Inria / Raweb 2004
Team: Mathfi

Search in Activity Report, year 2004:



Major publications by the team in recent years

B. Øksendal, A. Sulem.
Optimal Consumption and Portfolio with both fixed and proportional transaction costs, in: "SIAM J. Control and Optim", 2002, vol. 40, no 6, p. 1765–1790.
V. Bally, G. Pagès, J. Printems.
First order schemes in the numerical quantization method, in: "Mathematical Finance", 2003, vol. 13, no 1, p. 1–16.
E. Clément.
Pseudo-moderate deviations in the Euler method for real diffusion processes, in: "Stochastics and Stochastics Reports", 2002, vol. 72, no 1-2, p. 109-127.
E. Gobet, E. Temam.
Discrete time hedging errors for options with irregular payoffs, in: "Finance and Stochastics", 2001, vol. 5, no 3, p. 357-367.
B. Jourdain, C. Martini.
American prices embedded in European prices, in: "Annales de l'IHP, analyse non linéaire", 2001, vol. 18, no 1, p. 1-17.
D. Lamberton.
Error Estimates for the Binomial Approximation of American Put Options, in: "Annals of Applied Probability", 1998, vol. 8, no 1, p. 206-233.
D. Lamberton, B. Lapeyre.
Une introduction au calcul stochastique appliqué à la finance, traduction anglaise: An introduction to stochastic calculus applied to finance, Chapman and Hall, 1996, Collection Mathématiques et Applications, Ellipses, 1992.
D. Lamberton, L.C.G. Rogers.
Optimal stopping and embedding, in: "Journal of Applied Probability", 2000, vol. 37, p. 1143-1148.
B. Lapeyre, E. Pardoux, R. Sentis.
Introduction aux méthodes de Monte-Carlo, Collection Mathématiques et Applications, Springer Verlag, 1997.
B. Lapeyre, E. Temam.
Competitive Monte-Carlo Methods for the Pricing of Asian Options, in: "Journal of Computational Finance", 2001, vol. 5, no 1, p. 39-57.
D. Lefèvre.
An introduction to Utility Maximization with Partial Observation, in: "Finance", 2002, vol. 23,

Books and Monographs

B. Øksendal, A. Sulem.
Applied Stochastic Control of Jump Diffusions, Universitext, Springer Verlag, Berlin, Heifdelberg, New York, 2005.

Articles in referred journals and book chapters

B. Arouna.
Adaptative Monte Carlo Method, A Variance Reduction technique, in: "Monte Carlo Methods and Applications", 2004, vol. 10, no 1.
B. Arouna.
Robbins-Monro algorithms and Variance reduction in finance, in: "Journal of Computational Finance", Winter 2003/2004, vol. 7, no 2, p. 35–61.
V. Bally.
The Central Limit Theorem for a nonlinear algorithm based on quantization, in: "Proceedings of the Royal Society", 2004, vol. A, no 460, p. 221-241.
V. Bally, G. Pagès, J. Printems.
A quantization tree method method for pricing and hedging multidimensional American options, in: "Mathematical Finance", January 2005, vol. 15, no 1, p. 119–169.
V. Bally, E. Pardoux, L. Stoica.
Backward stochastic differential equations associated to symmetric Markov processes, in: "Potential Theory", to appear,
V. Bally, B. Saussereau.
A relative compactness criterion in Wiene-Sobolev spaces and application to semi-linear stochastic PDEs, in: "Functional Analysis", 2004, vol. 210, no 2, p. 465–515.
F. Biagini, B. Øksendal, A. Sulem, N. Wallner.
An Introduction to white noise theory and Malliavin Calculus for Fractional Brownian Motion, in: "Proc. Royal Society", special issue on stochastic analysis and applications, 2004, vol. 460, no 2041, p. 347–372.
A. Ern, S. Villeneuve, A. Zanette.
Finite-Element-Methods for Local Volatility European Option Pricing, in: "International Journal of Applied and Theoretical Finance", September 2004, vol. 7, no 6.
N. C. Framstad, B. Øksendal, A. Sulem.
A maximum principle for stochastic control of jump diffusions, in: "Journal of Optimization Theory and Applications", 2004, vol. 121, p. 77–98.
J.Ph Chancelier, S. Pliska, A. Sulem.
Risk sensitive portfolio optimization with transaction costs, in: "Computational Finance", 2004, vol. 8, p. 39–63.
A. Kohatsu-Higa, A. Sulem.
Utility maximization in an insider influenced market, in: "Mathematical Finance", to appear, 2005,
D. Lamberton, G. Pagès, P. Tarrès.
When can the two-armed Bandit algorithm be trusted?, in: "Annals of Applied Probability", 2004, vol. 14, no 1, p. 1424–214.
G. Pagès, H. Pham, J. Printems.
An Optimal Markovian Quantization Algorithm for Multidimensional Stochastic Control Problems, in: "Stochastics and Dynamics", 2004, vol. 4, no 4, p. 501–545.
H. Pham, G. Pagès, J. Printems.
Handbook of Computational and Numerical Methods in Finance, S. Rachev (editor)., Birkhauser, Boston, 2004, chap. Optimal quantization and applications to numerical problems in finance, p. 253–298.
M. C. Quenez.
Optimal portfolio in a multiple-priors model, in: "Progress in Probability", 2004, vol. 58, no 1, p. 291-321.

Publications in Conferences and Workshops

M. Gaudenzi, F. Pressacco, L. Ziani, A. Zanette.
High Precision Pricing and Hedging of American Put Options: New Insights on Lattice Based Methods, in: "Atti in CD-ROM 87th Spanish-Italian Meeting on Financial Mathematics Cuenca".
M. Gaudenzi, F. Pressacco, L. Ziani, A. Zanette.
High Precision Pricing and Hedging of American Put Options: New Insights, in: "Atti in CD-ROM 8th International Congress of Insurance: Mathematics & Economics, Roma", Working paper Dipartimento di Finanza dell'impresa e dei Mercati Finanziari Universita' di Udine 3-2004, 2004.

Internal Reports

L. Caramellino, A. Zanette.
Monte Carlo Methods for Pricing and Hedging American Options in High Dimension, Working paper, Dipartimento di Finanza dell'impresa e dei Mercati Finanziari Universita' di Udine, 4 2004.
J. Chancelier, M. Messaoud, A. Sulem.
A policy iteration algorithm for fixed point problems with nonexpansive operators., Research report, CERMICS/ENPC, 2004, no 264.
G. Pagès, J. Printems.
Functional quantization for pricing derivatives, Research report, INRIA, Rocquencourt, 2004, no 5392,


Y. Elouerkhaoui.
Correlation of Correlation, 2004, Working Paper.
Y. Elouerkhaoui.
Credit Derivatives: Basket Asymptotics, 2004, Working Paper.
Y. Elouerkhaoui.
Credit Risk: Quadratic Hedging, 2004, Working Paper.
N. E. Karoui, M. Quenez.
Optimization of utility functions in case of ambiguity on the model and on the time preference rate, working paper, 2004.
A. Kohatsu-Higa, M. Yamazato.
Enlargement of filtrations for random times, preprint, 2004.
A. Kohatsu-Higa, M. Yamazato.
Insider modelling and logarithmic utility for models with jumps, preprint, 2004.
E. R. M.Kobylanski.
Multiple stopping time problems, Working paper, 2004.
J. Printems, B. Saussereau.
Quadratic quantization and nonlinear filtering from a spectral approach, 2004, Working paper.

