38 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- CERMICSFR9 papers
- Laboratoire d’Analyse et de Mathématiques AppliquéesFR9 papers
- Centre National de la Recherche ScientifiqueFR7 papers
- Institut national de recherche en sciences et technologies du numériqueFR6 papers
- Université Paris-Est CréteilFR4 papers
- University of Rome Tor VergataIT4 papers
- University of UdineIT4 papers
- Centre de Recherche en Mathématiques de la DécisionFR3 papers
- Le LAMAFR3 papers
- Université Paris-Est Marne-la-ValléeFR3 papers
- École Centrale ParisFR2 papers
- École nationale des ponts et chausséesFR2 papers
26 papers
Signature-based validation of real-world economic scenarios
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chev…
Wishart processes : mean-field limit, long time behavior, and free probability
Ezechiel Kahn
This paper is devoted to the study of the eigenvalues of the Wishart process which are the analogof the Dyson Brownian Motion for covariance matrices. Such processes were in partic…
Strong solutions to a beta-Wishart particle system
Benjamin Jourdain, Ezéchiel Kahn
The purpose of this paper is to study the existence and uniqueness of solutions to a Stochastic Differential Equation (SDE) coming from the eigenvalues of Wishart processes. The co…
Regularization lemmas and convergence in total variation
Vlad Bally, Lucia Caramellino, Guillaume Poly
We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables whic…
Sampling of probability measures in the convex order by Wasserstein projection
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, for and two probability measures on with finite moments of order , we define the respective projections for the -Wasserstein dist…
The Faa di Bruno Hopf algebra for multivariable feedback recursions in the center problem for higher order Abel equations
Kurusch Ebrahimi-Fard, W. Steven Gray
Poincare's center problem asks for conditions under which a planar polynomial system of ordinary differential equations has a center. It is well understood that the Abel equation n…
Diffusions under a local strong Hörmander condition. Part I: density estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the density of a diffusion process in in a small (but not asymptotic) time, say . We assume that the diffusion coefficients…
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai,…
Asymptotics for the normalized error of the Ninomiya-Victoir scheme
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE. In this pa…
Equilibrium pricing under relative performance concerns
Jana Bielagk, Arnaud Lionnet, Goncalo Dos Reis
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced…
Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
Ahmed Kebaier, Jérôme Lelong
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters…
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenege, Andrea Molent, Antonino Zanette
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and…
Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data
Benjamin Jourdain, Julien Reygner
Brenier and Grenier [SIAM J. Numer. Anal., 1998] proved that sticky particle dynamics with a large number of particles allow to approximate the entropy solution to scalar one-dimen…
Simulation of BSDEs with jumps by Wiener Chaos Expansion
Christel Geiss, Céline Labart
We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case…
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an…
Convergence and regularity of probability laws by using an interpolation method
V. Bally, L. Caramellino
In [18] Fournier and Printems establish a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with Hölder continuous c…
Stein estimation of the intensity of a spatial homogeneous Poisson point process
Marianne Clausel, Jean-François Coeurjolly, Jérôme Lelong
In this paper, we revisit the original ideas of Stein and propose an estimator of the intensity parameter of a homogeneous Poisson point process defined in and observed in a…
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian mo…
On the distance between probability density functions
Vlad Bally, Lucia Caramellino
We give estimates of the distance between the densities of the laws of two functionals and on the Wiener space in terms of the Malliavin-Sobolev norm of We actually…
On the long time behavior of stochastic vortices systems
Joaquin Fontbona, Benjamin Jourdain
In this paper, we are interested in the long-time behaviour of stochastic systems of n interacting vortices: the position in R2 of each vortex evolves according to a Brownian motio…
A hybrid approach for the implementation of the Heston model
Maya Briani, Lucia Caramellino, Antonino Zanette
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we s…
The small noise limit of order-based diffusion processes
Benjamin Jourdain, Julien Reygner
We introduce order-based diffusion processes as the solutions to multidimensional stochastic differential equations, with drift coefficient depending only on the ordering of the co…
A robust tree method for pricing American options with CIR stochastic interest rate
Elisa Appolloni, Lucia Caramellino, Antonino Zanette
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restric…
Reducing the debt : is it optimal to outsource an investment?
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain +1
We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the ex…