15 citations · 17 across the 3 of their papers we have counts for
3 papers
Sensitivity analysis for sets : application to pollutant concentration maps
Noé Fellmann, Mathis Pasquier, Christophette Blanchet-Scalliet +3
In the context of air quality control, our objective is to quantify the impact of uncertain inputs such as meteorological conditions and traffic parameters on pollutant dispersion…
Coupling and selecting constraints in Bayesian optimization under uncertainties
Julien Pelamatti, Rodolphe Le Riche, Céline Helbert +1
We consider chance constrained optimization where it is sought to optimize a function while complying with constraints, both of which are affected by uncertainties. The high comput…
Counterparty risk valuation for CDS
Christophette Blanchet-Scalliet, Frédéric Patras
The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton…