Nombre de documents

36

CV de Frédéric Abergel


Pré-publication, Document de travail10 documents

  • Xiaofei Lu, Frédéric Abergel. Limit order book modelling with high dimensional Hawkes processes. 2017. <hal-01512430>
  • Frédéric Abergel, Rémi Tachet, Riadh Zaatour. NONPARAMETRIC MODEL CALIBRATION FOR DERIVATIVES. 2016. <hal-01399542>
  • Dalia Ibrahim, Frédéric Abergel. Filtering problem for general modeling of the drift and application to portfolio optimization problems.. This is the first version of our article. 2015. <hal-01235909>
  • Dalia Ibrahim, Frédéric Abergel. Non-linear filtering and optimal investment under partial information for stochastic volatility models. 2014. <hal-01018869v5>
  • Marouane Anane, Frédéric Abergel. Optimal high frequency strategy in an omniscient order book. 2014. <hal-01006401>
  • Frédéric Abergel, Grégoire Loeper. Pricing and hedging contingent claims with liquidity costs and market impact. 2013. <hal-00802402v4>
  • Frédéric Abergel. Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims. 2013. <hal-00771528>
  • Aymen Jedidi, Frédéric Abergel. Stability and price scaling limit of a Hawkes-process based order book model. 2013. <hal-00821607>
  • Frédéric Abergel, Nicolas Millot. Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs. 2011. <hal-00621256v2>
  • Nicolas Huth, Frédéric Abergel. High Frequency Lead/lag Relationships - Empirical facts. 40 pages. 2011. <hal-00645685>

Article dans une revue16 documents

  • Ahmed Belhadjayed, Grégoire Loeper, Sofiene El Aoud, Frédéric Abergel. PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2017, 20 (2), <10.1142/S0219024917500169>. <hal-01512432>
  • Sofiene El Aoud, Frédéric Abergel. A stochastic control approach for options market making. Market microstructure and liquidity, World scientific publishing company, 2015, 1 (1). <hal-01061852v3>
  • Mehdi Lallouache, Frédéric Abergel. Tick size reduction and price clustering in a FX order book.. Physica A: Statistical Mechanics and its Applications, Elsevier, 2014, 416, pp.488-498. <hal-01006414>
  • Ban Zheng, François Roueff, Frédéric Abergel. Ergodicity and scaling limit of a constrained multivariate Hawkes process. SIAM Journal of Financial Mathematics, 2014, 5 (1), pp.P. 99-136. <10.1137/130912980>. <hal-00777941v2>
  • Fabrizio Pomponio, Frédéric Abergel. Multiple-limit trades : empirical facts and application to lead-lag measures. Quantitative Finance, Taylor & Francis (Routledge), 2013, 13 (5), pp.783-793. <10.1080/14697688.2012.743671>. <hal-00745317>
  • Frédéric Abergel, Jean-Michel Rakotoson. Gradient blow up in Zygmund spaces for the very weak solution of a linear elliptic equation. Discrete and Continuous Dynamical Systems - Series A, American Institute of Mathematical Sciences, 2013, 33 (5), pp.1809-1818. <10.3934/dcds.2013.33.1809>. <hal-00647503v4>
  • Frédéric Abergel, Aymen Jedidi. A Mathematical Approach to Order Book Modelling. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2013, 16 (5), pp.1-40. <10.1142/S0219024913500258>. <hal-00621253v3>
  • Ban Zheng, Eric Moulines, Frédéric Abergel. Price jump prediction in a limit order book. journal of mathematical finance, 2013, 3 (2), pp.242-255. <10.4236/jmf.2013.3202>. <hal-00684716v2>
  • Frédéric Abergel, Mauro Politi. Optimizing a basket against the efficient market hypothesis. Quantitative Finance, Taylor & Francis (Routledge), 2012, 13 (1), pp.13-23. <10.1080/14697688.2012.723821>. <hal-00773315>
  • Nicolas Huth, Frédéric Abergel. The times change: multivariate subordination, empirical facts. Quantitative Finance, Taylor & Francis (Routledge), 2012, 12 (1), pp.1-10. <10.1080/14697688.2010.481635>. <hal-00620841>
  • Frédéric Abergel, Riadh Zaatour. What drives option prices ?. Journal of Trading, 2012, 7 (3), pp.12-28. <hal-00687675>
  • Frédéric Abergel, Jacques-Herbert Bailly. Stationary free surface viscous flows without surface tension in three dimensions. Differential and integral equations, Khayyam Publishing, 2012, 25 (9-10), pp.801-820. <hal-00621191v7>
  • Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca, Frédéric Abergel. Econophysics: agent-based models. Quantitative Finance, Taylor & Francis (Routledge), 2011, Quantitative Finance, Vol. 11, No. 7, July 2011, 1013-1041 Econophysics. <hal-00621059>
  • Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca, Frédéric Abergel. Econophysics: empirical facts. Quantitative Finance, Taylor & Francis (Routledge), 2011, pp.Volume 11, Issue 7, 2011. <10.1080/14697688.2010.539248>. <hal-00621058>
  • Frédéric Abergel, Nicolas Millot. Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets. SIAM Journal on Financial Mathematics, SIAM, 2011, pp.SIAM J. Finan. Math. 2, 342 (2011). <10.1137/100803079>. <hal-00620843>
  • Frédéric Abergel, Rémi Tachet. A nonlinear partial integro-differential equation from mathematical finance. Discrete and Continuous Dynamical Systems - Series A, American Institute of Mathematical Sciences, 2010, pp.907. <hal-00611962>

