425 citations · 475 across the 4 of their papers we have counts for
6 papers
Numerical simulation of BSDEs using empirical regression methods: theory and practice
Emmanuel Gobet, Jean-Philippe Lemor
This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Br…
Arbitrage free cointegrated models in gas and oil future markets
Grégory Benmenzer, Emmanuel Gobet, Céline Jérusalem
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in th…
Smart expansion and fast calibration for jump diffusion
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show t…
LAMN property for hidden processes: the case of integrated diffusions
Arnaud Gloter, Emmanuel Gobet
In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process . Our data a…
A regression-based Monte Carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…
Nonparametric estimation of scalar diffusions based on low frequency data
Emmanuel Gobet, Marc Hoffmann, Markus Reiss
We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{nΔ},n=0,1,...,N. The sampling frequency Δ^{-1} is cons…