Emmanuel Gobet

166

Documents

Publications

	Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling Michaël Allouche , Emmanuel Gobet , Clara Lage , Edwin Mangin Computational Statistics, 2024, ⟨10.1007/s00180-023-01449-y⟩ Article dans une revue hal-03715954v2
	Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation Emmanuel Gobet , Clara Lage Annals of Operations Research, 2023, ⟨10.1007/s10479-023-05385-4⟩ Article dans une revue hal-03423114v2
	Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice Quantitative Finance, 2023, 23 (9), pp.1285-1304. ⟨10.1080/14697688.2023.2229022⟩ Article dans une revue hal-03715921v1
	Weak approximations and VIX option price expansions in forward variance curve models F. Bourgey , Emmanuel Gobet , S. de Marco Quantitative Finance, 2023, 23 (9), pp.1259-1283. ⟨10.1080/14697688.2023.2227230⟩ Article dans une revue hal-04507054v1
	Estimation of extreme quantiles from heavy-tailed distributions with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet Statistics and Computing, 2023, 34 (12), pp.1-35 Article dans une revue hal-03751980v1
	Extended McKean-Vlasov optimal stochastic control applied to smart grid management Emmanuel Gobet , Maxime Grangereau ESAIM: Control, Optimisation and Calculus of Variations, 2022, 28, pp.40. ⟨10.1051/cocv/2022034⟩ Article dans une revue hal-02181227v2
	Bridging socioeconomic pathways of CO2 emission and credit risk Florian Bourgey , Emmanuel Gobet , Ying Jiao Annals of Operations Research, 2022, ⟨10.1007/s10479-022-05135-y⟩ Article dans une revue hal-03458299v2
	A comparative study of polynomial-type chaos expansions for indicator functions Florian Bourgey , Emmanuel Gobet , Clément Rey SIAM/ASA Journal on Uncertainty Quantification, 2022, 10 (4), pp.1350-1383. ⟨10.1137/21M1413146⟩ Article dans une revue hal-03199734v1
	A generative model for fBm with deep ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet Journal of Complexity, 2022, 73, pp.101667. ⟨10.1016/j.jco.2022.101667⟩ Article dans une revue hal-03237854v4
	Newton method for stochastic control problems Emmanuel Gobet , Maxime Grangereau SIAM Journal on Control and Optimization, 2022, 60 (5), pp.2996-3025. ⟨10.1137/21M1408567⟩ Article dans une revue hal-03108627v1
	EV-GAN: Simulation of extreme events with ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet Journal of Machine Learning Research, 2022, 23 (150), pp.1--39 Article dans une revue hal-03250663v3
	Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations Emmanuel Gobet , Isaque Pimentel , Xavier Warin Finance and Stochastics, 2020, 24 (3), pp.633-675. ⟨10.1007/s00780-020-00428-1⟩ Article dans une revue hal-01761234v1
	Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations F Bourgey , S de Marco , Emmanuel Gobet , Alexandre Zhou Monte Carlo Methods and Applications, 2020, 26 (2), ⟨10.1515/mcma-2020-2062⟩ Article dans une revue hal-02430430v1
	Orlicz Random Fourier Features Linda Chamakh , Emmanuel Gobet , Zoltán Szabó Journal of Machine Learning Research, 2020, 21 (145), pp.1−37 Article dans une revue hal-02418576v2
	Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski SIAM/ASA Journal on Uncertainty Quantification, inPress, 8 (3), pp.1061-1089 Article dans une revue hal-01629952v4
	Parametric inference for diffusions observed at stopping times Emmanuel Gobet , Uladzislau Stazhynski Electronic Journal of Statistics , 2020, 14 (1), ⟨10.1214/20-EJS1708⟩ Article dans une revue hal-01879286v1
	Meta-model of a large credit risk portfolio in the Gaussian copula model Florian Bourgey , Emmanuel Gobet , Clément Rey SIAM Journal on Financial Mathematics, 2020, 11 (4), pp.1098-1136. ⟨10.1137/19M1292084⟩ Article dans une revue hal-02291548v2
	Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , José G López-Salas , Fanny Noubiagain ESAIM: Proceedings and Surveys, 2019, 65, pp.1-26. ⟨10.1051/proc/201965001⟩ Article dans une revue hal-01686952v3
	Quantification d'incertitude pour l'Approximation Stochastique Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski Actes de Conférence du Colloque GRETSI 2019, 2019 Article dans une revue hal-02415192v1
	Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs Emmanuel Gobet , José Germán López-Salas , Carlos Vázquez Archives of Computational Methods in Engineering, 2019, 27 (3), pp.889-921. ⟨10.1007/s11831-019-09335-x⟩ Article dans une revue hal-01904457v1
	Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case David Barrera , Emmanuel Gobet Journal of Complexity, 2019, 52, pp.45-81. ⟨10.1016/j.jco.2019.01.003⟩ Article dans une revue hal-01832195v2
	Volatility uncertainty quantification in a stochastic control problem applied to energy Francisco Bernal , Emmanuel Gobet , Jacques Printems Methodology and Computing in Applied Probability, 2019, 22 (1), pp.135-159. ⟨10.1007/s11009-019-09692-x⟩ Article dans une revue hal-01784095v1
	Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations David Barrera , Stéphane Crépey , Babacar Diallo , Gersende Fort , Emmanuel Gobet ESAIM: Proceedings and Surveys, In press Article dans une revue hal-01710394v1
	Analytical approximations of local-Heston volatility model and error analysis Romain Bompis , Emmanuel Gobet Mathematical Finance, 2018, 28 (3), pp.920-961. ⟨10.1111/mafi.12154⟩ Article dans une revue hal-00839650v2
