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Joffrey Derchu

6 papers hereh-index 321 citations6 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author1
  • first author3
  • middle author2

Across the 6 of 6 papers where every author was matched, so the position is known.

fields
  • q-fin.TR5
  • math.PR1

identity via Semantic Scholar / OpenAlex

activity
20202023
most citedAn approximate solution for options market-making in high dimension

1 citations · 3 across the 4 of their papers we have counts for

collaborators
Showing math.PRShow all

1 paper · 1 filter

math.PR2021

On Z-mean reflected BSDEs

Joffrey Derchu, Thibaut Mastrolia

In this paper we provide conditions for the existence of supersolutions to BSDEs with mean-reflections on the Z component. We show that, contrary to BSDEs with mean-reflections o…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.