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Optimal starting times, stopping times and risk measures for algorithmic trading
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal... -
BSDEs with jumps, optimization and applications to dynamic risk measures
International audience -
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... -
Distortion risk measures, ambiguity aversion and optimal effort
International audience -
Estimation of Extreme Risk Measures from Heavy-tailed distributions
International audience -
Nonparametric estimation of extreme risks from heavy-tailed distributions
International audience -
There is a VaR Beyond Usual Approximations
Basel II and Solvency 2 both use the Value-at Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal... -
CRRA utility maximization under dynamic risk constraints
International audience -
Some contributions to the estimation of extreme quantiles. Applications to en...
This thesis can be viewed within the context of extreme value statistics. It provides two main contributions to this subject area. In the recent literature on extreme...
