Recent and Published
Papers
(point on the title to see
the
abstract)
Optimal control of trading algorithms: a general impulse control approach,
( PDF)
with Ngoc Minh Dang et Charles-Albert Lehalle.
Weak Dynamic Programming Principle for Viscosity Solutions,
( PDF, slides)
with Nizar Touzi.
Optimal Control under Stochastic Target Constraints,
( PDF, slides)
with Romuald Elie and Cyril Imbert, to appear in SIAM Journal on Control and Optimization.
Stochastic target problems with controlled loss,
( PDF, slides) with Romual Elie and Nizar Touzi, SIAM Journal on Control and Optimization, 2009, 48 (5), 3123-3150.
The obstacle version of the Geometric Dynamic Programming Principle: Application to the pricing of American options under constraints,
with Than Nam Vu, Applied Mathematics and Optimization, 2010, 61 (2), 235-265.
Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs
with Romuald Elie and Nizar Touzi, Radon Series Comp. Appl. Math., Advanced Financial Modelling,
Ed. H. Albrecher, W. Runggaldier and W. Schachermayer, 2009.
Representation
of continuous linear forms on the set of ladlag processes and the
pricing of American claims under proportional costs,
with Jean-Francois
Chassagneux, Electronic Journal of Probability, 2009, 14, 612-632.
Strong Approximations of
BSDEs in a domain, (
slides) with Stéphane
Menozzi, Bernoulli , 2009, 15 (4), 1117-1147. Transaction costs in financial models, with Elyes Jouini, to appear in Encyclopedia of Quantitative Finance, Rama Cont (Ed), Wiley.
A stochastic target
formulation for optimal switching problems in finite horizon.
Stochastics, 2009, 81 (2), 171-197.
Optimal reflection of
diffusions and barrier options pricing under constraints,
( slides).
SIAM Journal on Control and Optimization, 2008, 47 (4), 1785-1813.
Discrete time
approximation for continuously and discretely reflected BSDE's,
( slides)
with
Jean-Francois Chassagneux,
Stochastic Processes and their Applications , 2008, 118, 2269-2293.
Barrier option hedging
under constraints: a viscosity approach,
with Imen Bentahar,
SIAM Journal on Control
and Optimization , 2006, 45 (5), 1846-1874.
Discrete time
approximation of decoupled Forward-Backward SDE with jumps,
with Romuald Elie,
Stochastic Processes and their Applications
, 2008, 118 (1), 53-75. ( slides).
Explicit
characterization of the super-replication strategy in financial markets
with partial transaction costs, with
Imen Bentahar, Stochastic
Processes and their Applications, 2007, 117 (5), 655-672.
( slides).
No-arbitrage in
discrete-time markets with proportional transaction costs and general
information structure,
Finance
and Stochastics , 2006, 10 (2), 276-297 ( slides).
On the Hedging of
American Options in Discrete Time Markets with Proportional Transaction
Costs, with Emmanuel
Temam, Electronic Journal of Probability,
2005, 10, 746-760.
Maturity randomization
for stochastic control problems, with
Nicole El Karoui and Nizar Touzi, Annals of Applied
Probability, 2005, 15 (4), 2575-2605.
Optimal consumption in
discrete time financial models with industrial investment opportunities
and non-linear returns, with
Huyen Pham, Annals
of Applied
Probability , 2005, 15 (4), 2393-2421 ( slides).
A version of the G-conditionial bipolar theorem
in L0(Rd;P),
Journal
of Theoretical Probability, 2005, 18 (2), 439 - 467.
Discrete-Time
Approximation and Monte-Carlo Simulation of Backward Stochastic
Differential Equations, with
Nizar Touzi, Stochastic
Processes and their Applications, 2004, 111 (2), 175-206.
Wealth-Path Dependent
Utility Maximization in Incomplete Markets,
with Huyen Pham, Finance and
Stochastics, 2004, 8 (4), 579-603.
On the Malliavin
approach to Monte Carlo approximation of conditional expectations ,
with Nizar Touzi and Ivar Ekeland, Finance and
Stochastics, 2004, 8 (1), 45-71.
Dual Formulation of the
Utility Maximization Problem : the case of Nonsmooth Utility,
with Nizar Touzi and Amina Zeghal, Annals of Applied
Probability, 2004, 14 (2), 678-717.
A multidimensional bipolar
theorem in L0(Rd;P),
with Laurent Mazliak, Stochastic
Processes and their Applications, 2003, 107 (2), 213-231.
Utility Maximization on
the Real Line under Proportional Transaction Costs,
Finance
and Stochastics, 2002, 6 (4), 495-516.
Option pricing by large
risk aversion utility under transaction costs,
with Youri Kabanov and Nizar Touzi, Decisions
in Economics and Finance, 2001, 24, 127-136.
Stochastic Target with
Mixed diffusion processes, Stochastic
Processes and their Applications, 2002, 101, 273-302.
Explicit Solution of the
Multivariate Super-Replication Problem under Transaction Costs,
with Nizar Touzi, Annals of Applied
Probability, 2000, 10, 685-708.
Other
working papers (point on the title to see the
abstract)
Option Pricing via
Utility Maximization in the presence of Transaction Costs : an
Asymptotic Analysis, CEREMADE (1999)
A Note on the Utility
Based Option Pricing with Proportional Transaction Costs under Large
Risk Aversion, CREST (2000).
Exponential hedging and
pricing under proportional transaction costs,
CREST (2000).
|
Notes de
cours Méthodes
de Monte Carlo en Finance Introduction
à l'évaluation d'actifs financiers par absence
d'opportunité d'arbitrage Introduction
to stochastic control of mixed diffusion processes, viscosity solutions
and applications in finance and insurance
Hdr and
Phd thesis Finance
Mathématique et Probabilités Numériques (2006) Stochastic control and
applications in finance (2000)
|