Bibliography in notes

M. Akian, A. Sulem, P. Séquier.
A finite horizon multidimensional portfolio selection problem with singular transactions, in: "Proceedings CDC, News Orleans", Vol.3, Décembre 1995, p. 2193-2198.
M. Akian, A. Sulem, M. Taksar.
Dynamic optimisation of long term growth rate for a portfolio with transaction costs - The logarithmic utility case, in: "Mathematical Finance", Avril 2001, vol. 11, no 2, p. 153–188.
M. Akian, J.L. Menaldi, A. Sulem.
On an Investment-Consumption model with transaction costs, in: "SIAM J. Control and Optim.", January 1996, vol. 34, no 1, p. 329-364.
B. Øksendal.
An Introduction to Malliavin Calculus with Applications to Economics, in: "Lecture Notes from a course given 1996 at the Norwegian School of Economics and Business Administration (NHH)", NHH Preprint Series, September 1996.
B. Øksendal, D. Lefèvre, A. Sulem.
An introduction to optimal consumption with partial observation, in: "Mathematical Finance, Basel, Suisse", M. Kohlman, S. Tang (editors)., Proceedings of the Workshop on Mathematical Finance, October 2000, University of Konstanz, Germany, Birkhauser, 2001, p. 239–249,
B. Øksendal, A. Sulem.
Optimal Consumption and Portfolio with both fixed and proportional transaction costs: A Combined Stochastic Control and Impulse Control Model, in: "SIAM J. Control and Optim.", 2002, vol. 40, no 6, p. 1765-1790.
B. Øksendal, A. Sulem.
Partial observation control in an anticipating environment, in: "Proceedings of the Kolmogorov Conference, Moscou", Preprint University Oslo 31/2003, 2003,
V. Bally.
An elementary introduction to Malliavin calculus, Research Report, Inria, Rocquencourt, February 2003, no 4718,
V. Bally.
Lower bounds for the density of locally elliptic diffusion processes, Research Report, Inria, Rocquencourt, August 2003, no 4887,
V. Bally, L. Caramellino, A. Zanette.
Pricing American options by a Monte Carlo method using a Malliavin calculus approach, Research report, INRIA, april 2003, no RR 4804,
V. Bally, B. Fernandez, A. Mela.
Balls evaluations for locally elliptic diffusion processes, working paper.
V. Bally, G. Pagès.
A quantization algorithm for solving multidimensional discrete-time Optimal Stopping problems, in: "Bernoulli", 2003, vol. 9, no 6, p. 1003–1049.
V. Bally, G. Pagès.
Error analysis of the quantization algorithm for obstacle problems, in: "Stoch. Processes and their Applications", 2003, vol. 106, no 1, p. 1–40.
D. Bell.
The Malliavin Calculus, Pitman Monographs and Surveys in Pure and Applied Math., Longman and Wiley, 1987, no 34.
F. Biagini, Y. Hu, B. Øksendal, A. Sulem.
A stochastic maximum principle for processes driven by fractional Brownian motion, in: "Stochastic Processes and their applications", 2002, vol. 100, p. 233 - 253,
H. J. Bungartz, M. Griebel.
Sparse grids, in: "Acta Numerica", 2004, p. 1–123.
P. Cohort.
Monte–Carlo methods for Pricing American Style Options, part of the documentation of Premia 3, Technical report, 2001.
J. Cvitanic, A. Lazrak, M.C. Quenez, F. Zapareto.
Incomplete Information with recursive preferences, in: "International Journal of Theoretical and Applied Finance", 2001, vol. 4, no 2, p. 245–261.
D. Duffie, L.G. Epstein.
Stochastic differential utility and asset pricing, in: "Econometrica", 1992, vol. 60, p. 353-394.
E. Fournié, J-M. Lasry, J. Lebuchoux, P-L. Lions.
Applications of Malliavin calculus to Monte Carlo methods in Finance, II, in: "Finance & Stochastics", 2001, vol. 2, no 5, p. 201-236.
E. Fournié, J-M. Lasry, J. Lebuchoux, P-L. Lions, N. Touzi.
An application of Malliavin calculus to Monte Carlo methods in Finance, in: "Finance & Stochastics", 1999, vol. 4, no 3, p. 391-412.
N. Framstad, B. Øksendal, A. Sulem.
Optimal Consumption and Portfolio in a Jump Diffusion Market, in: "proceedings du Workshop on Mathematical Finance, Inria, Paris", 1998,
H. Föllmer, M. Schweizer.
Hedging of contingent claims under incomplete information. Applied Stochastic Analysis, in: "Stochastic Monographs", (M.H.A. Davis and R.J. Elliott, eds), Gordon and Beach, 1991, no 5, p. 389-414.
V. Genon-Catalot, T. Jeantheau, C. Laredo.
Stochastic volatility models as hidden Markov models and statistical applications, in: "Bernoulli", 2000, vol. 6, no 6, p. 1051-1079.
V. Genon-Catalot, T. Jeantheau, C. Laredo.
Limit Theorems for Discretely Observed Stochastic Volatility Models, in: "Bernoulli", 1998, vol. 4, no 3, p. 283-303.
V. Genon-Catalot, T. Jeantheau, C. Laredo.
Parameter Estimation for Discretely Observed Stochastic Volatility Models, in: "Bernoulli", 1999, vol. 5, no 5, p. 858-872.