	Study of new rare event simulation schemes and their application to extreme scenario generation Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu Mathematics and Computers in Simulation, 2018, 143, pp.89-98. ⟨10.1016/j.matcom.2017.05.004⟩ Article dans une revue hal-01249625v1
	Model-adaptive optimal discretization of stochastic integrals Emmanuel Gobet , Uladzislau Stazhynski Stochastics: An International Journal of Probability and Stochastic Processes, 2018, 91 (3), pp.321-351. ⟨10.1080/17442508.2018.1539087⟩ Article dans une revue hal-04507055v1
	Analytical approximations of non-linear SDEs of McKean-Vlasov type Emmanuel Gobet , Stefano Pagliarani Journal of Mathematical Analysis and Applications, 2018, 466 (1), pp.71-106. ⟨10.1016/j.jmaa.2018.05.059⟩ Article dans une revue hal-01395840v1
	Optimal discretization of stochastic integrals driven by general Brownian semimartingale Emmanuel Gobet , Uladzislau Stazhynski Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2018, 54 (3), ⟨10.1214/17-AIHP848⟩ Article dans une revue hal-01241190v2
	A NON-INTRUSIVE STRATIFIED RESAMPLER FOR REGRESSION MONTE CARLO: APPLICATION TO SOLVING NON-LINEAR EQUATIONS Emmanuel Gobet , Gang Liu , Jorge Zubelli SIAM Journal on Numerical Analysis, 2018, 56 (1), pp.50-77. ⟨10.1137/16M1066865⟩ Article dans une revue hal-01291056v1
	Convergence rate of strong approximations of compound random maps Emmanuel Gobet , Mohamed Mrad Discrete & Continuous Dynamical Systems- Series-B, 2018 Article dans une revue hal-01141320v2
	Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations Emmanuel Gobet , P. Turkedjiev Stochastic Processes and their Applications, 2017, 127 (4), pp.1171-1203. ⟨10.1016/j.spa.2016.07.011⟩ Article dans une revue hal-01169119v1
	MCMC design-based non-parametric regression for rare-event. Application to nested risk computations Gersende Fort , Emmanuel Gobet , Éric Moulines Monte Carlo Methods and Applications, 2017, 23 (1), pp.21--42 Article dans une revue hal-01394833v1
	Thematic cycle on Monte-Carlo Techniques Bruno Bouchard , Emmanuel Gobet , Benjamin Jourdain ESAIM: Proceedings and Surveys, 2017, 59, ⟨10.1051/proc/201759000⟩ Article dans une revue hal-02101096v1
	First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations Bruno Bouchard , Stefan Geiss , Emmanuel Gobet Bernoulli, 2017, 23 (3), pp.1631-1662. ⟨10.3150/15-BEJ791⟩ Article dans une revue hal-00844887v2
	MCMC design-based non-parametric regression for rare event. Application to nested risk computation. Gersende Fort , Emmanuel Gobet , Éric Moulines Monte Carlo Methods and Applications, 2017 Article dans une revue hal-01711748v1
	Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression Emmanuel Gobet , Plamen Turkedjiev Bernoulli, 2016, 22 (1), ⟨10.3150/14-BEJ667⟩ Article dans une revue hal-00855760v2
	Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph Emmanuel Gobet , Gustaw Matulewicz Statistical Inference for Stochastic Processes, 2016, 20 (2), pp.211-235. ⟨10.1007/s11203-016-9142-4⟩ Article dans une revue hal-01271994v1
	Empirical Regression Method for Backward Doubly Stochastic Differential Equations Achref Bachouch , Emmanuel Gobet , Anis Matoussi SIAM/ASA Journal on Uncertainty Quantification, 2016, 4 (1), pp.358-379. ⟨10.1137/15M1022094⟩ Article dans une revue hal-01152886v1
	Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs Emmanuel Gobet , Jose Lopez-Salas , Plamen Turkedjiev , C. Vázquez SIAM Journal on Scientific Computing, 2016, 38 (6), pp.C652-C677. ⟨10.1137/16M106371X⟩ Article dans une revue hal-01186000v1
	Rare event simulation using reversible shaking transformations Emmanuel Gobet , Gang Liu SIAM Journal on Scientific Computing, 2015, 37 (5), pp.A2295-A2316. ⟨10.1137/14098418X⟩ Article dans une revue hal-01058748v1
	Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions Emmanuel Gobet , Plamen Turkedjiev Mathematics of Computation, 2015, 85 (299), pp.1359-1391. ⟨10.1090/mcom/3013⟩ Article dans une revue hal-00642685v4
	Analytical approximations of BSDEs with non-smooth driver Emmanuel Gobet , Stefano Pagliarani SIAM Journal on Financial Mathematics, 2015, 6 (1), pp.919-958. ⟨10.1137/14100021X⟩ Article dans une revue hal-01003913v1
	Almost sure optimal hedging strategy Emmanuel Gobet , Nicolas Landon The Annals of Applied Probability, 2014, 24 (4), pp.1652--1690 Article dans une revue hal-00657153v2
	Optimization of joint p-variations of Brownian semimartingales Emmanuel Gobet , Nicolas Landon Electronic Communications in Probability, 2014, 19 (none), ⟨10.1214/ECP.v19-2975⟩ Article dans une revue hal-00853590v2
	Stochastic Approximation Finite Element method: analytical formulas for multidimensional diffusion process Romain Bompis , Emmanuel Gobet SIAM Journal on Numerical Analysis, 2014, 52 (6), pp.3140-3164. ⟨10.1137/130928431⟩ Article dans une revue hal-00842608v1
	Weak approximation of averaged diffusion processes Emmanuel Gobet , Mohammed Miri Stochastic Processes and their Applications, 2014, 124, pp.475--504 Article dans une revue hal-00618470v1
	Preliminary control variates to improve empirical regression methods Tarik Benzineb , Emmanuel Gobet Monte Carlo Methods and Applications, 2013, 19 (4), pp.331--354 Article dans une revue hal-00802394v1
