-
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...
