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49 research outputs found

Unbiased Monte Carlo Simulation of Diffusion Processes

Author: Louis Paulot
P Henry-Labord�re
V Bally
Publication venue: 'Elsevier BV'
Publication date: 01/01/2016
Field of study

Vega Decomposition of Exotics on Vanillas: A Monte-Carlo Approach

Author: B Dupire
B Dupire
B Dupire
E Fourni�
G Blacher
H-P Bermin
P Carr
P Henry-Labord�re
P Henry-Labord�re
Pierre Henry-Labordere
R Carmona
S Cr�pey
V Sobolev
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

(Martingale) Optimal Transport and Anomaly Detection with Neural Networks: A Primal-Dual Algorithm

Author: A Chambolle
A De March
A De March
A De March
A Galichon
A Genevay
C Villani
D P Kingma
G Guo
Henry-Labord�re
I Goodfellow
M Arjovsky
M Beiglb�ck
M Beiglb�ck
M Cuturi
O Bousquet
P Henry-Labord�re
P Henry-Labord�re
Pierre Henry-Labordere
S Eckstein
V Seguy
Publication venue: 'Elsevier BV'
Publication date: 01/01/2019
Field of study

Exact Simulation of Multi-Dimensional Stochastic Differential Equations

Author: A Beskos
A Beskos
A Fahim
B Dupire
B Jourdain
E Fourni�
I Ekren
I Ekren
M Broadie
Nizar Touzi
P Henry-Labord�re
P Henry-Labord�re
P Kloeden
Pierre Henry-Labordere
S Alanko
V Bally
Xiaolu Tan
Publication venue: 'Elsevier BV'
Publication date: 01/01/2015
Field of study

The Smile in Stochastic Volatility Models

Author: A Lewis
D Backus
J Gatheral
Julien Guyon
L Bergomi
L Bergomi
L Bergomi
Lorenzo Bergomi
P Balland
P Henry-Labord�re
R Lee
S Heston
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Equity Modeling with Stochastic Dividends

Author: B Dupire
B Dupire
H Buehler
H Buehler
Hamza Guennoun
J Gatheral
J Guyon
J Guyon
P Delanoe
P Henry-Labord�re
Soci�t� G�n�rale
Publication venue: 'Elsevier BV'
Publication date: 01/01/2017
Field of study

A New Class of Local Correlation Models

Author: A Ahdida
A Langnau
A Reghai
B Dupire
B Dupire
B Jourdain
C Gourieroux
D G Hobson
Da Fonseca
De Col
I Gy�ngy
J Gatheral
J Guyon
J Guyon
J Guyon
Julien Guyon
M Avellaneda
N El Karoui
N Higham
O Kovrizhkin
P Austing
P Delanoe
P Henry-Labord�re
P Henry-Labord�re
R Cont
S Corlay
V Durrleman
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

Optimal Posting of Collateral with Recurrent Neural Networks

Author: A Hernandez
A Kondratyev
C Bishop
D P Kingma
Global Market Quantitative
I Goodfellow
J Guyon
J Guyon
J Han
J Kennedy
P Henry-Labord�re
P Xiao
Pierre Henry-Labordere
S Mallat
V Piterbarg
Publication venue: 'Elsevier BV'
Publication date: 01/01/2018
Field of study

On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels

Author: A Langnau
B Dupire
B �ksendal
C Albanese
D R Cox
E C Titchmarsh
E Derman
F Black
G Campolieti
G Campolieti
G Fusai
H Langer
H P Mckean
I Karatzas
I Tydniouk
Igor Tydniouk
J Gatheral
J Hull
J Li
L A Sakhnovich
L Clewlow
M Rubinstein
M Rubinstein
N Dunford
P Henry-Labord�re
P Henry-Labord�re
P Henry-Labord�re
R C Merton
R C Merton
R Chatterjee
R S Phillips
R Seydel
Rupak Chatterjee
S E Shreve
S L Heston
Sebastian Tudor
V Linetsky
W A Strauss
Publication venue: 'Elsevier BV'
Publication date: 01/01/2018
Field of study

Model-Independent Bounds for Option Prices: A Mass Transport Approach

Author: A Galichon
A M G Cox
A M G Cox
A M G Cox
A Neuberger
B Dupire
C Villani
C Villani
D B Madan
D Bertsimas
D Hobson
D Hobson
D Hobson
D Hobson
D Hobson
D Hobson
D Hobson
D Hobson
D R Adams
Friedrich Penkner
H Albrecher
H Brown
H Brown
H G Kellerer
H Strasser
L Ambrosio
L Bergomi
L Cousot
M Beiglb�ck
M H A Davis
Mathias Beiglböck
P Carr
P Henry-Labord�re
P Henry-Labord�re
P Henry-Labord�re
P Laurence
P Laurence
Pierre Henry-Labordere
Springer-Verlag
V Strassen
W H Press
X Chen
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

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