	Analytical formulas for local volatility model with stochastic rates Eric Benhamou , Emmanuel Gobet , Mohammed Miri Quantitative Finance, 2012, 12 (2), pp.185-198. ⟨10.1080/14697688.2010.523011⟩ Article dans une revue hal-00425392v1
	Stochastic expansion for the pricing of call options with discrete dividends Pierre Etoré , Emmanuel Gobet Applied Mathematical Finance, 2012, 19 (3), pp.233-264. ⟨10.1080/1350486X.2011.620397⟩ Article dans une revue hal-00507787v1
	The tracking error rate of the Delta-Gamma hedging strategy Emmanuel Gobet , Azmi Makhlouf Mathematical Finance, 2012, 22 (2), pp.277-309. ⟨10.1111/j.1467-9965.2010.00466.x⟩ Article dans une revue hal-00401182v1
	Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition Christel Geiss , Stefan Geiss , Emmanuel Gobet Stochastic Processes and their Applications, 2012, 122 (5), pp.2078--2116 Article dans une revue hal-00572496v1
	Solving BSDE with adaptive control variate Emmanuel Gobet , Céline Labart SIAM Journal on Numerical Analysis, 2010, 48 (1), pp.257-277. ⟨10.1137/090755060⟩ Article dans une revue hal-00373350v1
	L2-time regularity of BSDEs with irregular terminal functions Emmanuel Gobet , Azmi Makhlouf Stochastic Processes and their Applications, 2010, 120 (7), pp.1105-1132. ⟨10.1016/j.spa.2010.03.003⟩ Article dans une revue hal-00291768v1
	Expansion formulas for European options in a local volatility model Eric Benhamou , Emmanuel Gobet , Mohammed Miri International Journal of Theoretical and Applied Finance, 2010, 13 (4), pp.603-634. ⟨10.1142/S0219024910005887⟩ Article dans une revue hal-00325939v1
	Stopped diffusion processes: boundary corrections and overshoot Emmanuel Gobet , Stéphane Menozzi Stochastic Processes and their Applications, 2010, 120 (2), pp.130-162. ⟨10.1016/j.spa.2009.09.014⟩ Article dans une revue hal-00157975v3
	Time dependent Heston model Eric Benhamou , Emmanuel Gobet , Mohammed Miri SIAM Journal on Financial Mathematics, 2010, 1 (1), pp.289-325. ⟨10.1137/090753814⟩ Article dans une revue hal-00370717v1
	Smart expansion and fast calibration for jump diffusion Eric Benhamou , Emmanuel Gobet , Mohammed Miri Finance and Stochastics, 2009, 13 (4), pp.563-589. ⟨10.1007/s00780-009-0102-3⟩ Article dans une revue hal-00200395v2
	Sharp estimates for the convergence of the density of the Euler scheme in small time Emmanuel Gobet , Celine Labart Electronic Communications in Probability, 2008, 13, pp.352-363. ⟨10.1214/ECP.v13-1393⟩ Article dans une revue hal-00281365v1
	LAMN property for hidden processes: the case of integrated diffusions Arnaud Gloter , Emmanuel Gobet Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2008, 44 (1), pp.104-128. ⟨10.1214/07-AIHP111⟩ Article dans une revue hal-00159317v1
	Error expansion for the discretization of Backward Stochastic Differential Equations Emmanuel Gobet , Céline Labart Stochastic Processes and their Applications, 2007, 117 (7), pp.803-829. ⟨10.1016/j.spa.2006.10.007⟩ Article dans une revue hal-00019463v1
	Numerical methods for the pricing of Swing options: a stochastic control approach Christophe Barrera-Esteve , Florent Bergeret , Charles H Dossal , Emmanuel Gobet , Asma Meziou Methodology and Computing in Applied Probability, 2006, Methodology and Computing in Applied Probability, 8 (4), pp.517-540. ⟨10.1007/s11009-006-0427-8⟩ Article dans une revue inria-00117175v1
	Discretization and simulation of the Zakai equation Emmanuel Gobet , Gilles Pagès , Huyên Pham , Jacques Printems SIAM Journal on Numerical Analysis, 2006, 44 (6), pp.2505-2538. ⟨10.1137/050623140⟩ Article dans une revue hal-00394974v1
	Sequential control variates for functionals of Markov processes Emmanuel Gobet , Sylvain Maire SIAM Journal on Numerical Analysis, 2006, 43 (3), pp.1256-1275. ⟨10.1137/040609124⟩ Article dans une revue hal-01479838v1
	Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations Jean-Philippe Lemor , Emmanuel Gobet , Xavier Warin Bernoulli, 2006, 12 (5), pp.889-916. ⟨10.3150/bj/1161614951⟩ Article dans une revue hal-00394976v1
	Boundary sensitivities for diffusion processes in time dependent domains Cristina Costantini , Emmanuel Gobet , Nicole El Karoui Applied Mathematics and Optimization, 2006, 54 (2), pp.159-187. ⟨10.1007/s00245-006-0863-4⟩ Article dans une revue hal-00103259v1
	Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equations Emmanuel Gobet , Gilles Pagès , Huyên Pham , Jacques Printems SIAM Journal on Numerical Analysis, 2006, 44 (6), pp.2505-2538. ⟨10.1137/050623140⟩ Article dans une revue hal-00003917v3
	Discretization and simulation for a class of SPDE's with applications to Zakai and McKean-Vlasov equations Emmanuel Gobet , G. Pagès , H. Pham , J. Printems SIAM Journal on Numerical Analysis, 2006, 44 (6), pp.2505-2538 Article dans une revue hal-00211911v1
	Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme Emmanuel Gobet , Stéphane Menozzi Stochastic Processes and their Applications, 2004, 112 (2), pp.201-223 Article dans une revue hal-00102258v1
	A spectral Monte Carlo method for the Poisson equation Emmanuel Gobet , Sylvain Maire Monte Carlo Methods and Applications, 2004, 10 (3-4), pp.275-285 Article dans une revue hal-01479844v1

