Nombre de documents

29

Publications


Article dans une revue14 documents

  • Christophe Michel, Victor Reutenauer, Denis Talay, Etienne Tanré. Liquidity costs: a new numerical methodology and an empirical study. Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2016, 〈10.1080/1350486X.2016.1164608〉. 〈hal-01098096v3〉
  • Samuel Herrmann, Etienne Tanré. The first-passage time of the Brownian motion to a curved boundary: an algorithmic approach. SIAM Journal on Scientific Computing, Society for Industrial and Applied Mathematics, 2016, 38 (1), pp.20. 〈10.1137/151006172〉. 〈hal-01110387〉
  • François Delarue, James Inglis, Sylvain Rubenthaler, Etienne Tanré. Global solvability of a networked integrate-and-fire model of McKean-Vlasov type. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (4), pp.2096--2133. 〈hal-00747565v4〉
  • François Delarue, James Inglis, Sylvain Rubenthaler, Etienne Tanré. Particle systems with a singular mean-field self-excitation. Application to neuronal networks.. Stochastic Processes and their Applications, Elsevier, 2015, 125, pp.2451--2492. 〈10.1016/j.spa.2015.01.007〉. 〈hal-01001716v3〉
  • Sylvain Maire, Etienne Tanré. Monte Carlo approximations of the Neumann problem. Monte Carlo Methods and Applications, De Gruyter, 2013, 19 (3), pp.201-236. 〈10.1515/mcma-2013-0010〉. 〈hal-00677529v2〉
  • Mamadou Cissé, Pierre Patie, Etienne Tanré. Optimal stopping problems for some Markov processes. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2012, 22 (3), pp.1243-1265. 〈10.1214/11-AAP795〉. 〈inria-00458901v4〉
  • Miguel Martinez, Sylvain Rubenthaler, Etienne Tanré. Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2009, 27 (2), pp.270-296. 〈10.1080/07362990802678846〉. 〈hal-00601938〉
  • Sylvain Maire, Etienne Tanré. Some new simulations schemes for the evaluation of Feynman-Kac representations. Monte Carlo Methods and Applications, De Gruyter, 2008, 14 (1), pp.29--51. 〈10.1515 /MCMA.2008.002〉. 〈inria-00182436〉
  • Sylvain Maire, Etienne Tanré. Some new simulation schemes for the evaluation of Feynman-Kac representations. Monte Carlo Methods and Applications, De Gruyter, 2008, 14 (1), pp.29-51. 〈hal-01479829〉
  • Christophette Blanchet-Scalliet, Awa Diop, Rajna Gibson Brandon, Denis Talay, Etienne Tanré. Technical Analysis Compared to Mathematical Models Based Methods Under Parameters Mis-specification. Journal of Banking and Finance, Elsevier, 2007, 31 (5), pp.1351-1373. 〈10.1016/j.jbankfin.2006.10.017〉. 〈hal-00594295〉
  • Etienne Tanré, Pierre Vallois. Range of Brownian motion with drift. Journal of Theoretical Probability, Sprnger, 2006, 19 (1), pp.45-69. 〈hal-00141525〉
  • Nicolas Fournier, Bernard Roynette, Etienne Tanré. on long time behavior of some coagulation processes. Stochastic Processes and their Applications, Elsevier, 2004, 110 (1), pp.1-17. 〈hal-00149777〉
  • Madalina Deaconu, Nicolas Fournier, Etienne Tanré. Rate of Convergence of a Stochastic Particle System for the Smoluchowski Coagulation Equation. Methodology and Computing in Applied Probability, Springer Verlag, 2003, 5 (2), pp.131-158. 〈10.1023/A:1024524500111〉. 〈hal-01080453〉
  • Madalina Deaconu, Nicolas Fournier, Etienne Tanré. A pure jump Markov process associated with Smoluchowski's coagulation equation. Annals of Probability, Institute of Mathematical Statistics, 2002, 30, pp.1763 - 1796. 〈10.1214/aop/1039548371〉. 〈hal-01075154〉

