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Bibliography

Major publications by the team in recent years
  • 1Numerical Methods implemented in the Premia Software, 2009, Bankers, Markets, Investors, Introduction by Agnès Sulem and A. Zanette.
  • 2A. Alfonsi.

    High order discretization schemes for the CIR process: Application to affine term structure and Heston models, in: Stochastic Processes and their Applications, 2010, vol. 79, pp. 209-237.

    http://www.ams.org/journals/mcom/2010-79-269/S0025-5718-09-02252-2/home.html
  • 3A. Alfonsi, A. Fruth, A. Schied.

    Optimal execution strategies in limit order books with general shape functions, in: Quantitative Finance, 2009, vol. 10, no 2, pp. 143-157, DOI:10.1080/14697680802595700.
  • 4A. Alfonsi, B. Jourdain.

    Exact volatility calibration based on a Dupire-type Call-Put duality for perpetual American options, in: Nonlinear Differential Equations and Applications, 2009, vol. 16, no 4, pp. 523-554.
  • 5A. Alfonsi, A. Schied.

    Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models, in: SIAM J. Finan. Math., 2010, vol. 1, no 1, pp. 490-522, dx.doi.org/10.1137/090762786.

    http://epubs.siam.org/doi/abs/10.1137/090762786
  • 6V. Bally, M.-P. Bavouzet, M. Messaoud.

    Computations of Greeks using Malliavin Calculus in jump type market models, in: Annals of Applied Probability, 2007, vol. 17, pp. 33-66.
  • 7El Hadj Aly. Dia, D. Lamberton.

    Continuity Correction for Barrier Options in Jump-Diffusion Models, in: SIAM Journal on Financial Mathematics, 2011, pp. 866-900.
  • 8M. Jeunesse, B. Jourdain.

    Regularity of the American put option in the Black-Scholes model with general discrete dividends, in: Stochastic Processes and their Applications, 2012, vol. 112, pp. 3101-3125, DOI:10.1016/j.spa.2012.05.009.

    http://hal.archives-ouvertes.fr/hal-00633199
  • 9B. Jourdain.

    Probabilités et statistique, Ellipses, 2009.
  • 10B. Jourdain, J. Lelong.

    Robust Adaptive Importance Sampling for Normal Random Vectors, in: Annals of Applied Probability, 2009, vol. 19, no 5, pp. 1687-1718.

    http://arxiv.org/pdf/0811.1496v1+
  • 11A. Kohatsu-Higa, A. Sulem.

    Utility maximization in an insider influenced market, in: Mathematical Finance, 2006, vol. 16, no 1, pp. 153–179.
  • 12D. Lamberton.

    Optimal stopping with irregular reward functions, in: Stochastic Processes and their Applications, 2009, vol. 119, pp. 3253-3284.
  • 13B. Øksendal, A. Sulem, T. Zhang.

    Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations, in: Advances in Applied Probability, 2011, vol. 43, pp. 572 - 596.
  • 14B. Øksendal, A. Sulem.

    Applied Stochastic Control of Jump Diffusions, Universitext, Second Edition, Springer, Berlin, Heidelberg, New York, 257 pages 2007.
  • 15B. Øksendal, A. Sulem.

    Maximum principles for optimal control of forward-backward stochastic differential equations with jumps, in: SIAM J. Control Optimization, 2009, vol. 48, no 5, pp. 2845–2976.
Publications of the year

Doctoral Dissertations and Habilitation Theses

  • 16A. Bouselmi.

    Options américaines et processus de Lévy, Université Paris-Est, December 2013.

    http://hal.inria.fr/tel-00944239
  • 17J. A. Infante Acevedo.

    Méthodes et modèles numériques appliqués aux risques du marché et à l'évaluation financière, Université Paris-Est, December 2013.

    http://hal.inria.fr/tel-00937131
  • 18M. Jeunesse.

    Etude de deux problèmes de contrôle stochastique : Put Américain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités, Université de Marne la Vallée, January 2013, Redaction : Novembre 2012.

    http://hal.inria.fr/tel-00940506

Articles in International Peer-Reviewed Journals

  • 19A. Ahdida, A. Alfonsi.

    A Mean-Reverting SDE on Correlation matrices, in: Stochastic Processes and their Applications, 2013, vol. 123, no 4, pp. 1472-1520. [ DOI : 10.1016/j.spa.2012.12.008 ]

    http://hal.inria.fr/hal-00617111
  • 20A. Ahdida, A. Alfonsi.

