Nombre de documents

34

CV de Frédéric Abergel


Pré-publication, Document de travail9 documents

  • 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. Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims. 2013. <hal-00771528>
  • Frédéric Abergel, Grégoire Loeper. Pricing and hedging contingent claims with liquidity costs and market impact. 2013. <hal-00802402v4>
  • Aymen Jedidi, Frédéric Abergel. Stability and price scaling limit of a Hawkes-process based order book model. 2013. <hal-00821607>
  • Nicolas Huth, Frédéric Abergel. High Frequency Lead/lag Relationships - Empirical facts. 40 pages. 2011. <hal-00645685>
  • Frédéric Abergel, Nicolas Millot. Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs. 2011. <hal-00621256v2>

Article dans une revue15 documents

  • 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>
  • 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>
  • 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>
  • 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>
  • 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, 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>
  • 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, 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>
  • 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, 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>
  • 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>
  • 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>
  • 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>
  • 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>

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>

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>