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Books
Valorisation des produits dérivés : des théorèmes fondamentaux à la couverture sous contrainte de risque (abstract, erratum)
Economica, série Economie et Statistiques Avancées.
Fundamentals and Advanced Techniques in Derivatives Hedging (abstract)
Springer, Universitext.
Lecture notes
Méthodes
de Monte Carlo en Finance (pdf)
Portfolio management under risk contraints (pdf)
Introduction to stochastic control of mixed diffusion processes, viscosity solutions
and applications in finance and insurance (pdf)
Mini-course on Stochastic Targets and related problems (slides pdf)
Stochastic Control for Optimal Trading: State of Art and Perspectives (an attempt of) (slides pdf)
Lecture notes on BSDEs - Main existence and stability results (pdf)
Numerical Approximation of BSDEs by using Backward Euler schemes (slides pdf)
Recent papers
(point on the title to see
the
abstract)
Stochastic invariance of closed sets with non-Lipschitz coefficients, (pdf)
with Eduardo Abi Jaber and Camille Illand.
Optimal trading with online parameters revisions, (pdf)
with Nicolas Baradel and Ngoc Minh Dang.
Optimal control under uncertainty and Bayesian parameters adjustments , (pdf)
with Nicolas Baradel and Ngoc Minh Dang.
Hedging of covered options with linear price impact and gamma constraint, (pdf,slides)
with Grégroire Loeper and Yiyi Zou.
Published/accepted papers
(point on the title to see
the
abstract)
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, (revised pdf, slides)
with Dylan Possamai, Xiaolu Tan and Chao Zhou, Annales de l'Institut Henri Poincaré B, to appear.
A general Doob-Meyer-Mertens decomposition for g-supermartingale systems, (revised pdf, slides)
with Dylan Possamai and Xiaolu Tan, Electronic Journal of Probability, 21, 2016.
Hedging under an expected loss constraint with small transaction costs, (revised pdf)
with Ludovic Moreau and Mete Soner, SIAM Journal on Financial Mathematics, 7(1), 508-551, 2016.
A backward dual representation for the quantile hedging of Bermudean options, (pdf)
with Géraldine Bouveret and Jean-François Chassagneux, SIAM Journal on Financial Mathematics, 7(1), 215-235, 2016.
Regularity of BSDEs with a convex constraint on the gains-process, (pdf)
with Romuald Elie and Ludovic Moreau, Bernoulli, online.
First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations,
(revised pdf, slides)
with Stefan Geiss and Emmanuel Gobet, Bernoulli, online.
Almost-sure hedging with permanent price impact, (pdf, slides)
with Grégoire Loeper and Yiyi Zou, Finance and Stochastics, 20(3), 741-771, 2016.
Consistent Price Systems under Model Uncertainty, (revised pdf, slides)
with Marcel Nutz, Finance and Stochastics, 20(1), 83-98, 2016.
Robust Fundamental Theorem for Continuous Processes, (pdf, slides)
with Sara Biagini, Constantinos Kardaras and Marcel Nutz, Mathematical Finance, online.
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions, (revised pdf, slides)
with Marcel Nutz, Mathematics of Operations Research, 2016, 41(1), 109-124.
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs,
(pdf)
with Emmanuel Lépinette and Erik Taflin, Stochastic Processes and their Applications, 2014, 124, 3231-3259.
Arbitrage and duality in nondominated discrete-time models,
(pdf, slides)
with Marcel Nutz, Annals of Applied Probability, 2015, 25(2), 823-859.
BSDEs with weak terminal condition,
(pdf, slides)
with Romuald Elie and Anthony Réveillac, Annals of Probability, 2015, 43(2), 572-604.
Weak Dynamic Programming for Generalized State Constraints,
(revised pdf, slides)
with Marcel Nutz, SIAM Journal on Control and Optimization, 2012, 50(6), 3344-3373.
Stochastic Target Games with Controlled Loss,
(pdf, slides)
with Ludovic Moreau and Marcel Nutz, Annals of Applied Probability, 2014, 24(3), 899-934.
No-arbitrage of second kind in countable markets with proportional transaction costs,
(pdf)
with Erik Taflin, Annals of Applied Probability, 2013, 23(2), 427-454.
A note on utility based pricing and asymptotic risk diversification,
(pdf)
with Romuald Elie and Ludovic Moreau, Mathematics and Financial Economics, 2012, 6(1), 59-74.
A stochastic target approach for P&L matching problems,
with Vu Than Nam, Mathematics of Operation Research, 2012, 37(3), 526-558 (pdf).
Optimal Control vs Stochastic Target problems: An Equivalence Result,
with Ngoc Minh Dang, Systems & Control Letters, 2012, 61 (2), 343-346.
Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application
in optimal book liquidation,
with Ngoc Minh Dang, Finance & Stochastics, 2013, 17(1), 31-72
(slides).
No marginal arbitrage of the second kind for high production regimes in
discrete time production-investment models with proportional
transaction costs,
with Adrien Nguyen Huu, Mathematical Finance, 2013, 23(2), 366-386.
Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods,
(revised pdf)
with Xavier Warin, to appear in Numerical Methods in Finance , Springer Proceedings in Mathematics, ed. R. Carmona, P. Del Moral, P. Hu and N. Oudjane , 2011.
Optimal control of trading algorithms: a general impulse control approach,
with Ngoc Minh Dang et Charles-Albert Lehalle, SIAM Journal on Financial Mathematics, 2011, 4, 404-438.
Weak Dynamic Programming Principle for Viscosity Solutions,
(pdf, slides)
with Nizar Touzi, SIAM Journal on Control and Optimization, 2011, 49 (3), 948-962.
Optimal Control under Stochastic Target Constraints,
(pdf, slides)
with Romuald Elie and Cyril Imbert, SIAM Journal on Control and Optimization, 2010, 48 (5), 3501-3531.
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, 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.
Others
(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.
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