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Optimal consumption and investment for markets with random coefficients.
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume... -
Localizing Volatilities
We propose two main applications of Gy\"{o}ngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional... -
An introduction to Utility Maximization with Partial Observation
We give an overview of the theory and methods involved in portfolio optimizat- ion problems with partial observation. By «partial observation», we mean that the drift... -
Estimation of limiting conditional distributions for the heavy tailed long me...
To appear in Extremes -
Jumps and Diffusions in Volatility: It Takes Two to Tango
We consider the following stochastic differential equation for describing financial data evolution: $$ dX_t = b(t, X_t)¸dt + \sigma(t) h(X_t)¸dW_t, \qquad X(0)= x. $$... -
Estimation of the Stochastic Volatility of a Diffusion Process I. Comparison ...
Let ($X_t$) be a stochastic process satisfying $dX_t= b(t, X_t) ¸dt + \theta (t) ¸dW_t$, with a stochastic volatility $\theta (t)$ (thus few regular). We have a... -
Large-time asymptotics for an uncorrelated stochastic volatility model
International audience -
Limit theorems for long memory stochastic volatility models with infinite var...
Advances in Applied Probability, 44(4), 1113-1141, 2012 -
What drives option prices ?
International audience -
Some contributions to stochastic control and backward stochastic differential...
In my Phd thesis, I give some stochastic control approaches to some financial problems. In the first chapter, we consider a mixed investment-sell problem. This problem... -
Functional quantization for pricing derivatives
We investigate in this paper the numerical performances of quadratic functional quantization and their applications to Finance. We emphasize the rôle played by the... -
Predictive density construction and accuracy testing with multiple possibly m...
International audience -
Would the bundesbank have prevented the great inflation in the United States?
International audience -
Option pricing for stochastic volatility models : Vol-of-Vol expansion
In this article, we propose an analytical approximation for the pricing of European op- tions for some lognormal stochastic volatility models. This approximation is a... -
Stochastic expansion for the diffusion processes and applications to option p...
This thesis deals with the approximation of the expectation of a functional (possibly depending on the whole path) applied to a diffusion process (possibly... -
Approximate hedging with proportional transaction costs in stochastic volatil...
We extend the resutls for the problem of option replication under proportional transaction costs in \cite{Nguyen} to more general frameworks where stochastic...