E. Gobet, G. Pagès, H. Pham, J. Printems.
Discretization and simulation for a class of SPDEs with applications to Zakai and McKean–Vlasov equations, 2004, working paper.
Y. Hu, B. Øksendal, A. Sulem.
Mathematical Physics and Stochastic Analysis, S. et al (editor)., Essays in Honour of Ludwig Streit, World Scientific, 2000, chap. Optimal portfolio in a fractional Black & Scholes market, p. 267-279,
Y. Hu, B. Øksendal, A. Sulem.
Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion, in: "Infinite Dimensional Analysis, Quantum Probability and Related Topics", 2003, vol. 40, no 4, p. 519–536.
J. Hull, A. White.
Efficient Procedures for Valuing European and American Path-Dependent Options, in: "Journal of Derivatives", 1993, vol. 1, p. 21-31.
J-Ph. Chancelier, B. Øksendal, A. Sulem.
Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control, in: "Stochastic Financial Mathematics, Moscou", A. Shiryaev (editor)., Steklov Math. Inst., 2002, vol. 237, p. 149 –173,
D. Lamberton, B. Lapeyre, A. Sulem.
Application of Malliavin Calculus to Finance, in: "special issue of Mathematical Finance", January 2003.
D. Lamberton, G. Pagès.
Recursive computation of the invariant measure of a diffusion: the case of a weakly mean reverting drift, in: "Stochastics and dynamics", 2003, vol. 4, p. 431–451.
B. Lapeyre, C. Martini.
The Premia project, in: "ERCIM news", 2000.
B. Lapeyre, A. Sulem, D. Talay.
Simulation of Financial Models: Mathematical Foundations and Applications., to appear, Cambridge University Press.
A. Lazrak, M.C.Quenez.
Generalized Stochastic Differential Utility, in: "Math. and oper. research", 2003, vol. 28, no 1, p. 154–180.
S. Lototsky, R. Mikulevicius, B. Rozovskii.
Nonlinear filtering revisited: A spectral approach, in: "SIAM J. Control Optimization", 1997, vol. 35, no 2, p. 435-461.
H. Luschgy, G. Pagès.
Functional quantization of Gaussian processes, in: "J. Funct. Anal.", 2002, vol. 196, no 2, p. 486–531.
P. Malliavin.
Stochastic calculus of variations and hypoelliptic operators, in: "Proc.Inter.Symp. on Stoch.Diff. Equations, Kyoto", Wiley 1978, 1976, p. 195-263.
N. El Karoui, C. Kapoudjian, E. Pardoux, S. P. S., M.C.Quenez.
Reflected solutions of Backward SDE's and related obstacle problems for PDE's", in: "The Annals of Probability", 1997, vol. 25, no 2, p. 702-737.
N. El Karoui, E. Pardoux, M-C.Quenez .
Numerical methods in Finance, L. Rogers, D. Talay (editors)., Cambridge University Press, 1997, chap. Reflected BSDE's and American options, p. 215-231.
N. El Karoui, M.C. Quenez.
Programmation dynamique et évaluation des actifs contingents en marché incomplet, in: "C.R.Acad.Sci.Paris", 1991, vol. 331, p. 851-854.
N. El Karoui, M.C. Quenez.
Dynamic programming and pricing of a contingent claim in an incomplete market, in: "SIAM Journal on Control and optimization", 1995, vol. 33, no 1, p. 29-66.
N. El Karoui, M.C. Quenez.
Non-linear Pricing Theory and Backward Stochastic Differential Equations, in: "Financial Mathematics", W.J. Runggaldier (editor)., Lectures Notes in Mathematics, Bressanone,1996, Springer, 1997, vol. 1656.
N.C. Framstad, B. Øksendal, A. Sulem.
Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs, in: "Journal of Mathematical Economics", 2001, vol. 35, p. 233-257,
N.El Karoui, S. Peng, M.C. Quenez.
Backward Stochastic Differential Equations in Finance, in: "Mathematical Finance", January 1997, vol. 7, no 1, p. 1-71.
D. Nualart.
The Malliavin Calculus and Related Topics, Springer–Verlag, 1995.
D. Ocone, I. Karatzas.
A generalized representation formula with application to optimal portfolios, in: "Stochastics and Stochastic Reports", 1991, vol. 34, p. 187-220.
D. Ocone.
A guide to the stochastic calculus of variations, in: "Stochastic Analysis and Related Topics", H. Koerzlioglu, S. Üstünel (editors)., Lecture Notes in Math.1316, 1987, p. 1-79.
H. Pham, M.C. Quenez.
Optimal portfolio in partially observed stochastic volatility models, in: "Annals of Applied Probability", 2001, vol. 11, no 1, p. 210-238.
M. Quenez.
Backward Stochastic Differential Equations, N. Karoui, L. Mazliak (editors)., Reasearch Notes in Mathematics Series, Longman, 1997, vol. 364, chap. Stochastic control and BSDE's.
C. Schwab, R. H. Todor.
Sparse Finite Elements for Stochastic Elliptic Problems: Higher Order Moments, in: "Computing", 2003, vol. 71, no 1, p. 43–63.
A. Tisseyre.
Stabilité et Finance, Ph. D. Thesis, Université Paris Dauphine, 1999.
T. von Petersdorff, C. Schwab.
Numerical Solution of Parabolic Equations in High Dimensions, 2004, preprint.