Inria / Raweb 2004
Team: Mathfi

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Bibliography

Major publications by the team in recent years

[1]
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.
[2]
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.
[3]
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.
[4]
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.
[5]
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.
[6]
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.
[7]
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.
[8]
D. Lamberton, L.C.G. Rogers.
Optimal stopping and embedding, in: "Journal of Applied Probability", 2000, vol. 37, p. 1143-1148.
[9]
B. Lapeyre, E. Pardoux, R. Sentis.
Introduction aux méthodes de Monte-Carlo, Collection Mathématiques et Applications, Springer Verlag, 1997.
[10]
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.
[11]
D. Lefèvre.
An introduction to Utility Maximization with Partial Observation, in: "Finance", 2002, vol. 23,
http://www.inria.fr/rrrt/rr-4183.html.

Books and Monographs

[12]
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

[13]
B. Arouna.
Adaptative Monte Carlo Method, A Variance Reduction technique, in: "Monte Carlo Methods and Applications", 2004, vol. 10, no 1.
[14]
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.
[15]
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.
[16]
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.
[17]
V. Bally, E. Pardoux, L. Stoica.
Backward stochastic differential equations associated to symmetric Markov processes, in: "Potential Theory", to appear,
http://www.inria.fr/rrrt/rr-4425.html.
[18]
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.
[19]
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.
[20]
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.
[21]
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.
[22]
J.Ph Chancelier, S. Pliska, A. Sulem.
Risk sensitive portfolio optimization with transaction costs, in: "Computational Finance", 2004, vol. 8, p. 39–63.
[23]
A. Kohatsu-Higa, A. Sulem.
Utility maximization in an insider influenced market, in: "Mathematical Finance", to appear, 2005,
http://www.inria.fr/rrrt/rr-5379.html.
[24]
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.
[25]
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.
[26]
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.
[27]
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

[28]
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".
[29]
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

[30]
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.
[31]
J. Chancelier, M. Messaoud, A. Sulem.
A policy iteration algorithm for fixed point problems with nonexpansive operators., Research report, CERMICS/ENPC, 2004, no 264.
[32]
G. Pagès, J. Printems.
Functional quantization for pricing derivatives, Research report, INRIA, Rocquencourt, 2004, no 5392,
http://www.inria.fr/rrrt/rr-5392.html.

Miscellaneous

[33]
Y. Elouerkhaoui.
Correlation of Correlation, 2004, Working Paper.
[34]
Y. Elouerkhaoui.
Credit Derivatives: Basket Asymptotics, 2004, Working Paper.
[35]
Y. Elouerkhaoui.
Credit Risk: Quadratic Hedging, 2004, Working Paper.
[36]
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.
[37]
A. Kohatsu-Higa, M. Yamazato.
Enlargement of filtrations for random times, preprint, 2004.
[38]
A. Kohatsu-Higa, M. Yamazato.
Insider modelling and logarithmic utility for models with jumps, preprint, 2004.
[39]
E. R. M.Kobylanski.
Multiple stopping time problems, Working paper, 2004.
[40]
J. Printems, B. Saussereau.
Quadratic quantization and nonlinear filtering from a spectral approach, 2004, Working paper.

Bibliography in notes

[41]
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.
[42]
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.
[43]
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.
[44]
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.
[45]
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,
http://www.math.uio.no/eprint/pure_math/2001/pure_2001.html.
[46]
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.
[47]
B. Øksendal, A. Sulem.
Partial observation control in an anticipating environment, in: "Proceedings of the Kolmogorov Conference, Moscou", Preprint University Oslo 31/2003, 2003,
http://www.math.uio.no/eprint/pure_math/2003/31-03/index.html.
[48]
V. Bally.
An elementary introduction to Malliavin calculus, Research Report, Inria, Rocquencourt, February 2003, no 4718,
http://www.inria.fr/rrrt/rr-4718.html.
[49]
V. Bally.
Lower bounds for the density of locally elliptic diffusion processes, Research Report, Inria, Rocquencourt, August 2003, no 4887,
http://www.inria.fr/rrrt/rr-4887.html.
[50]
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,
http://www.inria.fr/rrrt/rr-4804.html.
[51]
V. Bally, B. Fernandez, A. Mela.
Balls evaluations for locally elliptic diffusion processes, working paper.
[52]
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.
[53]
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.
[54]
D. Bell.
The Malliavin Calculus, Pitman Monographs and Surveys in Pure and Applied Math., Longman and Wiley, 1987, no 34.
[55]
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,
http://www.math.uio.no/eprint/pure_math/2000/24-00.html.
[56]
H. J. Bungartz, M. Griebel.
Sparse grids, in: "Acta Numerica", 2004, p. 1–123.
[57]
P. Cohort.
Monte–Carlo methods for Pricing American Style Options, part of the documentation of Premia 3, Technical report, 2001.
[58]
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.
[59]
D. Duffie, L.G. Epstein.
Stochastic differential utility and asset pricing, in: "Econometrica", 1992, vol. 60, p. 353-394.
[60]
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.
[61]
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.
[62]
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,
http://www.nhh.no/for/dp/1999/index.htm.
[63]
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.
[64]
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.
[65]
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.
[66]
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.
[67]
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.
[68]
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,
http://www.math.uio.no/eprint/pure_math/1999/13-99.html.
[69]
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.
[70]
J. Hull, A. White.
Efficient Procedures for Valuing European and American Path-Dependent Options, in: "Journal of Derivatives", 1993, vol. 1, p. 21-31.
[71]
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,
http://www.math.uio.no/eprint/pure_math/2000/16-00.html.
[72]
D. Lamberton, B. Lapeyre, A. Sulem.
Application of Malliavin Calculus to Finance, in: "special issue of Mathematical Finance", January 2003.
[73]
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.
[74]
B. Lapeyre, C. Martini.
The Premia project, in: "ERCIM news", 2000.
[75]
B. Lapeyre, A. Sulem, D. Talay.
Simulation of Financial Models: Mathematical Foundations and Applications., to appear, Cambridge University Press.
[76]
A. Lazrak, M.C.Quenez.
Generalized Stochastic Differential Utility, in: "Math. and oper. research", 2003, vol. 28, no 1, p. 154–180.
[77]
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.
[78]
H. Luschgy, G. Pagès.
Functional quantization of Gaussian processes, in: "J. Funct. Anal.", 2002, vol. 196, no 2, p. 486–531.
[79]
P. Malliavin.
Stochastic calculus of variations and hypoelliptic operators, in: "Proc.Inter.Symp. on Stoch.Diff. Equations, Kyoto", Wiley 1978, 1976, p. 195-263.
[80]
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.
[81]
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.
[82]
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.
[83]
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.
[84]
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.
[85]
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,
http://www.math.uio.no/eprint/pure_math/2000/26-00.html.
[86]
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.
[87]
D. Nualart.
The Malliavin Calculus and Related Topics, Springer–Verlag, 1995.
[88]
D. Ocone, I. Karatzas.
A generalized representation formula with application to optimal portfolios, in: "Stochastics and Stochastic Reports", 1991, vol. 34, p. 187-220.
[89]
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.
[90]
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.
[91]
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.
[92]
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.
[93]
A. Tisseyre.
Stabilité et Finance, Ph. D. Thesis, Université Paris Dauphine, 1999.
[94]
T. von Petersdorff, C. Schwab.
Numerical Solution of Parabolic Equations in High Dimensions, 2004, preprint.

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