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Automatic Control Variates for Option Pricing using Neural Networks

Jérôme Lelong , Zineb El Filali Ech-Chafiq , Adil Reghai
Monte Carlo Methods and Applications, 2021, 27 (2), pp.91-104. ⟨10.1515/mcma-2020-2081⟩
Journal articles hal-02891798v1
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Volatility made observable at last

Michel Fliess , Cédric Join , Frédéric Hatt
3èmes Journées Identification et Modélisation Expérimentale, JIME'2011, Apr 2011, Douai, France. pp.CDROM
Conference papers hal-00562488v1
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Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Michel Fliess , Cédric Join
18th Mediterranean Conference on Control and Automation, MED'10, Jun 2010, Marrakech, Morocco. pp.CDROM
Conference papers inria-00479824v1
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On the Robustness of the Snell envelope

Pierre del Moral , Peng Hu , Nadia Oudjane , Bruno Rémillard
[Research Report] RR-7303, INRIA. 2010, pp.41
Reports inria-00487103v4
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A mathematical proof of the existence of trends in financial time series

Michel Fliess , Cédric Join
Systems Theory: Modelling, Analysis and Control, May 2009, Fes, Morocco. pp.43-62
Conference papers inria-00352834v1
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Un concept nouveau de monnaie par une approche philosophique praxéologique

Denis Dupré
6ème congrès de l’Association Françoise d’Economie Politique (AFEP) « La frontière en économie», AFEP, Jul 2016, Mulhouse France
Conference papers hal-01326630v1
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Mechanism Design and Auctions for Electricity Network

Benjamin Heymann , Alejandro Jofré
2016
Preprints, Working Papers, ... hal-01315844v1
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Dialogue and radical imagination about property and survival

Denis Dupré
2021 - Conference on Environmental justice, Building back better "after Corona", Aug 2021, Zoug, Switzerland. pp.1-146
Conference papers hal-03279027v2
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Etude de deux problèmes de contrôle stochastique : Put Américain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités

Maxence Jeunesse
Probabilités [math.PR]. Université de Marne la Vallée, 2013. Français. ⟨NNT : ⟩
Theses tel-00940506v1
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Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier , Jérôme Lelong
Methodology and Computing in Applied Probability, 2018, 20 (2), pp.611-641. ⟨10.1007/s11009-017-9579-y⟩
Journal articles hal-01214840v4
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Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach

Areski Cousin , Jérôme Lelong , Tom Picard
2023
Preprints, Working Papers, ... hal-04086378v2

The Martin-Löf Thesis: The Identification by Recursion Theory of the Mathematical Notion of Random Sequence

Jean-Paul Delahaye
Randomness Through Computation. Some Answers, More Questions., World Scientific, pp.121-140, 2011
Book sections hal-00826626v1

Numerical Evaluation of Algorithmic Complexity for Short Strings: A Glance into the Innermost Structure of Randomness

Jean-Paul Delahaye , Hector Zenil
Applied Mathematics and Computation, 2012, 219 (1), pp.63-77. ⟨10.1016/j.amc.2011.10.006⟩
Journal articles hal-00825530v1

Les Marchés financiers artificiels

Bruno Beaufils , Olivier Brandouy , Philippe Mathieu
Revue Française de Gestion, 2006, pp.161-180
Journal articles hal-00825544v1

A Motivation-Based Mechanism to Design Behaviors

Tony Dujardin , Jean-Christophe Routier
ECAI'2010 -- Lisbon (Portugal) -- August 16-20, 2010, 2010, Portugal. pp.1067-1068
Conference papers hal-00826393v1

Environment updating and agent scheduling policies in agent-based simulators

Philippe Mathieu , Yann Secq
ICAART'2012 -- Vilamoura (Portugal) -- February 6-8, 2012, 2012, Portugal. pp.170-175
Conference papers hal-00826400v1

Efficient Monitoring of Financial Orders with Agent-Based Technologies

Olivier Brandouy , Philippe Mathieu
PAAMS'2011 -- Salamanca (Spain) -- 6th-8th April 2011, 2011, Spain. pp.277-286
Conference papers hal-00826407v1

The Use of Norms Violations to Model Agents Behavioral Variety

Andras Kemeny , Benoît Lacroix , Philippe Mathieu
Coordination, Organizations, Institutions and Norms in Agent Systems IV, Springer, pp.220-234, 2009
Book sections hal-00826431v1

Multiparty Argumentation Game for Consensual Expansion

Maxime Morge , Bromuri Stefano
ICAART'2013 -- Barcelona (Spain) -- February 15-18, 2013, 2013, Spain. pp.160-165
Conference papers hal-00826476v1

Deterministic Kinodynamic Planning

Cédric Dinont , François Gaillard , Philippe Mathieu
PlanSIG2010 -- Bescia (Italy) -- December 1-3, 2010, 2010, Italy. pp.54-61
Conference papers hal-00826481v1
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Multi-dimensional stochastic volatility for Interest Rates

Ernesto Palidda
Probability [math.PR]. Paris-Est; Ecole des Ponts, 2015. English. ⟨NNT : ⟩
Theses tel-01217655v1
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A closed-form extension to the Black-Cox model

Aurélien Alfonsi , Jérôme Lelong
International Journal of Theoretical and Applied Finance, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩
Journal articles hal-00414280v2
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Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

Aurélien Alfonsi , Benjamin Jourdain , Arturo Kohatsu-Higa
Annals of Applied Probability, 2014, http://dx.doi.org/10.1214/13-AAP941
Journal articles hal-00727430v1

Conception des systèmes multi-agents : pistes de réflexion en vue de futures coopérations entre ergonomes et informaticiens

Christophe Kolski , Emmanuelle Grislin-Le Strugeon , Emmanuel Adam , Philippe Mathieu
Actes de la conférence Ergo-IA 2004 (ErgoIA'2004), Nov 2004, Biarritz, France. pp.147--154
Conference papers hal-00731990v1

Virtual Lanes Interest for Motorcycles Simulation

Laetitia Bonte , Stéphane Espié , Philippe Mathieu
Proceedings of the fifth European Workshop on Multi-Agent Systems (EUMAS'07), 2007, undef, France. pp.580--596
Conference papers hal-00731997v1

A Normative Model for Behavioral Differentiation

Benoît Lacroix , Philippe Mathieu , Andras Kemeny
Proceedings of IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT'08), 2008, undef, France. pp.96--99
Conference papers hal-00732000v1

Une gestion réaliste du temps et de l'espace dans les simulations de foules

Benoît Lacroix , Philippe Mathieu , Sébastien Picault
14e Journées Francophones sur les Systèmes Multi-Agents (JFSMA'2006), Oct 2006, Annecy, France. pp.77-80
Conference papers hal-00732021v1

Une forme de négociation entre entités virtuelles

Marie-Hélène Verrons
Actes de la Manifestation des Jeunes Chercheurs en STIC (MAJECSTIC'04), 2004, undef, France
Conference papers hal-00732029v1

MAGIQUE: A Hybrid and Hierarchical Multi-Agent Architecture Model

Nouredine Bensaid , Philippe Mathieu
Proceedings of the second International Conference and Exhibition on the Practical Application of Intelligent Agents and Multi Agent Technology (PAAM'97), 1997, undef, France. pp.145--155
Conference papers hal-00732042v1

A Realistic Approach To Solve The Nash Welfare

Antoine Nongaillard , Philippe Mathieu , Brigitte Jaumard
Proceedings of the 7th International conference on Practical Applications of Agents and Multi-Agents Systems (PAAMS'2009), 2009, undef, France. pp.374-382
Conference papers hal-00732047v1