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Domains : qfin

Correlation evidence in the dynamics of agricultural commodity prices

Raphael Homayoun Boroumand , Stéphane Goutte , Simon Porcher , Thomas Porcher
Applied Economics Letters, 2014, 21 (17), pp.1238-1242. ⟨10.1080/13504851.2014.922742⟩
Journal articles hal-02145832v1
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Foreign exchange rates under Markov Regime switching model

Stéphane Goutte , Benteng Zou
Preprints, Working Papers, ... hal-00643900v1

Network structure and systemic risk in banking systems

Rama Cont , Amal Moussa , Edson B Santos
JP Fouque & J Langsam. Handbook of Systemic Risk, Cambridge Univ Press, pp.327-368, 2013, 9781107023437
Book sections hal-00912018v1

Dual Optimization Problem on Defaultable Claims

Stéphane Goutte , Armand Ngoupeyou
Mathematical Economics Letters, 2014, 1 (2-4), pp.134-146. ⟨10.1515/mel-2013-0002⟩
Journal articles halshs-02175681v1
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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Fabien Guilbaud , Huyên Pham
Preprints, Working Papers, ... hal-00697125v1
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Fire Sales Forensics: Measuring Endogenous Risk

Rama Cont , Lakshithe Wagalath
Preprints, Working Papers, ... hal-00697224v1
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Conditional Markov regime switching model applied to economic modelling.

Stéphane Goutte
Preprints, Working Papers, ... hal-00747479v1
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Recovering portfolio default intensities implied by CDO quotes

Rama Cont , Andreea Minca
Mathematical Finance, 2013, 23 (1), pp.94-121. ⟨10.1111/j.1467-9965.2011.00491.x⟩
Journal articles hal-00413730v1
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Optimal trading policies for wind energy producer

Zongjun Tan , Peter Tankov
SIAM Journal on Financial Mathematics, 2018, 9 (1), pp.315--346. ⟨10.1137/16M1093069⟩
Journal articles hal-01348828v1
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Markovian Projection of Stochastic Processes

Amel Bentata
Probability [math.PR]. Université Pierre et Marie Curie - Paris VI, 2012. English. ⟨NNT : ⟩
Theses tel-00766235v1

Stress testing the resilience of financial networks

Hamed Amini , Rama Cont , Andreea Minca
International Journal of Theoretical and Applied Finance, 2012, 15 (1), pp.1250006-1250026. ⟨10.1142/S0219024911006504⟩
Journal articles hal-00801538v1
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Optimal High Frequency Trading with limit and market orders

Fabien Guilbaud , Huyen Pham
Preprints, Working Papers, ... hal-00603385v1
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Density approach in modelling successive defaults

Nicole El Karoui , Monique Jeanblanc , Ying Jiao
SIAM Journal on Financial Mathematics, 2015, 6 (1), pp.1-21
Journal articles hal-00870492v1
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Information Asymmetry in Pricing of Credit Derivatives

Caroline Hillairet , Ying Jiao
Preprints, Working Papers, ... hal-00457456v1

Estimating the efficient price from the order flow: A Brownian Cox process approach

Christian Yann Robert , Sylvain Delattre , Mathieu Rosenbaum
Stochastic Processes and their Applications, 2013, 123 (7), pp.2603-2619
Journal articles hal-02006747v1
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Modélisation mathématique du risque endogène dans les marchés financiers

Lakshithe Wagalath
Finance quantitative [q-fin.CP]. Université Pierre et Marie Curie - Paris VI, 2013. Français. ⟨NNT : ⟩
Theses tel-00832234v1
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Linear-quadratic McKean-Vlasov stochastic control problems with random coefficients on finite and infinite horizon, and applications *

Huyen Pham , Matteo Basei
Preprints, Working Papers, ... hal-01648491v1

Convenient Multiple Directions of Stratification

Benjamin Jourdain , Bernard Lapeyre , Piergiacomo Sabino
International Journal of Theoretical and Applied Finance, 2011, 14 (6), pp.867-897. ⟨10.1142/S0219024911006772⟩
Journal articles hal-00477403v1
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The slippage paradox

Steffen Bohn
Preprints, Working Papers, ... hal-00574268v1
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Marc Hoffmann , Mauricio Labadie , Charles-Albert Lehalle , Gilles Pagès , Huyên Pham , et al.
SMAI 2013, May 2013, Seignosse, France. pp.219 - 228, ⟨10.1051/proc/201445022⟩
Conference papers hal-01102785v1
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Pricing and Hedging Basis Risk under No Good Deal Assumption

Laurence Carassus , Emmanuel Temam
Preprints, Working Papers, ... hal-00498479v3
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Capital distribution and portfolio performance in the mean-field Atlas model

Benjamin Jourdain , Julien Reygner
Annals of Finance, 2015, 11 (2), pp.151-198. ⟨10.1007/s10436-014-0258-5⟩
Journal articles hal-00921151v3
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Price Dynamics in a Markovian Limit Order Market

Rama Cont , Adrien de Larrard
SIAM Journal on Financial Mathematics, 2013, 4 (1), pp.1-25. ⟨10.1137/110856605⟩
Journal articles hal-00552252v4
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Some problems of statistics and optimal control for stochastic processes in the field of electricity markets prices modeling

Pierre Gruet
Statistics [math.ST]. Université Paris Diderot, 2015. English. ⟨NNT : ⟩
Theses tel-01238618v1
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An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Giorgia Callegaro , Abass Sagna
Preprints, Working Papers, ... hal-00400666v1

Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis

Rama Cont , Cathrine Jessen
Quantitative Finance, 2012, 12 (8), pp.1199-1218. ⟨10.1080/14697688.2012.690885⟩
Journal articles hal-00801540v1
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Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows

Nicole El Karoui , Mohamed M'Rad
Preprints, Working Papers, ... hal-00477380v2
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Dynamic hedging of portfolio credit derivatives

Rama Cont , Yu Hang Kan
SIAM Journal on Financial Mathematics, 2011, 2 (1), pp.112-140. ⟨10.1137/090750937⟩
Journal articles hal-00578008v1
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Joint Modelling of Gas and Electricity spot prices

Noufel Frikha , Vincent Lemaire
Applied Mathematical Finance, 2012, 20 (1), pp.69-93. ⟨10.1080/1350486X.2012.658220⟩
Journal articles hal-00421289v3

Frontiers in Quantitative Finance: credit risk and volatility modeling

Rama Cont
Wiley, pp.300, 2008, Wiley Series in Financial Engineering
Books hal-00437588v1