Section: Contracts and Grants with Industry
BNP-Paribas
Participants : D. Pommier, Y. Achdou, A. Sulem.
Cifre agreement BNP-Paribas/INRIA on : "sparse grids for large dimensional financial issues''
Team
Mathfi
Scientific Foundations
Application Domains
New Results
- Numerical methods for option pricing
- Discretization of stochastic differential equations
- Monte Carlo simulations and stochastic algorithms
- Functional quantization for option pricing in a non Markovian setting
- Computation of sensitivities (Greeks) and conditional expectations using Malliavin calculus
- Lower bounds for the density of a functional
- Optimal stopping and American Options
- Sparse grids methods for PDEs in Mathematical Finance
- Stochastic control - Application in finance and assurance
- Utility maximization in an insider influenced market
Contracts and Grants with Industry
Dissemination
Bibliography