	Estimation of extreme risk measures with neural networks Michaël Allouche , Emmanuel Gobet , Stéphane Girard UQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste, Italy Communication dans un congrès hal-04491919v1
	Learning of extreme Expected Shortfall with neural networks. Application to cryptocurrency data Michaël Allouche , Stéphane Girard , Emmanuel Gobet ICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands Communication dans un congrès hal-04534639v1
	Neural networks based learning applied to extreme statistics and sampling rare events Michaël Allouche , Stéphane Girard , Emmanuel Gobet , Jean Pachebat UQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste (Italy), Italy Communication dans un congrès hal-04491904v1
	Simulation of multivariate extreme events with generative models Jean Pachebat , Stéphane Girard , Emmanuel Gobet ICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands Communication dans un congrès hal-04534649v1
	Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3 Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice Financial Risks International Forum, Mar 2024, Paris, France Communication dans un congrès hal-04511393v1
	Quantitative modelling and analysis of the Automated Market Maker Uniswap Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice International Conference on Computational Finance, CWI, Apr 2024, Amsterdam, Netherlands Communication dans un congrès hal-04507022v1
	Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3 Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice Blockchain@X-OMI Workshop on Blockchain and Decentralized Finance, Sep 2023, Paris, France Communication dans un congrès hal-04506995v1
	Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation Emmanuel Gobet , Clara Lage 10th International Congress on Industrial and Applied Mathematics, Aug 2023, Tokyo, Japan Communication dans un congrès hal-04506972v1
	Estimation of extreme expected shortfall with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet CMStatistics 2023 - 16th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2023, Berlin, Germany Communication dans un congrès hal-04350438v1
	Mean estimation for Randomized Quasi Monte Carlo method Emmanuel Gobet , Matthieu Lerasle , David Métivier Foundations of Computational Mathematics, Jun 2023, Paris, France Communication dans un congrès hal-04507005v1
	Structured dictionary learning of rating migration matrices for credit risk modeling Michaël Allouche , Emmanuel Gobet , Clara Lage , Edwin Mangin JAFEE-ISM International Symposium, Aug 2023, Tokyo, Japan Communication dans un congrès hal-04506976v1
	Tutorial "Quantitative issues in Centralised and Decentralised Finance" Emmanuel Gobet , Anastasia Melachrinos 2023 SIAM Financial Mathematics and Engineering, Jun 2023, Philadelphia, United States Communication dans un congrès hal-04507000v1
	Statistical Error Bounds for Weighted Mean and Median, with Application to Robust Aggregation of Cryptocurrency Data Michaël Allouche , Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice Workshop "Stochastics around Finance", Aug 2023, Kanazawa, Japan Communication dans un congrès hal-04506997v1
	Generative modeling of extremes with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet 2023 - Accelerating Generative Models and Nonconvex Optimisation Workshop, The Alan Turing Institute, Mar 2023, London, United Kingdom Communication dans un congrès hal-04057231v1
	On the estimation of extreme quantiles with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet Journée "Evénements extrêmes et risques", réseau RESSTE (Risques, Extrêmes et Statistique Spatio-TEmporelle), Jun 2023, Marseille, France Communication dans un congrès hal-04124085v1
	Learning extreme expected shortfall with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet ICSDS 2023 - IMS International Conference on Statistics and Data Science, Dec 2023, Lisbon, Portugal Communication dans un congrès hal-04350510v1
	Generative modeling of extremes with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet SNSL 2023 - Workshop on Stochastic Numerics and Statistical Learning: Theory and Applications, KAUST, May 2023, KAUST, Saudi Arabia Communication dans un congrès hal-04506774v1
	Walking forward and backward in Euler schemes and random number generators Pierre Cohort , Emmanuel Gobet , Mohamed Mrad Workshop "A Random Walk in the Land of Stochastic Analysis and Numerical Probability" (in the honour of Denis Talay), Sep 2023, Marseille, France Communication dans un congrès hal-04507013v1
	Decentralized Finance & Blockchain Technology Emmanuel Gobet , Anastasia Melachrinos SIAM Financial Mathematics and Engineering 2023, Jun 2023, Philadelphia, United States Communication dans un congrès hal-04131680v1
	Estimation of extreme quantiles from heavy-tailed distributions with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet EVA 2023 - 13th International Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications, Jun 2023, Milan, Italy Communication dans un congrès hal-04170136v1
	Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice Research in Options, FGV-IMPA, Aug 2022, Rio de Jaineiro, Brazil Communication dans un congrès hal-04506993v1
	Estimation of extreme quantiles from heavy-tailed distributions with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet CMStatistics 2022 - 15th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2022, London, United Kingdom Communication dans un congrès hal-03910645v1
	Newton method for stochastic control problems Emmanuel Gobet , Maxime Grangereau 9th International Colloquium on BSDEs and Mean Field Systems, Jul 2022, Annecy, France Communication dans un congrès hal-04506990v1
	Estimation of extreme quantiles with neural networks, application to extreme rainfalls Michaël Allouche , Stéphane Girard , Emmanuel Gobet SOPHI.A Summit Conference, Nov 2022, Nice, France Communication dans un congrès hal-04506763v1
	Sensitivity Analysis Methodology for Extreme Financial Risks Using Splitting Methods based on Reversible Transformations Emmanuel Gobet , Ankush Agarwal , Gang Liu , Stefano de Marco SIAM Conference on Uncertainty Quantification, Apr 2022, Atlanta, United States Communication dans un congrès hal-04507009v1
	EV-GAN: Simulation of extreme events with ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet EcoSta 2022 - 5th International Conference on Econometrics and Statistics, Jun 2022, Kyoto, Japan Communication dans un congrès hal-03689703v1
	Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation Emmanuel Gobet , Clara Lage Research in Options, IMPA, Nov 2021, Rio de Jaineiro, Brazil Communication dans un congrès hal-04506967v1
	Federated mean-field stochastic control with common noise of numerous heterogeneous energy storage systems Emmanuel Gobet , Maxime Grangereau 13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Manheim, Germany Communication dans un congrès hal-04506983v1
	Decentralized Stochastic Control of Heterogeneous Energy Systems Emmanuel Gobet , Maxime Grangereau SIAM Conference on Financial Mathematics and Engineering, Jun 2021, Online, United States Communication dans un congrès hal-04506980v1
	Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributions Stéphane Girard , Emmanuel Gobet CMStatistics 2021 - 14th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2021, London, United Kingdom Communication dans un congrès hal-03501785v1
	A generative model for fBm with deep ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet 13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Mannheim (online), Germany Communication dans un congrès hal-04506755v1
