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Bibliography

Major publications by the team in recent years
  • 1L. Abbas-Turki, B. Lapeyre.

    American options by Malliavin calculus and nonparametric variance and bias reduction methods, in: SIAM J. Financ. Math., 2012, vol. 3, no 1, pp. 479-510.
  • 2A. 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
  • 3A. 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
  • 4A. Alfonsi, B. Jourdain, A. Kohatsu-Higa.

    Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme, September 2012.

    https://hal-enpc.archives-ouvertes.fr/hal-00727430
  • 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, N. Fournier.

    Regularization properties od the 2D homogenuos Bolzmann equation without cutoff, in: PTRF, 2011, no 151, pp. 659-670.
  • 7M. 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
  • 8B. Jourdain.

    Probabilités et statistique, Ellipses, 2009.
  • 9D. Lamberton, M. Mikou.

    Exercise boundary of the American put near maturity in an exponential Lévy model, in: Finance and Stochastics, 2013, vol. 17, no 2, pp. 355-394.
  • 10D. Lamberton, M. Zervos.

    On the optimal stopping of a one-dimensional diffusion, in: Electronic Journal of Probability, 2013, vol. 18, no 34, pp. 1-49.
  • 11M.-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
  • 12A. Sulem.

    Numerical Methods implemented in the Premia Software, March-April 2009, vol. 99, Special issue of the Journal “Bankers, Markets, Investors”, Introduction by Agnès Sulem (Ed) and A. Zanette.
  • 13B. Øksendal, A. Sulem.

    Applied Stochastic Control of Jump Diffusions, Universitext, Second Edition, Springer, Berlin, Heidelberg, New York, 257 pages 2007.
  • 14B. Øksendal, A. Sulem.

    Singular stochastic Control and Optimal stopping with partial information of Itô-Lévy processes, in: SIAM J. Control & Optim., 2012, vol. 50, no 4, pp. 2254–2287.

    http://epubs.siam.org/doi/abs/10.1137/100793931
Publications of the year

Articles in International Peer-Reviewed Journals

  • 15L. Abbas-Turki, D. Lamberton.

    European Options Sensitivity with Respect to the Correlation for Multidimensional Heston Models, in: International Journal of Theoretical and Applied Finance, 2014, vol. 17, no 03. [ DOI : 10.1142/S0219024914500150 ]

    https://hal.archives-ouvertes.fr/hal-00867887
  • 16E. Appolloni, G. Marcellino, A. Zanette.

    The binomial interpolated lattice method fro step double barrier options , in: International Journal of Theoretical and Applied Finance, 2014, vol. 17, no 6, 1450035. [ DOI : 10.1142/S0219024914500356 ]

    https://hal.archives-ouvertes.fr/hal-01096581
  • 17L. Badouraly Kassim, J. Lelong, I. Loumrhari.

    Importance sampling for jump processes and applications to finance, in: Journal of Computational Finance, February 2014.

    https://hal.archives-ouvertes.fr/hal-00842362
  • 18J.-P. Chancelier, B. Lapeyre, J. Lelong.

    Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture, in: Concurrency and Computation: Practice and Experience, June 2014, vol. 26, no 9, pp. 1654-1665. [ DOI : 10.1002/cpe.2893 ]

    https://hal.archives-ouvertes.fr/hal-00447845
  • 19R. Dumitrescu, M.-C. Quenez, A. Sulem.

    Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems, in: Journal of Optimization Theory and Applications, August 2014, 24 p. [ DOI : 10.1007/s10957-014-0635-2 ]

    https://hal.inria.fr/hal-01096501
  • 20C. 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 ]

    https://hal.inria.fr/hal-00789517
  • 21B. Jourdain, J. Reygner.

    The small noise limit of order-based diffusion processes, in: Electronic Journal of Probability, March 2014, vol. 19, no 29, pp. 1-36. [ DOI : 10.1214/EJP.v19-2906 ]

    https://hal-enpc.archives-ouvertes.fr/hal-00840185
  • 22A. 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 ]

    https://hal.inria.fr/hal-00916695
  • 23S. M. Ould Aly.

    Forward Variance Dynamics: Bergomi’s Model Revisited, in: Applied Mathematical Finance, 2014, vol. 21, no 1, 23 p. [ DOI : 10.1080/1350486X.2013.812329 ]

    https://hal.inria.fr/hal-01108244
  • 24M.-C. Quenez, A. Sulem.

    Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, in: Stochastic Processes and Applications, September 2014, vol. 124, no 9, 23 p.

    https://hal.inria.fr/hal-00773708
  • 25B. Øksendal, A. Sulem.

    Risk minimization in financial markets modeled by Itô-Lévy processes, in: Afrika Mathematika, May 2014, 40 p.

    https://hal.inria.fr/hal-01096870
  • 26B. Øksendal, A. Sulem.

    Stochastic Control of Itô-Lévy Processes with applications to finance, in: Communications on Stochastic Analysis, March 2014, vol. 8, no 1, 15 p.

    https://hal.inria.fr/hal-01096879

Scientific Books (or Scientific Book chapters)

Other Publications

References in notes
  • 40PREMIA: un outil d'évaluation pour les options, NextOption, 2006.
  • 41M. 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.
  • 42M. 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.
  • 43A. Alfonsi, B. Jourdain.

    A remark on the optimal transport between two probability measures sharing the same copula, July 2013.

    http://hal.inria.fr/hal-00844906
  • 44A. 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
  • 45A. 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.
  • 46H. Amini, R. Cont, A. Minca.

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

    http://dx.doi.org/10.1111/mafi.12051
  • 47V. Bally.