    Exact and high order discretization schemes for Wishart processes and their affine extensions, in: Annals of Applied Probability, 2013, vol. 23, no 3, pp. 1025-1073. [ DOI : 10.1214/12-AAP863 ]

    http://hal.inria.fr/hal-00491371
  • 21A. Alfonsi.

    Strong convergence of some drift implicit Euler scheme. Application to the CIR processg, in: Statistics & probability letters, 2013, vol. 83, no 2, pp. 602-607. [ DOI : 10.1016/j.spl.2012.10.034 ]

    http://hal.inria.fr/hal-00709202
  • 22A. Alfonsi, C. Labart, J. Lelong.

    Stochastic Local Intensity Loss Models with Interacting Particle Systems, in: Mathematical Finance, December 2013, pp. 1-29. [ DOI : 10.1111/mafi.12059 ]

    http://hal.inria.fr/hal-00786239
  • 23A. Alfonsi, A. Schied.

    Capacitary measures for completely monotone kernels via singular control, in: SIAM J. Control Optim., 2013, vol. 51, no 2, pp. 1758-1780. [ DOI : 10.1137/120862223 ]

    http://hal.inria.fr/hal-00659421
  • 24V. Bally, L. Caramellino.

    Positivity and lower bounds for the density of Wiener functionals, in: Potential Analysis, 2013, vol. 39, no 2, pp. 141-168. [ DOI : 10.1007/s11118-012-9324-7 ]

    http://hal.inria.fr/hal-00936148
  • 25C. Fontana, B. Øksendal, A. Sulem.

    Viability and martingale measures under partial information, in: Methodology and Computing in Applied Probability, 2014, 26 p. [ DOI : 10.1007/s11009-014-9397-4 ]

    http://hal.inria.fr/hal-00789517
  • 26B. Jourdain, M. Sbai.

    High order discretization schemes for stochastic volatility models, in: Journal of Computational Finance, 2013, vol. 17, no 2, pp. 113-165.

    http://hal.inria.fr/hal-00409861
  • 27O. Kudryavtsev, A. Zanette.

    Efficient pricing of swing options in Lévy-driven models, in: Quantitative Finance, April 2013, vol. 13, no 4, pp. 627-635. [ DOI : 10.1080/14697688.2012.717708 ]

    http://hal.inria.fr/hal-00918582
  • 28C. Labart, J. Lelong.

    A Parallel Algorithm for solving BSDEs, in: Monte Carlo Methods and Applications, March 2013, vol. 19, no 1, pp. 11-39. [ DOI : 10.1515/mcma-2013-0001 ]

    http://hal.inria.fr/hal-00680652
  • 29D. Lamberton, M. Zervos.

    On the Optimal Stopping of a One-dimensional Diffusion, in: Electronic Journal of Probability, February 2013, vol. 18, no 34, pp. 1-49. [ DOI : 10.1214/EJP.v18-2182 ]

    http://hal.inria.fr/hal-00720149
  • 30J. Lelong.

    Asymptotic normality of randomly truncated stochastic algorithms, in: ESAIM: Probability and Statistics, February 2013, vol. 17, pp. 105-119. [ DOI : 10.1051/ps/2011110 ]

    http://hal.inria.fr/hal-00464380
  • 31A. Minca, A. Sulem.

    Optimal Control of Interbank Contagion Under Complete Information, in: Statistics and Risk Modeling, 2014, vol. 31, no 1, pp. 1001-1026. [ DOI : 10.1524/Strm.2014.5005 ]

    http://hal.inria.fr/hal-00916695
  • 32M.-C. Quenez, A. Sulem.

    BSDEs with jumps, optimization and applications to dynamic risk measures, in: Stochastic Processes and their Applications, March 2013, vol. 123, no 8, pp. 3328-3357. [ DOI : 10.1016/j.spa.2013.02.016 ]

    http://hal.inria.fr/hal-00709632
  • 33X. Wei, M. Gaudenzi, A. Zanette.

    Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model, in: North American Actuarial Journal, September 2013, vol. 17, no 3, pp. 229-252. [ DOI : 10.1080/10920277.2013.826126 ]

    http://hal.inria.fr/hal-00721963
  • 34B. Øksendal, A. Sulem, T. Zhang.

    Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection, in: Mathematics of Operations Research, June 2013.

    http://hal.inria.fr/hal-00919136

Scientific Books (or Scientific Book chapters)

  • 35C. Fontana, W. Runggaldier.

