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

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Stochastic Local Intensity Loss Models with Interacting Particle Systems Alfonsi A., Labart C., Lelong J. (08/02/2013) [hal-00786239 - version 1]

Preliminary remarks on option pricing and dynamic hedging Fliess M., Join C. Dans 1st International Conference on Systems and Computer Science (2012) CDROM [hal-00705373 - version 1]

Optimal multiple stopping problem and financial applications Ben Latifa I., Bonnans J. F., Mnif M. N° RR-7807 (2011) [hal-00642919 - version 1]

Monotonicity condition for the $\theta$-scheme for diffusion equations Bonnans J. F., Tan X. N° RR-7778 (2011) [inria-00634417 - version 1]

A model-free no-arbitrage price bound for variance options Bonnans J. F., Tan X. N° RR-7777 (2011) [inria-00634387 - version 1]

Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes Oksendal B., Sulem A. N° RR-7708 (2011) [inria-00614279 - version 1]

Is a probabilistic modeling really useful in financial engineering? --- A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ? Fliess M., Join C., Hatt F. Dans Conférence Méditerranéenne sur l'Ingénierie Sûre des Systèmes Complexes, MISC 2011 (2011) [hal-00585152 - version 2]

Volatility made observable at last Fliess M., Join C., Hatt F. Dans 3èmes Journées Identification et Modélisation Expérimentale, JIME'2011 (2011) CDROM [hal-00562488 - version 1]

Robust stochastic control and equivalent martingale measures Oksendal B., Sulem A. N° RR-7557 (2011) [inria-00573117 - version 1]

Portfolio optimization under model uncertainty and BSDE games Oksendal B., Sulem A. N° RR-7554 (2011) [inria-00570532 - version 1]