	On the approximation of extreme quantiles with ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet EVA 2021 - 12th International Conference on Extreme Value Analysis, Jun 2021, Edinburgh / Virtual, United Kingdom Communication dans un congrès hal-03301431v1
	Generative model for fbm with deep ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet Bernoulli-IMS 2021 - 10th World Congress in Probability and Statistics, Jul 2021, Seoul / Virtual, South Korea Communication dans un congrès hal-03301609v1
	A quantitative approach to climate-related credit risk, using Shared Socioeconomic Pathways Florian Bourgey , Emmanuel Gobet , Ying Jiao Quant Minds, Dec 2021, Barcelona, Spain Communication dans un congrès hal-04506781v1
	A generative model for fBm with deep ReLU neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet Workshop on Numerical Analysis of Stochastic Partial Differential Equations, Nov 2021, Marseille, France Communication dans un congrès hal-04506759v1
	Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino 12th International Conference on Extreme Value Analysis, Jul 2021, Edinburgh, United Kingdom Communication dans un congrès hal-04506737v1
	Orlicz norm and concentration inequalities for beta-heavy tailed distributions Linda Chamakh , Emmanuel Gobet , Wenjun Liu Bernoulli-IMS 10th World Congress in Probability and Statistics, Jul 2021, Seoul, South Korea Communication dans un congrès hal-04506745v1
	On the approximation of extreme quantiles with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet SFdS 2021 - 52èmes Journées de Statistique de la Société Française de Statistique, Jun 2021, Nice, France. pp.1-5 Communication dans un congrès hal-03268702v1
	Estimation of the tail-index and extreme quantiles from a mixture of heavy-tailed distributions Stéphane Girard , Emmanuel Gobet RESIM 2021 - 13th International Workshop on Rare-Event Simulation, May 2021, Paris / Virtual, France. pp.1 Communication dans un congrès hal-03235031v1
	Regression Monte Carlo methods for HJB-type equations: which approximation space? David Barrera , Emmanuel Gobet , Jose Lopez-Salas , Plamen Turkedjiev , Carlos Vasquez ICODE workshop on numerical solution of HJB equations, Jan 2020, Paris, France Communication dans un congrès hal-04506714v1
	Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino 14th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, Aug 2020, Oxford (UK), United Kingdom Communication dans un congrès hal-04506728v1
	Weak approximations and VIX option prices expansions in rough forward variances models Florian Bourgey , Emmanuel Gobet , Stefano de Marco Research in Options, IMPA, Dec 2020, Rio de Jaineiro, Brazil Communication dans un congrès hal-04506740v1
	Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino Bernoulli-IMS One World Symposium, Aug 2020, Seoul, South Korea Communication dans un congrès hal-04506703v1
	Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino INFORMS Annual Meeting, Nov 2020, Catonsville (virtual), United States Communication dans un congrès hal-04506721v1
	Model-Uncertain Value-at-Risk, Expected Shortfall and Sharpe Ratio, Using Stochastic Approximation Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski SIAM Conference on Fin. Math. & Eng, Jun 2019, Toronto, Canada Communication dans un congrès hal-04506676v1
	Uncertainty Quantification For Stochastic Approximation limits and applications to risk/performance metrics in finance Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski 12th International Conference on Monte Carlo Methods and Applications, Jul 2019, Sydney, Australia Communication dans un congrès hal-04506646v1
	Modeling and computing the adjustment of IM in pricing/hedging derivatives Ankush Agarwal , Florian Bourgey , Emmanuel Gobet , Jose Lopez-Salas , Stefano de Marco Quant Minds, May 2019, Vienna, Austria Communication dans un congrès hal-04506696v1
	Model-uncertain value-at-risk, expected shortfall and sharpe ratio, using Stochastic Approximation Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski Workshop on Asset Pricing and Risk Management, IMS-NUS, Aug 2019, Singapore, Singapore Communication dans un congrès hal-04506679v1
	Central limit theorem for discretization errors based on general stopping time sampling Emmanuel Gobet , Nicolas Landon , Uladzislau Stazhynski 12th International Conference on Monte Carlo Methods and Applications, Jul 2019, Sydney, Australia Communication dans un congrès hal-04506650v1
	Tutorial on "Monte-Carlo methods for tail risks" Emmanuel Gobet SIAM Conference on Fin. Math. & Eng., Jun 2019, Toronto, Canada Communication dans un congrès hal-04506655v1
	MCMC and nested extreme risks Gersende Fort , Emmanuel Gobet , Éric Moulines SIAM UQ Conference, Apr 2018, Garden Grove, United States Communication dans un congrès hal-04506630v1
	Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach Jordi Badosa , Emmanuel Gobet , Maxime Grangereau , Daeyoung Kim Conference "Statistics for Energy Markets", Jun 2018, Dourdan, France Communication dans un congrès hal-04506579v1
	Uncertainty Quantification of Stochastic Approximation Limits Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski Workshop Optimization and Learning, IMT, Sep 2018, Toulouse, France Communication dans un congrès hal-04506617v1
	MCMC and nested extreme risks Gersende Fort , Emmanuel Gobet , Éric Moulines 12th Int’l Workshop on Rare-Event Simulation, KTH Royal Institute of Technology, Aug 2018, Stockholm, France Communication dans un congrès hal-04506609v1
	Time dependent Heston model Emmanuel Gobet SMAI 2009 - 4e Biennale Française des Mathématiques Appliquées et Industrielles, May 2009, La Colle sur Loup, France Communication dans un congrès hal-00781449v1
	Approximative closed formulas for models with local/stochastic volatility Emmanuel Gobet Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences, Nov 2008, Linz, Austria Communication dans un congrès hal-00781448v1
	Adaptive Monte Carlo scheme for the numerical approximation of BSDEs Emmanuel Gobet 5th Colloquium on BDSEs and Finance, Jun 2008, Le Mans, France Communication dans un congrès hal-00781442v1
	Closed pricing formula via weak approximation of financial models Emmanuel Gobet 5th European Congress of Mathematics, Jul 2008, Amsterdam, Netherlands Communication dans un congrès hal-00781445v1
	Smart Expansions and fast calibration methods for jump diffusion models Emmanuel Gobet International Conference on New Directions in Quantitative Finance, May 2008, Paris, France Communication dans un congrès hal-00781444v1
	Analytical pricing formulas for models with local volatilities and jumps Emmanuel Gobet Workshop on Numerics and Stochastics, Aug 2008, Helsinki, Finland Communication dans un congrès hal-00781446v1
	A Sequential Monte-Carlo algorithm for solving BSDEs Emmanuel Gobet , Céline Labart ICIAM07 - 6th International Congress on Industrial Applied Mathematics, Jul 2007, Zurich, Switzerland. pp.1081801-1081802, ⟨10.1002/pamm.200700298⟩ Communication dans un congrès hal-00393602v1
	A class of financial products and models where super-replication prices are explicit Laurence Carassus , Emmanuel Gobet , Emmanuel Temam 6th Ritsumeikan International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan. pp.67-84, ⟨10.1142/9789812770448_0004⟩ Communication dans un congrès hal-00171582v1
	A robust Monte Carlo approach for the simulation of generalized Backward Stochastic Differential Equations Emmanuel Gobet 6th International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan Communication dans un congrès hal-00104054v1
	Mathematics and finance Emmanuel Gobet , Gilles Pagès , Marc Yor Financial Mathematics, Feb 2005, Paris, France. pp.63-76, ⟨10.1007/978-3-540-75265-3_7⟩ Communication dans un congrès hal-00388877v1

