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Correlation evidence in the dynamics of agricultural commodity prices
Raphael Homayoun Boroumand
,
Stéphane Goutte
,
Simon Porcher
,
Thomas Porcher
Journal articles
hal-02145832v1
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Foreign exchange rates under Markov Regime switching model
Stéphane Goutte
,
Benteng Zou
2011
Preprints, Working Papers, ...
hal-00643900v1
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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
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Dual Optimization Problem on Defaultable Claims
Stéphane Goutte
,
Armand Ngoupeyou
Journal articles
halshs-02175681v1
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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Fabien Guilbaud
,
Huyên Pham
2012
Preprints, Working Papers, ...
hal-00697125v1
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Fire Sales Forensics: Measuring Endogenous Risk
Rama Cont
,
Lakshithe Wagalath
2012
Preprints, Working Papers, ...
hal-00697224v1
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Conditional Markov regime switching model applied to economic modelling.
Stéphane Goutte
2012
Preprints, Working Papers, ...
hal-00747479v1
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Recovering portfolio default intensities implied by CDO quotes
Rama Cont
,
Andreea Minca
Journal articles
hal-00413730v1
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Optimal trading policies for wind energy producer
Zongjun Tan
,
Peter Tankov
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
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Stress testing the resilience of financial networks
Hamed Amini
,
Rama Cont
,
Andreea Minca
Journal articles
hal-00801538v1
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Optimal High Frequency Trading with limit and market orders
Fabien Guilbaud
,
Huyen Pham
2011
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
2010
Preprints, Working Papers, ...
hal-00457456v1
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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
2017
Preprints, Working Papers, ...
hal-01648491v1
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Convenient Multiple Directions of Stratification
Benjamin Jourdain
,
Bernard Lapeyre
,
Piergiacomo Sabino
Journal articles
hal-00477403v1
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The slippage paradox
Steffen Bohn
2011
Preprints, Working Papers, ...
hal-00574268v1
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OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE
Marc Hoffmann
,
Mauricio Labadie
,
Charles-Albert Lehalle
,
Gilles Pagès
,
Huyên Pham
,
et al.
Conference papers
hal-01102785v1
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Pricing and Hedging Basis Risk under No Good Deal Assumption
Laurence Carassus
,
Emmanuel Temam
2010
Preprints, Working Papers, ...
hal-00498479v3
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Capital distribution and portfolio performance in the mean-field Atlas model
Benjamin Jourdain
,
Julien Reygner
Journal articles
hal-00921151v3
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Price Dynamics in a Markovian Limit Order Market
Rama Cont
,
Adrien de Larrard
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
2009
Preprints, Working Papers, ...
hal-00400666v1
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Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis
Rama Cont
,
Cathrine Jessen
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
2010
Preprints, Working Papers, ...
hal-00477380v2
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Dynamic hedging of portfolio credit derivatives
Rama Cont
,
Yu Hang Kan
Journal articles
hal-00578008v1
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Joint Modelling of Gas and Electricity spot prices
Noufel Frikha
,
Vincent Lemaire
Journal articles
hal-00421289v3
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Frontiers in Quantitative Finance: credit risk and volatility modeling
Rama Cont
Wiley, pp.300, 2008, Wiley Series in Financial Engineering
Books
hal-00437588v1
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