    Diffusion-based models for financial markets without martingale measures, in: Risk Measures and Attitudes, F. Biagini, A. Richter, H. Schlesinger (editors), EAA Series, Springer, 2013, pp. 45-81. [ DOI : 10.1007/978-1-4471-4926.2_4 ]

    http://hal.inria.fr/hal-00853874

Internal Reports

  • 36L. Badouraly Kassim, J. Lelong, I. Loumrhari.

    Importance sampling for jump processes and applications to finance, July 2013.

    http://hal.inria.fr/hal-00842362
  • 37P. Briand, C. Labart.

    Simulation of BSDEs by Wiener Chaos Expansion, March 2013.

    http://hal.inria.fr/hal-00688523
  • 38R. Dumitrescu, M.-C. Quenez, A. Sulem.

    Double barrier reflected BSDEs with jumps and generalized Dynkin games, Inria, October 2013, no RR-8381.

    http://hal.inria.fr/hal-00873688
  • 39R. Dumitrescu, M.-C. Quenez, A. Sulem.

    Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities, Inria, January 2013, no RR-8213, 23 p.

    http://hal.inria.fr/hal-00780601
  • 40P. Etoré, S. Labbé, J. Lelong.

    Long time behaviour of a stochastic nano particle, January 2014.

    http://hal.inria.fr/hal-00680775
  • 41C. Fontana.

    A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing, Inria, April 2013, no RR-8292.

    http://hal.inria.fr/hal-00818487
  • 42M.-C. Quenez, A. Sulem.

    Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, Inria, January 2013, no RR-8211, 27 p.

    http://hal.inria.fr/hal-00780175

Other Publications

References in notes
  • 55PREMIA: un outil d'évaluation pour les options, NextOption, 2006.
  • 56M. Akian, J. Menaldi, A. Sulem.

    On an Investment-Consumption model with transaction costs, in: SIAM J. Control and Optim., 1996, vol. 34, pp. 329-364.
  • 57M. Akian, A. Sulem, M. Taksar.

    Dynamic optimisation of long term growth rate for a portfolio with transaction costs - The logarithmic utility case, in: Mathematical Finance, 2001, vol. 11, pp. 153-188.
  • 58A. Alfonsi, A. Schied.

    Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models, in: SIAM J. Finan. Math., 2010, vol. 1, pp. 490-522.
  • 59H. Amini, R. Cont, A. Minca.

    Resilience to Contagion in Financial Networks, in: Mathematical Finance, 2013.

    http://dx.doi.org/10.1111/mafi.12051
  • 60H. Amini, A. Minca, H. Kebaier, A. Sulem.

    Optimal equity infusions in interbank networks with partial observation, 2012.
  • 61V. Bally.

    An elementary introduction to Malliavin calculus, Inria, Rocquencourt, February 2003, no 4718.

    http://hal.inria.fr/inria-00071868
  • 62V. Bally, L. Caramellino.

    Regularity of probability laws by using an interpolation method, 2012.

    http://hal.archives-ouvertes.fr/hal-00926415
  • 63V. Bally, L. Caramellino, A. Zanette.

    Pricing American options by a Monte Carlo method using a Malliavin calculus approach, in: Monte Carlo methods and applications, 2005, vol. 11, no 2, pp. 97–133.
  • 64D. Bell.

    The Malliavin Calculus, Pitman Monographs and Surveys in Pure and Applied Math., Longman and Wiley, 1987, no 34.
  • 65T. Bielecki, J. Chancelier, S. Pliska, A. Sulem.

    Risk sensitive portfolio optimization with transaction costs, in: Journal of Computational Finance, 2004, vol. 8, pp. 39-63.
  • 66F. Black, M. Scholes.

    The pricing of Options and Corporate Liabibilites, in: Journal of Political Economy, 1973, vol. 81, pp. 637-654.
  • 67I. Elsanosi, B. Øksendal, A. Sulem.

    Some Solvable Stochastic control Problems with Delay, in: Stochastics and Stochastics Reports, 2000.
  • 68J. D. Fonseca, M. Messaoud.

    Libor Market Model in Premia: Bermudan pricer, Stochastic Volatility and Malliavin calculus, in: Bankers, Markets, Investors, March-April 2009, vol. Special report: Numerical Methods implemented in the Premia Software, no 99, pp. 44–57.
  • 69E. Fournié, J.-M. Lasry, J. Lebuchoux, P.-L. Lions.

    Applications of Malliavin calculus to Monte Carlo methods in Finance, II, in: Finance & Stochastics, 2001, vol. 2, no 5, pp. 201-236.
  • 70E. Fournié, J.-M. Lasry, J. Lebuchoux, P.-L. Lions, N. Touzi.