Communication dans un congrès2 documents

  • Benoîte De Saporta, Christophette Blanchet-Scalliet, Etienne Tanré, Denis Talay. Optimal portfolio allocation under transaction costs. 31st conference on Stochastic Processes and Their Applications, Jul 2006, Paris, France. 〈hal-00274882〉
  • Benoîte De Saporta, Christophette Blanchet-Scalliet, Etienne Tanré, Denis Talay. Technical analysis compared to mathematical models under misspecification. AMAMEF conference Numerical Methods in Finance, Feb 2006, rocquencourt, France. 〈hal-00274883〉

Chapitre d'ouvrage3 documents

  • Sylvain Maire, Etienne Tanré. Stochastic spectral formulations for elliptic problems. L' Ecuyer, Pierre (ed.) and Owen, Art B. (ed.). Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6--11, 2008., Berlin: Springer, pp.513--528, 2009, 〈10.1007/978-3-642-04107-5_33〉. 〈inria-00340708〉
  • Christophette Blanchet-Scalliet, Rajna Gibson Brandon, Benoîte De Saporta, Denis Talay, Etienne Tanré. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.. Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, 〈10.1515/9783110213140.53〉. 〈hal-00594200〉
  • Mireille Bossy, Nadia Maïzi, Geert Jan Olsder, Odile Pourtallier, Etienne Tanré. Electricity Prices in a Game Theory Context. Alain Haurie, Georges Zaccour. Dynamic Games ; Theory and Applications, Springer, p. 135-159 - ISBN 978-0-387-24601-7, 2005, GERAD 25th anniversary series ; 10, 〈10.1007/0-387-24602-9_7〉. 〈hal-00504620〉

Autre publication1 document

  • Victor Reutenauer, Etienne Tanré. Exact simulation of prices and greeks: application to CIR. Article soumis. 2008. 〈inria-00319139v2〉

Pré-publication, Document de travail5 documents

  • Alexandre Richard, Patricio Orio, Etienne Tanré. An integrate-and-fire model to generate spike trains with long memory. 2017. 〈hal-01521891〉
  • Victor Reutenauer, Etienne Tanré. An unbiased Monte Carlo estimator for derivatives. Application to CIR. 2017. 〈hal-01371448v3〉
  • Pierre Guiraud, Etienne Tanré. Stability of synchronization under stochastic perturbations in leaky integrate and fire neural networks of finite size.. 2016. 〈hal-01370609〉
  • François Delarue, James Inglis, Sylvain Rubenthaler, Etienne Tanré. First hitting times for general non-homogeneous 1d diffusion processes: density estimates in small time. 2013. 〈hal-00870991〉
  • Blandine Berard Bergery, Christophe Profeta, Etienne Tanré. Mathematical model for resistance and optimal strategy. 2008. 〈hal-00343924v2〉

Rapport4 documents

  • Victor Reutenauer, Denis Talay, Etienne Tanré. Liquidité pour les dérivés de taux. [Contrat] 2012, pp.46. 〈hal-00940855〉
  • Aymen Bergaoui, Madalina Deaconu, Mohamed Zied Ghazai, Ines Henrichi, Samuel Herrmann, et al.. Méthodes de réduction de variance originales et de simulation exacte de prix et de grecques en finance. [Contrat] 2009. 〈hal-00768376〉
  • Olivier Faugeras, Théodore Papadopoulo, Jonathan Touboul, Denis Talay, Etienne Tanré, et al.. The Statistics Of Spikes Trains For Some Simple Types Of Neuron Models. [Research Report] RR-5950, INRIA. 2007, pp.15. 〈inria-00084905v4〉
  • Mireille Bossy, Nadia Maïzi, Geert Jan Olsder, Odile Pourtallier, Etienne Tanré. Using game theory for the electricity market. [Research Report] RR-5274, INRIA. 2006. 〈inria-00071255〉