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23 documents ordered by : Date Title first author name document type Submit date

1 - 2 - 3

Delta Hedging in Financial Engineering: Towards a Model-Free Approach Fliess M., Join C. Dans 18th Mediterranean Conference on Control and Automation, MED'10 (2010) CDROM [inria-00479824 - version 1]

Efficient pricing options under regime switching Kudryavtsev O. N° RR-7184 (2010) [inria-00450291 - version 1]

A model-free approach to delta hedging Fliess M., Join C. (2010) [inria-00457222 - version 1]

Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends Jourdain B., Vellekoop M. (26/11/2009) [hal-00436327 - version 2]

High order discretization schemes for stochastic volatility models Jourdain B., Sbai M. (07/08/2009) [hal-00409861 - version 4]

Méthodes de réduction de variance originales et de simulation exacte de prix et de grecques en finance Bergaoui A., Deaconu M., Ghazai M. Z., Henrichi I., Herrmann S., Lejay A., Reutenauer V., Talay D., Tanré E., Wang Y. (2009) [hal-00768376 - version 1]

Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs. Blanchet-Scalliet C., Gibson Brandon R., de Saporta B., Talay D., Tanré E. In Advanced Financial Modelling, Walter de Gruyter (Ed.) (2009) 53-90 [hal-00594200 - version 1]

An anticipative stochastic calculus approach to pricing in markets driven by Lévy processes Oksendal B., Sulem A. N° RR-7127 (2009) [inria-00439350 - version 1]

Systematic risk analysis: first steps towards a new definition of beta Fliess M., Join C. Dans Cognitive Systems with Interactive Sensors (COGIS'09) (2009) [inria-00425077 - version 1]

Analyse fréquentielle des dérivateurs algébriques García Collado F. D. A., D'Andréa-Novel B., Fliess M., Mounier H. Dans XXIIe Colloque GRETSI (2009) [inria-00394972 - version 1]