J. Chassagneux

activity

20122026

most citedA Probabilistic approach to classical solutions of the master equation for large population equilibria

73 citations · 279 across the 29 of their papers we have counts for

collaborators

Showing 2019Show all

2 papers · 1 filter

q-fin.CP2019★ 3 cited

A numerical scheme for the quantile hedging problem

Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger

We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant…

math.PR2019★ 51 cited

Weak quantitative propagation of chaos via differential calculus on the space of measures

Jean-François Chassagneux, Lukasz Szpruch, Alvin Tse

Consider the metric space $(P_{2} (R^{d}), W_{2})$ of square integrable laws on $R^{d}$ with the topology induced by the 2-Wasserstein distance $W_{2}$ . Let $Φ: \ma…