166 citations · 399 across the 24 of their papers we have counts for
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q-fin.CP2012★ 9 cited
Counterparty Risk Valuation: A Marked Branching Diffusion Approach
Pierre Henry-Labordere
The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force "Monte-Carlo of Monte-Carlo" metho…
math.PR2012★ 48 cited
The maximum maximum of a martingale with given marginals
Pierre Henry-Labordère, Jan Obłój, Peter Spoida +1
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to …