15 citations · 19 across the 13 of their papers we have counts for
15 papers
Option pricing and hedging for regime-switching geometric Brownian motion models
Bruno Remillard, Sylvain Rubenthaler
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by…
On factor copula-based mixed regression models
Pavel Krupskii, Bouchra R Nasri, Bruno N Remillard
In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a para…
Central limit theorems for martingales-II: convergence in the weak dual topology, with corrections
Bruno N. Remillard, Jean Vaillancourt
A convergence theorem for martingales with càdlàg trajectories (right continuous with left limits everywhere) is obtained in the sense of the weak dual topology on Hilbert space, u…
Identifiability and inference for copula-based semiparametric models for random vectors with arbitrary marginal distributions
Bouchra R. Nasri, Bruno N. Remillard
In this paper, we study the identifiability and the estimation of the parameters of a copula-based multivariate model when the margins are unknown and are arbitrary, meaning that t…
Tests of independence and randomness for arbitrary data using copula-based covariances
Bouchra R. Nasri, Bruno N. Remillard
In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as w…
Multivariate General Compound Point Processes in Limit Order Books
Qi Guo, Bruno Remillard, Anatoliy Swishchuk
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MG…
On the monotonicity of copula-based conditional distributions
Bouchra R. Nasri, Bruno N. Remillard
In this paper, we find necessary and sufficient conditions so that copula-based conditional distributions of a response variable with respect to covariates, are ordered with respec…
Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott +1
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove La…
On One-Dimensional Riccati Diffusions
Adrian N. Bishop, Pierre Del Moral, Kengo Kamatani +1
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential…
Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
Massimo Caccia, Bruno Rémillard
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and se…
A level-1 Limit Order book with time dependent arrival rates
Jonathan A. Chávez-Casillas, Robert J. Elliott, Bruno Rémillard +1
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resul…
On explicit solutions to Ito diffusions
Michael A. Kouritzin, Bruno Remillard
Strong solutions of p-dimensional stochastic differential equations that can be represented locally in explicit simulation form are considered. The following three-way equivalence…
On signed measure valued solutions of stochastic evolution equations
Bruno Remillard, Jean Vaillancourt
We study existence, uniqueness and mass conservation of signed measure valued solutions of a class of stochastic evolution equations with respect to the Wiener sheet, including as…
Optimal hedging in discrete time
Bruno Rémillard, Sylvain Rubenthaler
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In pa…
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
Chantal Labbé, Bruno Rémillard, Jean-François Renaud
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale pr…