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

    http://hal.inria.fr/inria-00071868
  • 48V. Bally, L. Caramellino.

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

    http://hal.archives-ouvertes.fr/hal-00926415
  • 49V. Bally, L. Caramellino.

    On the distance between probability density functions, November 2013.

    https://hal.archives-ouvertes.fr/hal-00926401
  • 50V. Bally, L. Caramellino.

    Regularity of Wiener functionals under an Hörmander type condition of order one, July 2013.

    https://hal.archives-ouvertes.fr/hal-00926413
  • 51V. 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.
  • 52D. Bell.

    The Malliavin Calculus, Pitman Monographs and Surveys in Pure and Applied Math., Longman and Wiley, 1987, no 34.
  • 53T. Bielecki, J.-P. Chancelier, S. Pliska, A. Sulem.

    Risk sensitive portfolio optimization with transaction costs, in: Journal of Computational Finance, 2004, vol. 8, pp. 39-63.
  • 54F. Black, M. Scholes.

    The pricing of Options and Corporate Liabibilites, in: Journal of Political Economy, 1973, vol. 81, pp. 637-654.
  • 55R. Carmona, J.-P. Fouque, L.-H. Sun.

    Mean field games and systemic risk, 2013, Communications in Mathematical Sciences, arXiv:1308.2172.
  • 56R. 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
  • 57I. Elsanosi, B. Øksendal, A. Sulem.

    Some Solvable Stochastic control Problems with Delay, in: Stochastics and Stochastics Reports, 2000.
  • 58J. 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.
  • 59E. 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.
  • 60E. 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.
  • 61N. 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.
  • 62J. Garnier, G. Pananicolaou, T.-W. Yang.

    Large deviations for a mean field model of systemic risk, 2012, Manuscript, arXiv:1204.3536.
  • 63P. 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.
  • 64B. Jourdain, T. Lelièvre, B. Miasojedow.

    Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior, December 2012, 42 pages, 6 figures.

    https://hal.archives-ouvertes.fr/hal-00768855
  • 65B. Jourdain, T. Lelièvre, B. Miasojedow.

    Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit, October 2012.

    https://hal.archives-ouvertes.fr/hal-00748055
  • 66B. Jourdain, J. Reygner.

    Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation, in: Stochastic partial differential equations: analysis and computations, June 2013, vol. 1, no 3, pp. 455-506. [ DOI : 10.1007/s40072-013-0014-2 ]

    https://hal-enpc.archives-ouvertes.fr/hal-00755269
  • 67Y. Kabanov, M. Safarian.

    Markets with Transaction Costs: Mathematical Theory, Springer Verlag, 2009.
  • 68C. 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.
  • 69D. Lamberton, B. Lapeyre, A. Sulem.

    Application of Malliavin Calculus to Finance, in: special issue of the journal Mathematical Finance, January 2003.
  • 70P. Malliavin.

    Stochastic calculus of variations and hypoelliptic operators, in: Proc. Inter. Symp. on Stoch. Diff. Equations, Kyoto, Wiley 1978, 1976, pp. 195-263.
  • 71P. Malliavin, A. Thalmaier.

    Stochastic Calculus of variations in Mathematical Finance, Springer Finance, 2006.
  • 72A. Minca.

    Modélisation mathématique de la contagion de défaut; Mathematical modeling of financial contagion, Université Pierre et Marie Curie, Paris 6, September 5 2011.
  • 73J. M. Moustapha.

    Modelling and simulation of vehicle traffic : statistical analysis of insertion models and probabilistic simulation of a kinetic model, Université Paris Est, November 13 2014, Adviser: B. Jourdain.
  • 74D. Nualart.

    The Malliavin Calculus and Related Topics, Springer–Verlag, 1995.
  • 75D. Ocone, I. Karatzas.

    A generalized representation formula with application to optimal portfolios, in: Stochastics and Stochastic Reports, 1991, vol. 34, pp. 187-220.
  • 76D. 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.
  • 77S. M. Ould Aly.

    Modélisation de la courbe de variance et modèles à volatilité stochastique ; Forward variance modelling and stochastic volatility models, Université Paris Est, Marne la Vallée, June 2011, PhD thesis. Adviser: D. Lamberton.
  • 78S. M. Ould Aly.

    Monotonicity of Prices in Heston Model, in: International Journal of Theoretical and Applied Finance, 2013, vol. 16, no 3, pp. 1350016-1-1350016-23.
  • 79N. 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.
  • 80M.-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
  • 81J. Reygner.

    Longtime behaviour of particle systems : applications in physics, finance and PDEs, Université Pierre et Marie Curie, November 24 2014, advisers: B. Jourdain and L. Zambotti.

    https://tel.archives-ouvertes.fr/tel-01087575
  • 82F. Russo, P. Vallois.

    Stochastic calculus with respect to continuous finite quadratic variation processes, in: Stochastics and Stochastics Reports, 2000, vol. 70, pp. 1–40.
  • 83A. 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.
  • 84A. Sulem, A. Zanette.

    Premia: A Numerical Platform for Pricing Financial Derivatives, in: Ercim News, July 2009, vol. 78.
  • 85U. 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
  • 86B. 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.
  • 87B. 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.
  • 88B. Øksendal, A. Sulem.

    Optimal stochastic impulse control with delayed reaction, in: Applied Mathematics and Optimization, 2008, vol. 58, pp. 243-255.
  • 89B. 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.
  • 90B. Øksendal, A. Sulem, T. Zhang.

    A stochastic HJB equation for optimal control of forward-backward SDEs, December 2013.

    https://hal.inria.fr/hal-00919141
  • 91B. Øksendal, A. Sulem, T. Zhang.

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

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


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