	A new sequential algorithm for L2-approximation and application to Monte-Carlo integration Emmanuel Gobet , Khushboo Surana 2014 Rapport hal-00972016v1
	Complementary proofs to "Approximation of discrete BSDE using least-squares regression" Emmanuel Gobet , Plamen Turkedjiev 2011 Rapport hal-00642656v1

	Simulation of (nested/extreme) risks in finance: regression Monte-Carlo, MCMC, stochastic algorithms Emmanuel Gobet Doctoral. France. 2018 Cours cel-01692008v1
	Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations - Lectures notes of XV Spanish-French School on Numerical Simulation in Physics and Engineering Emmanuel Gobet École thématique. XV Spanish-French School on Numerical Simulation in Physics and Engineering, Torremolinos, Málaga (Spain), 2012, pp.68 Cours cel-00736268v1

	Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach Jordi Badosa , Emmanuel Gobet , Maxime Grangereau , Daeyoung Kim Renewable Energy: Forecasting and Risk Management, 254, Springer International Publishing, pp.73-93, 2018, Springer Proceedings in Mathematics & Statistics, ⟨10.1007/978-3-319-99052-1_4⟩ Chapitre d'ouvrage hal-01625651v1
	New approximations in local volatility models Emmanuel Gobet , Ali Suleiman Y. Kabanov and M. Rutkowski and T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.305--330, 2013 Chapitre d'ouvrage hal-00523369v1
	Asymptotic and non asymptotic approximations for option valuation Romain Bompis , Emmanuel Gobet Thomas Gerstner and Peter Kloeden. Computational finance, World scientific, pp.80, 2012 Chapitre d'ouvrage hal-00720650v1
	Fractional smoothness and applications in Finance Stefan Geiss , Emmanuel Gobet Giulia Di Nunno and Bernt Øksendal. Advanced Mathematical Methods for Finance, Springer, pp.313-331, 2011, 978-3-642-18411-6. ⟨10.1007/978-3-642-18412-3_12⟩ Chapitre d'ouvrage hal-00474803v1
	Advanced Monte Carlo methods for barrier and related exotic options Emmanuel Gobet Bensoussan A., Zhang Q. et Ciarlet P. Mathematical Modeling and Numerical Methods in Finance, Elsevier, pp.497-528, 2009, Handbook of Numerical Analysis, ⟨10.1016/S1570-8659(08)00012-4⟩ Chapitre d'ouvrage hal-00319947v1
	Discrete sampling of functionals of Itô processes Emmanuel Gobet , Stéphane Menozzi Catherine Donati-Martin, Michel Emery, Alain Rouault, Christophe Stricker. Séminaire de probabilités XL, Springer, pp.355-374, 2007, Lecture Notes in Mathematics n°1899, ⟨10.1007/978-3-540-71189-6_19⟩ Chapitre d'ouvrage hal-00168857v1