Direction d'ouvrage, Proceedings5 documents

  • Frédéric Abergel, Hideaki Aoyama, Bikas K. Chakrabarti, Anirban Chakraborti, Asim Gosh. Econophysics and data-driven modelling of market dynamics. F. Abergel; H. Aoyama; B. K. Chakrabarti; A. Chakraborti; A. Gosh. Econophysics Kolkata conference, Mar 2014, Kolkata, India. Springer, 2015, New economic window. <hal-01226816>
  • Frédéric Abergel, Anirban Chakraborti, Hideaki Aoyama, B.K. Chakrabarti, Asim Gosh. Econophysics of agent-based models. Springer, pp.302, 2014, 978-3-319-00022-0. <hal-01006419>
  • Frédéric Abergel, Anirban Chakraborti, B.K. Chakrabarti, Asim Ghosh. Econophysics of systemic risk and network dynamics. Springer, pp.298, 2013, 978-88-470-2553-0. <hal-00872397>
  • Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle. Market microstructure: confronting many viewpoints. Wiley, pp.254, 2012, 978-1-119-95241-1. <hal-00872398>
  • Frédéric Abergel, Anirban Chakraborti, B.K. Chakrabarti, M. Mitra. Econophysics of order-driven markets. Springer, pp.316, 2011, ISBN 978-88-470-1766-5. <hal-00872396>

Communication dans un congrès3 documents

  • Sofiene El Aoud, Frédéric Abergel. Calibration of a stock's beta using options prices. Econophysics Kolkata conference, Mar 2014, Kolkata, India. Springer, 2015, Econophysics and data-driven modelling of market dynamics. <hal-01006405>
  • Nicolas Huth, Frédéric Abergel. High frequency correlation modelling. F. Abergel, B. Chakrabarti, A. Chakraborti, M. Mitra. 5th Kolkata Econophysics conference, Mar 2010, Kolkata, India. Springer, Econophysics of order-driven markets, p 189-202, 2011, New economic window. <hal-00621244>
  • Frédéric Abergel. Credit risk in the pricing and hedging of derivatives. C. Gouriéroux, M. Jeanblanc. 1st Financial Risks International Forum, Paris, Mar 2008, France. Economica, 2009. <hal-00620847>

Rapport2 documents

  • Viet Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Françoise Baude, Frédéric Abergel. A financial engineering benchmark for performance analysis of grid middlewares. [Technical Report] RT-365, INRIA. 2009. <inria-00387324v2>
  • Frédéric Abergel, Elisabeth Rouy. Interfaces stationnaires pour les équations de Navier-Stokes. [Rapport de recherche] RR-2651, INRIA. 1995, pp.45. <inria-00074039>