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Preliminary remarks on option pricing and dynamic hedging
International audience -
Approche intrinsèque des fluctuations browniennes en mécanique stochastique
This Note is answering an old questioning about the Fényes-Nelson stochastic mechanics. Feynman's interpretation of the Heisenberg uncertainty principle allows to... -
Foundational aspects of multiscale digitization
International audience -
Systematic and multifactor risk models revisited
International audience -
The peaking phenomenon and singular perturbations
We study the asymptotic behaviour, when the parameter ε tends to 0, of a class of singularly perturbed triangular systems x˙ = f(x, y), y˙ = G(y, ε). We assume that...