	NeuralNetwork-Quantile-Extrapolation Michaël Allouche , Stéphane Girard , Emmanuel Gobet 2022, ⟨swh:1:dir:ae11172fdb2bd2c857fb93545fc4b574fb5d992c;origin=https://hal.archives-ouvertes.fr/hal-04518848;visit=swh:1:snp:adcf821cdecb1ec7e35cc5204760908e0efdf16d;anchor=swh:1:rel:3039b53c70fc905e385267cce4c312c1920f3ce2;path=/⟩ Logiciel hal-04518848v1
	Software for optimal ecological transition path of a credit portfolio distribution Emmanuel Gobet , Clara Lage 2022, ⟨swh:1:dir:f7913108cc5e95b576b8941127958b82b874e5ad;origin=https://github.com/ClaraLage/Portfolio-Transition;visit=swh:1:snp:b907141eead217a05fc5126c8f1be6f334885804;anchor=swh:1:rev:96a6eb168d4d30dac20d393f98783e853eb3c4ad⟩ Logiciel hal-04508118v1

	On the simulation of extreme events with neural networks Michaël Allouche , Stéphane Girard , Emmanuel Gobet 2024 Pré-publication, Document de travail hal-04416809v1
	Learning out-of-sample Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data Michaël Allouche , Stéphane Girard , Emmanuel Gobet 2023 Pré-publication, Document de travail hal-04347859v3
	Thorough mathematical modelling and analysis of Uniswap v3 Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice 2023 Pré-publication, Document de travail hal-04214315v2
	Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data Michaël Allouche , Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice 2023 Pré-publication, Document de travail hal-04017151v1
	The Robust Randomized Quasi Monte Carlo method, applications to integrating singular functions Emmanuel Gobet , Matthieu Lerasle , David Métivier 2023 Pré-publication, Document de travail hal-03631879v3
	Improved convergence rate for Reflected BSDEs by penalization method Emmanuel Gobet , Wanqing Wang 2023 Pré-publication, Document de travail hal-04020304v2
	Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio Linda Chamakh , Emmanuel Gobet , Jean-Philippe Lemor 2021 Pré-publication, Document de travail hal-03207061v1
	Orlicz norms and concentration inequalities for β-heavy tailed random variables Linda Chamakh , Emmanuel Gobet , Wenjun Liu 2021 Pré-publication, Document de travail hal-03175697v3
	Federated stochastic control of numerous heterogeneous energy storage systems Emmanuel Gobet , Maxime Grangereau 2021 Pré-publication, Document de travail hal-03108611v1
	A power plant valuation under an asymmetric risk criterion taking into account maintenance costs Clémence Alasseur , Emmanuel Gobet , Isaque Pimentel , Xavier Warin 2019 Pré-publication, Document de travail hal-02077740v1
	Central limit theorem for discretization errors based on stopping time sampling Emmanuel Gobet , Nicolas Landon , Uladzislau Stazhynski 2018 Pré-publication, Document de travail hal-01879287v1
	Rare event simulation related to financial risks: efficient estimation and sensitivity analysis Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu 2017 Pré-publication, Document de travail hal-01219616v2
	Perturbation of Ornstein-Uhlenbeck stationary distributions: expansion and simulation Emmanuel Gobet , Qihao She 2016 Pré-publication, Document de travail hal-01345926v1
	Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k Emmanuel Gobet , Céline Labart 2009 Pré-publication, Document de travail hal-00373349v1
	Arbitrage free cointegrated models in gas and oil future markets Grégory Benmenzer , Emmanuel Gobet , Céline Jérusalem 2007 Pré-publication, Document de travail hal-00200422v1
	Numerical simulation of BSDEs using empirical regression methods: theory and practice Emmanuel Gobet , Jean-Philippe Lemor 2005 Pré-publication, Document de travail hal-00291199v1

