Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Eduardo Abi Jaber
,
Enzo Miller
,
Huyên Pham
Journal articles
hal-02877569v4
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Finite composite games: Equilibria and dynamics
Sylvain Sorin
,
Cheng Wan
Journal articles
hal-02885860v1
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Jeux de congestion dans les réseaux. Partie II. Efficience et dynamique
Cheng Wan
Journal articles
istex
hal-02885994v1
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The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
Imen Ben Tahar
,
Nizar Touzi
,
Mete H. Soner
Journal articles
hal-00703103v1
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Portfolio optimization in a default model under full/partial information
Thomas Lim
,
Marie-Claire Quenez
2010
Preprints, Working Papers, ...
hal-00468072v2
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Common structures in scientific theories
Jean Claude Dutailly
2014
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
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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
Journal articles
hal-00414210v1
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Optimization strategies in credit portfolio management
Bijan Mohammadi
,
Benjamin Ivorra
Journal articles
hal-00385730v1
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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
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Calibrage d'options pour trois modèles mixtes diffusions et sauts
François Quittard-Pinon
,
Rivo Randrianarivony
Journal articles
hal-02358428v1
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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
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Optimal incentives in a limit order book: a SPDE control approach
Bastien Baldacci
,
Philippe Bergault
2023
Preprints, Working Papers, ...
hal-03941565v1
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Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
Philippe Bergault
,
Louis Bertucci
,
David Bouba
,
Olivier Guéant
2023
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
Journal articles
hal-01214840v4
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Improving cross-border capacity for near real-time balancing
Marie Girod
,
Efthymios Karangelos
,
Emily Little
,
Viktor Terrier
,
Jean-Yves Bourmaud
,
et al.
Conference papers
hal-03894205v1
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A nonlinear partial integro-differential equation from mathematical finance
Frédéric Abergel
,
Rémi Tachet
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 articles
hal-03145949v3
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What is the effect of labor displacement on management consultants?
Edouard Ribes
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
2018
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
Journal articles
hal-02343888v1
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