1. Recherche
66 résultats  enregistrer la recherche
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hal-00200422v1  Pré-publication, Document de travail
Grégory Benmenzer, Emmanuel Gobet, Céline Jérusalem. Arbitrage free cointegrated models in gas and oil future markets
2007
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hal-00474803v1  Chapitre d'ouvrage
Stefan Geiss, Emmanuel Gobet. Fractional smoothness and applications in Finance
Giulia Di Nunno and Bernt Øksendal. Advanced Mathematical Methods for Finance, Springer, pp.313-331, 2011, 978-3-642-18411-6. <10.1007/978-3-642-18412-3_12>
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hal-01058748v1  Pré-publication, Document de travail
Emmanuel Gobet, Gang Liu. Rare event simulation using reversible shaking transformations
2014
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hal-01249625v1  Pré-publication, Document de travail
Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu. Study of new rare event simulation schemes and their application to extreme scenario generation
2016
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hal-00642656v1  Rapport
Emmanuel Gobet, Plamen Turkedjiev. Complementary proofs to "Approximation of discrete BSDE using least-squares regression
2011
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hal-00855760v2  Pré-publication, Document de travail
Emmanuel Gobet, Plamen Turkedjiev. Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
2014
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hal-00642685v4  Rapport
Emmanuel Gobet, Plamen Turkedjiev. Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
2014
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hal-00853590v2  Pré-publication, Document de travail
Emmanuel Gobet, Nicolas Landon. Optimization of joint p-variations of Brownian semimartingales
2014
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hal-01186000v1  Pré-publication, Document de travail
Emmanuel Gobet, Jose Lopez-Salas, Plamen Turkedjiev, Carlos Vasquez. Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
2015
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hal-01152886v1  Pré-publication, Document de travail
Achref Bachouch, Emmanuel Gobet, Anis Matoussi. Empirical Regression Method for Backward Doubly Stochastic Differential Equations
2015
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hal-01003913v1  Pré-publication, Document de travail
Emmanuel Gobet, Stefano Pagliarani. Analytical approximations of BSDEs with non-smooth driver
2014
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hal-00159317v1  Article dans une revue
Arnaud Gloter, Emmanuel Gobet. LAMN property for hidden processes: the case of integrated diffusions
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2008, 44 (1), pp.104-128. <10.1214/07-AIHP111>
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hal-00003917v3  Pré-publication, Document de travail
Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems. Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equations
2005
hal-00196279v1  Communication dans un congrès
L. Carassus, Emmanuel Gobet, E. Temam. A class of financial products and models where super-replication prices are explicit
J. Akahori, S. Ogawa, S. Watanabe. The 6th the Ritsumeikan International Conference on Stochastic processes and applications to mathematical finance, 2006, Japan. World Scientific, pp.67-84, 2007
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hal-00373349v1  Pré-publication, Document de travail
Emmanuel Gobet, Céline Labart. Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k
2009
hal-00388877v1  Communication dans un congrès
Emmanuel Gobet, Gilles Pagès, Marc Yor. Mathematics and finance
Marc Yor. Financial Mathematics, Feb 2005, Paris, France. Springer, pp.63-76, 2008, <10.1007/978-3-540-75265-3_7>
hal-00168857v1  Chapitre d'ouvrage
Emmanuel Gobet, Stéphane Menozzi. Discrete sampling of functionals of Itô processes
Catherine Donati-Martin, Michel Emery, Alain Rouault, Christophe Stricker. Séminaire de probabilités XL, Springer, pp.355-374, 2007, Lecture Notes in Mathematics n°1899, <10.1007/978-3-540-71189-6_19>
hal-00103259v1  Article dans une revue
C. Costantini, Emmanuel Gobet, N. El Karoui. Boundary sensitivities for diffusion processes in time dependent domains
Appl. Math. Optimization, 2006, 54 (2), pp.159-187
hal-00104054v1  Communication dans un congrès
Emmanuel Gobet. A robust Monte Carlo approach for the simulation of generalized Backward Stochastic Differential Equations
6th International Symposium on Stochastic Processes and Applications to Mathematical Finance, 2006, Kusatsu, Japan. 2006
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hal-00657153v2  Article dans une revue
Emmanuel Gobet, Nicolas Landon. Almost sure optimal hedging strategy
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2014, 24 (4), pp.1652--1690
hal-00446315v1  Article dans une revue
S. Menozzi, Emmanuel Gobet. Stopped diffusion processes: Boundary corrections and overshoot
Stochastic Processes and their Applications, Elsevier, 2010, 120 (2), pp.130-162
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hal-00291768v1  Article dans une revue
Emmanuel Gobet, Azmi Makhlouf. L2-time regularity of BSDEs with irregular terminal functions
Stochastic Processes and their Applications, Elsevier, 2010, 120 (7), pp.1105-1132. <10.1016/j.spa.2010.03.003>
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hal-00019463v1  Article dans une revue
Emmanuel Gobet, Céline Labart. Error expansion for the discretization of Backward Stochastic Differential Equations
Stochastic Processes and their Applications, Elsevier, 2007, 117 (7), pp.803-829. <10.1016/j.spa.2006.10.007>
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hal-00157975v3  Article dans une revue
Emmanuel Gobet, Stéphane Menozzi. Stopped diffusion processes: boundary corrections and overshoot
Stochastic Processes and their Applications, Elsevier, 2010, 120 (2), pp.130-162. <10.1016/j.spa.2009.09.014>
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hal-00572496v1  Article dans une revue
Christel Geiss, Stefan Geiss, Emmanuel Gobet. Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition
Stochastic Processes and their Applications, Elsevier, 2012, 122 (5), pp.2078--2116
hal-00102258v1  Article dans une revue
S. Menozzi, Emmanuel Gobet. Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
Stochastic Processes and their Applications, Elsevier, 2004, 112 (2), pp.201-223
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hal-00618470v1  Article dans une revue
Emmanuel Gobet, Mohammed Miri. Weak approximation of averaged diffusion processes
Stochastic Processes and their Applications, Elsevier, 2014, 124, pp.475--504
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hal-01169119v1  Pré-publication, Document de travail
Emmanuel Gobet, P Turkedjiev. Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
2015
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hal-00839650v2  Pré-publication, Document de travail
Romain Bompis, Emmanuel Gobet. Analytical approximations of local-Heston volatility model and error analysis
2015
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hal-00523369v1  Chapitre d'ouvrage
Emmanuel Gobet, Ali Suleiman. New approximations in local volatility models
Y. Kabanov and M. Rutkowski and T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.305--330, 2013

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