	Contributions à la simulation et à l'analyse de discrétisation de processus, et applications. Emmanuel Gobet Mathématiques [math]. Université Paris-Diderot - Paris VII, 2003 HDR tel-00003841v1

	蒙特卡罗方法与随机过程：从线性到非线性 Emmanuel Gobet Higher Education Press. 2021, 978-7-04-055496-0 Ouvrages hal-04507075v1
	Monte-Carlo Methods and Stochastic Processes Emmanuel Gobet Chapman and Hall/CRC. Chapman and Hall/CRC, 1, 2016, 9781315368757. ⟨10.1201/9781315368757⟩ Ouvrages hal-04507070v1
	Méthodes de Monte-Carlo et processus stochastiques Emmanuel Gobet Les Éditions de l'École Polytechnique, pp.258, 2013, 978-2-7302-1616-6 Ouvrages hal-04507072v1
	Les outils stochastiques des marchés financiers Nicole El Karoui , Emmanuel Gobet Les Éditions de l'École Polytechnique, pp.238, 2011, 978-2-7302-1579-4 Ouvrages hal-04507074v1

Emmanuel Gobet

Publications

Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling

Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

Weak approximations and VIX option price expansions in forward variance curve models

Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Extended McKean-Vlasov optimal stochastic control applied to smart grid management

Bridging socioeconomic pathways of CO2 emission and credit risk

A comparative study of polynomial-type chaos expansions for indicator functions

A generative model for fBm with deep ReLU neural networks

Newton method for stochastic control problems

EV-GAN: Simulation of extreme events with ReLU neural networks

Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations

Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations

Orlicz Random Fourier Features

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion

Parametric inference for diffusions observed at stopping times

Meta-model of a large credit risk portfolio in the Gaussian copula model

Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

Quantification d'incertitude pour l'Approximation Stochastique

Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs

Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case

Volatility uncertainty quantification in a stochastic control problem applied to energy

Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations

Analytical approximations of local-Heston volatility model and error analysis

Study of new rare event simulation schemes and their application to extreme scenario generation

Model-adaptive optimal discretization of stochastic integrals

Analytical approximations of non-linear SDEs of McKean-Vlasov type

Optimal discretization of stochastic integrals driven by general Brownian semimartingale

A NON-INTRUSIVE STRATIFIED RESAMPLER FOR REGRESSION MONTE CARLO: APPLICATION TO SOLVING NON-LINEAR EQUATIONS

Convergence rate of strong approximations of compound random maps

Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

MCMC design-based non-parametric regression for rare-event. Application to nested risk computations

Thematic cycle on Monte-Carlo Techniques

First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations

MCMC design-based non-parametric regression for rare event. Application to nested risk computation.

Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph

Empirical Regression Method for Backward Doubly Stochastic Differential Equations

Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

Rare event simulation using reversible shaking transformations

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

Analytical approximations of BSDEs with non-smooth driver

Almost sure optimal hedging strategy

Optimization of joint p-variations of Brownian semimartingales

Stochastic Approximation Finite Element method: analytical formulas for multidimensional diffusion process

Weak approximation of averaged diffusion processes

Preliminary control variates to improve empirical regression methods

Analytical formulas for local volatility model with stochastic rates

Stochastic expansion for the pricing of call options with discrete dividends

The tracking error rate of the Delta-Gamma hedging strategy

Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition

Solving BSDE with adaptive control variate

L2-time regularity of BSDEs with irregular terminal functions

Expansion formulas for European options in a local volatility model

Stopped diffusion processes: boundary corrections and overshoot

Time dependent Heston model

Smart expansion and fast calibration for jump diffusion

Sharp estimates for the convergence of the density of the Euler scheme in small time

LAMN property for hidden processes: the case of integrated diffusions

Error expansion for the discretization of Backward Stochastic Differential Equations

Numerical methods for the pricing of Swing options: a stochastic control approach

Discretization and simulation of the Zakai equation

Sequential control variates for functionals of Markov processes

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

Boundary sensitivities for diffusion processes in time dependent domains

Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equations

Discretization and simulation for a class of SPDE's with applications to Zakai and McKean-Vlasov equations

Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

A spectral Monte Carlo method for the Poisson equation

Estimation of extreme risk measures with neural networks

Learning of extreme Expected Shortfall with neural networks. Application to cryptocurrency data

Neural networks based learning applied to extreme statistics and sampling rare events

Simulation of multivariate extreme events with generative models

Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3

Quantitative modelling and analysis of the Automated Market Maker Uniswap

Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3

Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Estimation of extreme expected shortfall with neural networks