Section: Contracts and Grants with Industry
ANR program
ANR program GCPMF "Grid Computation for Financial Mathematics" (partners : Calyon, Centrale, EDF, ENPC, INRIA, Ixis, Paris 6, Pricing Partner, Summit, Supelec)
Global coordinator: B. Lapeyre
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