pp.655-704, 2017. ,
, Polynomial processes for power prices, 2018.
A diffusion limit for generalized correlated random walks, Journal of applied probability, vol.43, issue.1, pp.60-73, 2006. ,
Brownian Motion and Stochastic Calculus, 1991. ,
Error estimates for binomial approximations of game options, The Annals of Applied Probability, vol.16, issue.2, pp.984-1033, 2006. ,
Numerical Methods for Stochastic Control Problems in Continuous Time. Stochastic Modelling and Applied Probability, 2013. ,
Approximation and Weak Convergence Methods for Random Processes With Applications to Stochastic Systems Theory. Signal Processing, Optimization, and Control, 1984. ,
Diffusion models for exchange rates in a target zone, Mathematical Finance, vol.17, issue.2, pp.285-306, 2007. ,
, The adaptive patched particle filter and its implementation, 2015.
Valuing american options by simulation: A simple least-squares approach, Review of Financial Studies, pp.113-147, 2001. ,
Cubature on Wiener space, Proceedings: Mathematical, Physical and Engineering Sciences, vol.460, pp.169-198, 2004. ,
A note on Tchakaloff's theorem, Proceedings of the American Mathematical Society, vol.125, issue.8, pp.2409-2414, 1997. ,
Calculating the Greeks by cubature formulae, Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences, vol.462, pp.647-670, 2006. ,
Itô conditional moment generator and the estimation of short-rate processes, Journal of Financial Econometrics, vol.1, pp.250-271, 2003. ,