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Markowitz portfolio selection for multivariate affine and quadratic Volterra models

Eduardo Abi Jaber , Enzo Miller , Huyên Pham
SIAM Journal on Financial Mathematics, 2021, 12 (1), pp.369-409. ⟨10.1137/20M1347449⟩
Journal articles hal-02877569v4
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Finite composite games: Equilibria and dynamics

Sylvain Sorin , Cheng Wan
Journal of Dynamics and Games, 2016, 3 (1), pp.101-120. ⟨10.3934/jdg.2016005⟩
Journal articles hal-02885860v1

Jeux de congestion dans les réseaux. Partie II. Efficience et dynamique

Cheng Wan
Techniques et sciences informatiques, 2013, 32 (9-10), pp.981-1005. ⟨10.3166/tsi.32.981-1005⟩
Journal articles istex hal-02885994v1

The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes

Imen Ben Tahar , Nizar Touzi , Mete H. Soner
SIAM Journal on Control and Optimization, 2007, 46 (5), pp.1779-1801. ⟨10.1137/050646044⟩
Journal articles hal-00703103v1
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Portfolio optimization in a default model under full/partial information

Thomas Lim , Marie-Claire Quenez
Preprints, Working Papers, ... hal-00468072v2
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Common structures in scientific theories

Jean Claude Dutailly
Preprints, Working Papers, ... hal-01003869v1
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Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Michel Fliess , Cédric Join
18th Mediterranean Conference on Control and Automation, MED'10, Jun 2010, Marrakech, Morocco. pp.CDROM
Conference papers inria-00479824v1
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On the Robustness of the Snell envelope

Pierre del Moral , Peng Hu , Nadia Oudjane , Bruno Rémillard
[Research Report] RR-7303, INRIA. 2010, pp.41
Reports inria-00487103v4

Robust recovery of the risk neutral probability density from option prices

Gabriel Turinici
Sci. Ann. “Al I Cuza” Univ. Iasi – Eco, 2009, LVI (1), pp.197-201
Journal articles hal-00467555v1
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Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces

Laurent Gosse
Nonlinear Analysis: Real World Applications, 2010, 11, pp.3139-3154. ⟨10.1016/j.nonrwa.2009.11.009⟩
Journal articles hal-00414210v1

Optimization strategies in credit portfolio management

Bijan Mohammadi , Benjamin Ivorra
Journal of Global Optimization, 2009, 43 (2), pp.415-427. ⟨10.1007/s10898-007-9221-6⟩
Journal articles hal-00385730v1

Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems

Iris Lucas , Michel Cotsaftis , Cyrille Bertelle
International journal of bifurcation and chaos in applied sciences and engineering , 2017, 27 (14), pp.1750219. ⟨10.1142/S0218127417502194⟩
Journal articles hal-02114933v1

Calibrage d'options pour trois modèles mixtes diffusions et sauts

François Quittard-Pinon , Rivo Randrianarivony
Finance, 2008, 29 (2), pp.103. ⟨10.3917/fina.292.0103⟩
Journal articles hal-02358428v1

Worldwide estimation of parameters for a simple reaction-diffusion model of urban growth

Juste Raimbault
International Land-use Symposium 2019, Dec 2019, Paris, France
Conference papers halshs-02406539v1

Optimal incentives in a limit order book: a SPDE control approach

Bastien Baldacci , Philippe Bergault
Preprints, Working Papers, ... hal-03941565v1

Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions

Philippe Bergault , Louis Bertucci , David Bouba , Olivier Guéant
Preprints, Working Papers, ... hal-03941578v1
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Etude de deux problèmes de contrôle stochastique : Put Américain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités

Maxence Jeunesse
Probabilités [math.PR]. Université de Marne la Vallée, 2013. Français. ⟨NNT : ⟩
Theses tel-00940506v1
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Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier , Jérôme Lelong
Methodology and Computing in Applied Probability, 2018, 20 (2), pp.611-641. ⟨10.1007/s11009-017-9579-y⟩
Journal articles hal-01214840v4

Improving cross-border capacity for near real-time balancing

Marie Girod , Efthymios Karangelos , Emily Little , Viktor Terrier , Jean-Yves Bourmaud , et al.
2022 18th International Conference on the European Energy Market (EEM), Sep 2022, Ljubljana, Slovenia. pp.1-6, ⟨10.1109/EEM54602.2022.9921034⟩
Conference papers hal-03894205v1
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A nonlinear partial integro-differential equation from mathematical finance

Frédéric Abergel , Rémi Tachet
Discrete and Continuous Dynamical Systems - Series A, 2010, 27 (3), pp.907-917. ⟨10.3934/dcds.2010.27.907⟩
Journal articles hal-00611962v1
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Modeling of the price microstructure and applications of stochastic control to algorithmic trading.

Pietro Fodra
Computational Finance [q-fin.CP]. Université Paris 7 - Diderot, 2015. English. ⟨NNT : ⟩
Theses tel-01161734v1
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Neural networks-based algorithms for stochastic control and PDEs in finance *

Maximilien Germain , Huyên Pham , Xavier Warin
A. Capponi. and C.A. Lehalle. Machine Learning And Data Sciences For Financial Markets: A Guide To Contemporary Practices, Cambridge University Press, In press
Book sections hal-03115503v2
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Linear-quadratic stochastic delayed control and deep learning resolution

William Lefebvre , Enzo Miller
Journal of Optimization Theory and Applications, 2021, 191 (1), pp.134-168. ⟨10.1007/s10957-021-01923-x⟩
Journal articles hal-03145949v3

What is the effect of labor displacement on management consultants?

Edouard Ribes
SN Business & Economics, 2021, 1 (2), ⟨10.1007/s43546-021-00049-6⟩
Journal articles hal-03153168v1
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A Platform to Support Collaboration and Agility in Logistics Web

Raphaël Oger , Frederick Benaben , Matthieu Lauras
IPIC 2016 - 3rd International Physical Internet Conference, Jun 2016, Atlanta, United States
Conference papers hal-02123699v1
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Relating Complexities for the Reflexive Study of Complex Systems

Juste Raimbault
Pumain D. Theories and Models of Urbanization. Lecture Notes in Morphogenesis., Springer, pp.27-41, 2020, Lecture Notes in Morphogenesis., ⟨10.1007/978-3-030-36656-8_3⟩
Book sections halshs-02430521v1
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Bayesian learning for the Markowitz portfolio selection problem

Carmine de Franco , Johann Nicolle , Huyên Pham
Preprints, Working Papers, ... hal-01923917v1
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Modélisation des interactions entre réseaux de transport et territoires : une approche par la co-évolution

Juste Raimbault
JJC Pacte-Citeres - Les capacités transformatives des réseaux dans la fabrique des territoires, Nov 2018, Grenoble, France
Conference papers halshs-01933916v1
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Solving some Stochastic Partial Differential Equations driven by Lévy Noise using two SDEs. *

Mohamed Mrad
Stochastics: An International Journal of Probability and Stochastic Processes, 2022
Journal articles hal-03211171v1
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Emergence of correlations between securities at short time scales

Sebastien Valeyre , Denis S Grebenkov , Sofiane Aboura
Physica A: Statistical Mechanics and its Applications, 2019, 526, pp.121026. ⟨10.1016/j.physa.2019.04.262⟩
Journal articles hal-02343888v1