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A Gallavotti-Cohen-Evans-Morriss Like Symmetry for a Class of Markov Jump Pro...
International audience -
The Heckman-Opdam Markov processes
We introduce and study the natural counterpart of the Dunkl Markov processes in a negatively curved setting. We give a semimartingale decomposition of the radial part,... -
Two studies in risk management: portfolio insurance under risk measure constr...
In this thesis I'm interested in two aspects of portfolio management: the portfolio insurance under a risk measure constraint and quadratic hedge in incomplete... -
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with... -
A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
International audience -
Mean-Variance Hedging on uncertain time horizon in a market with a jump
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau , where T is a deterministic constant and is a jump time of the underlying... -
Piecewise deterministic Markov process - recent results
Clermont-Ferrand, France, 29-31 August 2012 -
Mathematical study of stochastic models of evolution belonging to the ecologi...
This thesis is interested in the probabilistic study ofecological models belonging to the recent theory of "adaptive dynamics". After having presented and generalized...