    An application of Malliavin calculus to Monte Carlo methods in Finance, in: Finance & Stochastics, 1999, vol. 4, no 3, pp. 391-412.
  • 71N. C. Framstad, B. Øksendal, A. Sulem.

    Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs, in: Journal of Mathematical Economics, 2001, vol. 35, pp. 233-257.
  • 72J. Garnier, T.-W. Papanicolaou.

    Large deviations for a mean field model of systemic risk, 2012, manuscript.
  • 73P. Gassiat, H. Pham, M. Sirbu.

    Optimal investment on finite horizon with random discrete order flow in illiquid markets, in: International Journal of Theoretical and Applied Finance, 2010, vol. 14, pp. 17-40.
  • 74Y. Kabanov, M. Safarian.

    Markets with Transaction Costs: Mathematical Theory, Springer Verlag, 2009.
  • 75C. Labart, J. Lelong.

    Pricing Parisian Options using Laplace transforms, in: Bankers, Markets, Investors, March-April 2009, vol. Special report: Numerical Methods implemented in the Premia Software, no 99, pp. 29–43.
  • 76D. Lamberton, B. Lapeyre, A. Sulem.

    Application of Malliavin Calculus to Finance, in: Special issue of the journal Mathematical Finance, January 2003.
  • 77P. Malliavin.

    Stochastic calculus of variations and hypoelliptic operators, in: Proc. Inter. Symp. on Stoch. Diff. Equations, Kyoto, Wiley 1978, 1976, pp. 195-263.
  • 78P. Malliavin, A. Thalmaier.

    Stochastic Calculus of variations in Mathematical Finance, Springer Finance, Springer, 2006.
  • 79A. Minca.

    Modélisation mathématique de la contagion de défaut; Mathematical modeling of financial contagion, Université Pierre et Marie Curie, Paris 6, September 5 2011, Adviser: R. Cont. Partnership with Mathfi. Current Position: Assistant Professor, School of Operations Research and Information Engineering, Cornell University.
  • 80D. Nualart.

    The Malliavin Calculus and Related Topics, Springer–Verlag, 1995.
  • 81D. Ocone, I. Karatzas.

    A generalized representation formula with application to optimal portfolios, in: Stochastics and Stochastic Reports, 1991, vol. 34, pp. 187-220.
  • 82D. Ocone.

    A guide to the stochastic calculus of variations, in: Stochastic Analysis and Related Topics, H. Koerzlioglu, S. Üstünel (editors), Lecture Notes in Math.1316, 1987, pp. 1-79.
  • 83N. Privault, X. Wei.

    Calibration of the LIBOR market model - implementation in Premia, in: Bankers, Markets, Investors, March-April 2009, vol. Special report: Numerical Methods implemented in the Premia Software, no 99, pp. 20–29.
  • 84F. Russo, P. Vallois.

    Stochastic calculus with respect to continuous finite quadratic variation processes, in: Stochastics and Stochastics Reports, 2000, vol. 70, pp. 1–40.
  • 85A. Sulem.

    Dynamic Optimisation for a mixed Portfolio with transaction costs, in: Numerical methods in Finance, 1997, pp. 165-180, edited by L.C.G. Rogers and D.Talay, Cambridge University Press, Publications of the Newton Institute.
  • 86A. Sulem, A. Zanette.

    Premia: A Numerical Platform for Pricing Financial Derivatives, in: Ercim News, July 2009, vol. 78.
  • 87U. Çetin, R. Jarrow, P. Protter.

    Liquidity risk and arbitrage pricing theory, in: Finance and Stochastics, 2004, vol. 8.

    http://dx.doi.org/10.1007/s00780-004-0123-x
  • 88B. Øksendal, A. Sulem, T. Zhang.

    Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations, in: Advances in Applied Probability, 2011, vol. 43, pp. 572-596.
  • 89B. Øksendal, A. Sulem.

    Optimal Consumption and Portfolio with both fixed and proportional transaction costs: A Combined Stochastic Control and Impulse Control Model, in: SIAM J. Control and Optim., 2002, vol. 40, pp. 1765-1790.
  • 90B. Øksendal, A. Sulem.

    Optimal stochastic impulse control with delayed reaction, in: Applied Mathematics and Optimization, 2008, vol. 58, pp. 243-255.
  • 91B. Øksendal.

    An Introduction to Malliavin Calculus with Applications to Economics, in: Lecture Notes from a course given 1996 at the Norwegian School of Economics and Business Administration (NHH), September 1996, NHH Preprint Series.


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