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2009, Chapman & Hall/CRC financial mathematics series, ISBN 9781420086997, 383
Book
2017, Chapman & Hall/CRC financial mathematics series, ISBN 1138062235, xiii, 190 pages
Book
2014, Chapman & Hall/CRC financial mathematics series, ISBN 1466570334, xxxviii, 445 pages
Book
Journal of optimization theory and applications, ISSN 0022-3239, 11/2018, Volume 179, Issue 2, pp. 569 - 597
Journal Article
05/2017, Chapman and Hall/CRC Financial Mathematics Series, ISBN 9780367657963, 190
.... References. Pierre Henry-Labordere works in the Global Markets Quantitative Research team at Societe Generale. He holds a Ph.D... 
quantile hedging | STMnetBASE | SCI-TECHnetBASE | MATHnetBASE | Financial Mathematics | model-independent arbitrage | skorokhod embedding | Applied Mathematics | option pricing | model-independent options
eBook
International journal of theoretical and applied finance, ISSN 0219-0249, 12/2013, Volume 16, Issue 8, pp. 1350042 - 1-1350042-27
In this paper, we investigate model-independent bounds for option prices given a set of market instruments. This super-replication problem can be written as a... 
weighted Monte Carlo | model-independent bounds | Linear programing
Journal Article
Annales de l'I.H.P. Probabilités et statistiques, ISSN 0246-0203, 02/2019, Volume 55, Issue 1, pp. 184 - 210
We provide a representation result of parabolic semi-linear PDEs, with polynomial nonlinearity, by branching diffusion processes. We extend the classical... 
Monte-Carlo methods | Semilinear PDEs | Branching processes | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology
Journal Article
Stochastic processes and their applications, ISSN 0304-4149, 02/2014, Volume 124, Issue 2, pp. 1112 - 1140
We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it to the non-Markovian case for a class of... 
BSDEs | Branching process | Path dependent PDEs | Viscosity solution | Numerical algorithm | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology | Algorithms
Journal Article
Stochastic processes and their applications, ISSN 0304-4149, 09/2016, Volume 126, Issue 9, pp. 2800 - 2834
We provide an extension of the martingale version of the Fréchet–Hoeffding coupling to the infinitely-many marginals constraints setting. In the two-marginal... 
PCOC | Martingale optimal transport, Brenier’s Theorem | Fake Brownian motion | Martingale optimal transport, Brenier's Theorem | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology | Sustainable development | Analysis | Probability
Journal Article
The Annals of applied probability, ISSN 1050-5164, 2/2016, Volume 26, Issue 1, pp. 1 - 44
Journal Article
The Annals of applied probability, ISSN 1050-5164, 02/2016, Volume 26, Issue 1, pp. 1 - 44
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained... 
robust pricing and hedging | 60G44 | pathwise inequalities | 60J60 | 91G20 | Maximum process | martingale | optimal transportation | optimal control | volatility uncertainty | lookback option | 91G80
Journal Article
SIAM journal on financial mathematics, ISSN 1945-497X, 2016, Volume 7, Issue 1, pp. 159 - 182
We derive an algorithm in the spirit of Rogers [SIAM J. Control Optim., 46 (2007), pp. 1116-1132] and Davis and Burstein [Stochastics Stochastics Rep., 40... 
Numerical methods | Optimal stochastic control | Duality theory | Mathematics, Interdisciplinary Applications | Physical Sciences | Social Sciences | Social Sciences, Mathematical Methods | Business, Finance | Business & Economics | Mathematics | Mathematical Methods In Social Sciences | Science & Technology
Journal Article
01/2013, ISBN 1466570334
Book
The Annals of applied probability, ISSN 1050-5164, 12/2017, Volume 27, Issue 6, pp. 3305 - 3341
We propose an unbiased Monte 3 estimator for E [g(X-t1,..., X-tn)], where X is a diffusion process defined by a multidimensional stochastic differential... 
Linear parabolic PDEs | Unbiased simulation of SDEs | Regime switching diffusion | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology
Journal Article
Journal of High Energy Physics, ISSN 1126-6708, 04/2002, Volume 2002, Issue 4, pp. 049 - 1211
It is well known but rather mysterious that root spaces of the E-k Lie groups appear in the second integral cohomology of regular, complex, compact, del Pezzo... 
Global Symmetries | Differential and Algebraic Geometry | M-Theory | String Duality | Physical Sciences | Physics, Particles & Fields | Physics | Science & Technology | Algebraic Geometry | Mathematics | High Energy Physics - Theory
Journal Article
Stochastic processes and their applications, ISSN 0304-4149, 09/2017, Volume 127, Issue 9, pp. 3005 - 3013
We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence–Mirrlees... 
Optimal transport | Skorokhod embedding | Martingales | Statistics & Probability | Physical Sciences | Mathematics | Science & Technology
Journal Article
Journal of High Energy Physics, ISSN 1126-6708, 04/2003, Volume 2003, Issue 4, pp. 060 - 1411
...-theory Pierre Henry-Labord ere, ab Bernard Julia b and Louis Paulot b a Queen Mary and Westfleld College, University of London Mile End Road, London E1 4NS, UK b... 
Global Symmetries | Differential and Algebraic Geometry | Supergravity Models | M-Theory | Physical Sciences | Physics, Particles & Fields | Physics | Science & Technology | Physics - High Energy Physics - Theory | High Energy Physics - Theory
Journal Article
The journal of computational finance, ISSN 1460-1559, 03/2011, Volume 14, Issue 3, pp. 37 - 71
The uncertain volatility model has long attracted the attention of practitioners since it provides a worst-case pricing scenario for the sell side. The... 
Business & Economics | Business, Finance | Social Sciences | Studies | Nonlinear equations | Algorithms | Volatility | Derivatives | Stochastic models | Monte Carlo simulation
Journal Article
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