Recherche - INRIA - Institut National de Recherche en Informatique et en Automatique Accéder directement au contenu

Filtrer vos résultats

70 résultats
Page :
triés par
Image document

Variance Optimal Hedging for continuous time processes with independent increments and applications

 Stéphane Goutte , Nadia Oudjane , Francesco Russo
2009
Pré-publication, Document de travail inria-00437984v1
Image document

An elementary introduction to Malliavin calculus

 Vlad Bally
[Research Report] RR-4718, INRIA. 2003
Rapport inria-00071868v1
Image document

American Prices Embedded in European Prices

 Benjamin Jourdain , Claude Martini
[Research Report] RR-3799, INRIA. 1999
Rapport inria-00072860v1
Image document

Computation of Greeks using Malliavin's calculus in jump type market models

 Marie-Pierre Bavouzet , Marouen Messaoud
[Research Report] RR-5482, INRIA. 2005, pp.31
Rapport inria-00070525v1
Image document

An introduction to Utility Maximization with Partial Observation

 David Lefèvre
[Research Report] RR-4183, INRIA. 2001
Rapport inria-00072440v1
Image document

An Integral Representation Theorem of g-expectations

 Chen Zengjing , Agnès Sulem
[Research Report] RR-4284, INRIA. 2001
Rapport inria-00072303v1
Image document

Optimal Risk Control under Excess of Loss Reinsurance

 Mohamed Mnif , Agnès Sulem
[Research Report] RR-4317, INRIA. 2001
Rapport inria-00072270v1
Image document

A stochastic maximum principle for a stochastic differential game of a mean-field type

 John J. A. Hosking
2011
Pré-publication, Document de travail hal-00641090v2

À propos des mathématiques financières

 Agnès Sulem-Bialobroda , Joanna Jongwane
Interstices, 2008
Article dans une revue hal-01352614v1
Image document

A closed-form extension to the Black-Cox model

 Aurélien Alfonsi , Jérôme Lelong
International Journal of Theoretical and Applied Finance, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
Article dans une revue hal-00414280v2
Image document

Pricing Parisian options using Laplace transforms

 Céline Labart , Jérôme Lelong
Bankers Markets & Investors : an academic & professional review, 2009, 99, 24 p
Article dans une revue hal-00776703v1
Image document

Dynamic Optimisation of a Long Term Growth Rate for a Mixed Portfolio with Transaction Costs. The Logarithmic Utility Case

 Marianne Akian , Agnès Sulem , Michael I. Taksar
[Research Report] RR-3626, INRIA. 1999
Rapport inria-00073050v1
Image document

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

 Vlad Bally , Lucia Caramellino , Antonino Zanette
[Research Report] RR-4804, INRIA. 2003
Rapport inria-00071782v1
Image document

Numerical Computation of Theta in a Jump-Diffusion Model by Integration by Parts

 Delphine David , Nicolas Privault
[Research Report] RR-5829, INRIA. 2006, pp.32
Rapport inria-00070196v1
Image document

Probabilistic representation for solutions of an irregular porous media type equation: the degenerate case

 Viorel Barbu , Michael Roeckner , Francesco Russo
Probability Theory and Related Fields, 2011, ⟨10.1007/s00440-010-0291-x⟩
Article dans une revue inria-00410248v1
Image document

Minoration de densité pour les diffusions à sauts. Calcul de Malliavin pour processus de sauts purs, applications à la finance.

 Marie-Pierre Bavouzet
Mathématiques [math]. Université Paris Dauphine - Paris IX, 2006. Français. ⟨NNT : ⟩
Thèse tel-00144486v1
Image document

Robust Adaptive Importance Sampling for Normal Random Vectors

 Benjamin Jourdain , Jérôme Lelong
The Annals of Applied Probability, 2009, 19 (5), pp.1687-1718. ⟨10.1214/09-AAP595⟩
Article dans une revue hal-00334697v1
Image document

Infinite dimensional stochastic calculus via regularization

 Francesco Russo , Cristina Di Girolami
2010
Pré-publication, Document de travail inria-00473947v1
Image document

Clark-Ocone type formula for non-semimartingales with finite quadratic variation

 Cristina Di Girolami , Francesco Russo
Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2011, 349 (3-4), pp.209-214. ⟨10.1016/j.crma.2010.11.032⟩
Article dans une revue inria-00484993v2
Image document

The Central Limit Theorem for a non linear algorithm based on quantization

 Vlad Bally
[Research Report] RR-4629, INRIA. 2002
Rapport inria-00071956v1
Image document

Lower bounds for the density of the law of locally elliptic Itô processes

 Vlad Bally
[Research Report] RR-4887, INRIA. 2003
Rapport inria-00071695v1
Image document

Empirical semi-groups and calibration

 Vlad Bally , Emmanuel Temam
[Research Report] RR-4873, INRIA. 2003
Rapport inria-00071710v1
Image document

The Uncertain Volatility Model and American Options

 Claude Martini
[Research Report] RR-3697, INRIA. 1999
Rapport inria-00072972v1
Image document

American Option Prices as Unique Viscosity Solutions to Degenerated Hamilton-Jacobi-Bellman Equations

 Claude Martini
[Research Report] RR-3934, INRIA. 2000
Rapport inria-00072718v1
Image document

Backward Stochastic Differential Equations Associated to a Symmetric Markov Process

 Vlad Bally , Etienne Pardoux , L. Stoica
[Research Report] RR-4425, INRIA. 2002
Rapport inria-00072163v1
Image document

First order schemes in the numerical quantization method

 Vlad Bally , Gilles Pagès , Jacques Printems
[Research Report] RR-4424, INRIA. 2002
Rapport inria-00072164v1
Image document

On stochastic calculus related to financial assets without semimartingales

 Rosanna Coviello , Cristina Di Girolami , Francesco Russo
Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩
Article dans une revue inria-00564756v1
Image document

Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes

 Bernt Oksendal , Agnès Sulem
[Research Report] RR-7708, INRIA. 2011, pp.41
Rapport inria-00614279v1
Image document

Tree methods

 Jérôme Lelong , Antonino Zanette
Rama Cont. Encyclopedia of Quantitative Finance, John Wiley & Sons, Ltd., 7 p., 2010, ⟨10.1002/9780470061602.eqf12017⟩
Chapitre d'ouvrage hal-00776713v1
Image document

Integration by parts formula for locally smooth laws and applications to sensitivity computations

 Vlad Bally , Marie-Pierre Bavouzet , Marouen Messaoud
[Research Report] RR-5567, INRIA. 2005, pp.54
Rapport inria-00070439v1
Page :