153 citations · 427 across the 46 of their papers we have counts for
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math.PR2013★ 1 cited
On the expectation of normalized Brownian functionals up to first hitting times
Romuald Elie, Mathieu Rosenbaum, Marc Yor
Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that…
q-fin.PR2013
When terminal facelift enforces Delta constraints
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The correspondi…