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1كتاب
المؤلفون: Keller-Ressel, Martin, Larsson, Martin, Pulido, Sergio
المساهمون: Technische Universität Dresden = Dresden University of Technology (TU Dresden), Department of Mathematics ETH Zurich (D-MATH), Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Martin Keller-Ressel gratefully acknowledges financial support from DFG grants ZUK 64 andKE 1736/1-1. Martin Larsson gratefully acknowledges financial support from SNF Grant 205121163425. Sergio Pulido gratefully acknowledges financial support from MATH AmSud project SaSMoTiDep 18-MATH-17.
المصدر: Rough Volatility ; https://hal.science/hal-02265210Test ; Rough Volatility, 2023, 978-1-61197-777-6. ⟨10.1137/1.9781611977783⟩
مصطلحات موضوعية: [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1812.08486; hal-02265210; https://hal.science/hal-02265210Test; https://hal.science/hal-02265210/documentTest; https://hal.science/hal-02265210/file/rough_affine_20_12_18.pdfTest; ARXIV: 1812.08486
الإتاحة: https://doi.org/10.1137/1.9781611977783Test
https://hal.science/hal-02265210Test
https://hal.science/hal-02265210/documentTest
https://hal.science/hal-02265210/file/rough_affine_20_12_18.pdfTest -
2دورية أكاديمية
المؤلفون: Jaber, Eduardo Abi, Cuchiero, Christa, Larsson, Martin, Pulido, Sergio
المساهمون: Université Paris 1 Panthéon-Sorbonne (UP1), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), University of Vienna Vienna, Department of Mathematical Sciences (Carnegie Mellon), Carnegie Mellon University Pittsburgh (CMU), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), The work of Eduardo Abi Jaber was supported by grants from Région Île-de-France. Christa Cuchiero gratefully acknowledges financial support by the Vienna Science and Technology Fund (WWTF) under grant MA16-021 and the Austrian Science Fund (FWF) under grant Y1235 of the START-program. The research of Sergio Pulido benefited from the support of the Chair Markets in Transition (Fédération Bancaire Française) and the project ANR 11-LABX-0019. Sergio Pulido acknowledges support by the Europlace Institute of Finance (EIF) and the Labex Louis Bachelier, research project: "The impact of information on financial markets"., ANR-11-LABX-0019,LABEX FCD,LABEX Finance & Croissance Durable(2011)
المصدر: ISSN: 1050-5164.
مصطلحات موضوعية: stochastic Volterra equations, stochastic convolution equations, martingale problem, nonlinear Hawkes processes, MSC 2010 subject classifications: Primary 60H20, secondary 60H05, 60G22, 60G17, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1909.01166; hal-02279033; https://hal.science/hal-02279033Test; https://hal.science/hal-02279033v3/documentTest; https://hal.science/hal-02279033v3/file/Stoch_Volterra_Eqns.pdfTest; ARXIV: 1909.01166
الإتاحة: https://doi.org/10.1214/21-AAP1667Test
https://hal.science/hal-02279033Test
https://hal.science/hal-02279033v3/documentTest
https://hal.science/hal-02279033v3/file/Stoch_Volterra_Eqns.pdfTest -
3دورية أكاديمية
المؤلفون: Filipović, Damir, Larsson, Martin, Pulido, Sergio
المساهمون: Ecole Polytechnique Fédérale de Lausanne (EPFL), Department of Mathematics ETH Zurich (D-MATH), Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Martin Larsson gratefully acknowledges support from SNF Grant 205121163425. The research of Sergio Pulido benefited from the support of the Chair Marketsin Transition (Fédération Bancaire Française) and the project ANR 11-LABX-0019. The research leading to these results has received funding from the European Research Council under the European Union’s Seventh Framework Programme (FP/2007-2013) /ERC Grant Agreement n. 307465-POLYTE., ANR-11-LABX-0019,LABEX FCD,LABEX Finance & Croissance Durable(2011), European Project: 307465,EC:FP7:ERC,ERC-2012-StG_20111012,POLYTE(2012)
المصدر: ISSN: 0304-4149.
مصطلحات موضوعية: American options, transition rate matrix, cubature rule, asymptotic moments, Polynomial process, transition probabilities, MSC 2010: 60G07, 60J25, 60J27, 60J28, 60J10, 91G60, 65C20,65C30, 60H35, 60F99, 60J60, 60J75, 60H10, 60H20, 60H30, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1707.06849; info:eu-repo/grantAgreement/EC/FP7/307465/EU/Polynomial term structure models/POLYTE; hal-01418755; https://hal.science/hal-01418755Test; https://hal.science/hal-01418755v2/documentTest; https://hal.science/hal-01418755v2/file/MarkovCubature.pdfTest; ARXIV: 1707.06849
الإتاحة: https://doi.org/10.1016/j.spa.2019.06.010Test
https://hal.science/hal-01418755Test
https://hal.science/hal-01418755v2/documentTest
https://hal.science/hal-01418755v2/file/MarkovCubature.pdfTest -
4دورية أكاديمية
المؤلفون: Abi Jaber, Eduardo, Larsson, Martin, Pulido, Sergio
المساهمون: CEntre de REcherches en MAthématiques de la DEcision (CEREMADE), Université Paris Dauphine-PSL, Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Université Paris Sciences et Lettres (PSL), AXA Investment Managers, Multi Asset Client Solutions, Quantitative Research, AXA, Department of Mathematics - ETH, Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Institut National de la Recherche Agronomique (INRA)-Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Centre National de la Recherche Scientifique (CNRS), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Martin Larsson gratefully acknowledges financial support by the Swiss National Science Foundation (SNF) under grant 205121_163425. The research of Sergio Pulido benefited from the support of the Chair Markets in Transition (Fédération Bancaire Française) and the project ANR 11-LABX-0019., ANR-11-LABX-0019,LABEX FCD,LABEX Finance & Croissance Durable(2011)
المصدر: ISSN: 1050-5164.
مصطلحات موضوعية: Riccati-Volterra equations, stochastic Volterra equations, rough volatility, affine processes, MSC2010 classifications: 60J20 (primary), 60G22, 45D05, 91G20 (secondary), [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1708.08796; hal-01580801; https://hal.science/hal-01580801Test; https://hal.science/hal-01580801v2/documentTest; https://hal.science/hal-01580801v2/file/Affine_Volterra_20180311.pdfTest; ARXIV: 1708.08796
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5تقرير
المؤلفون: Keller-Ressel, Martin, Larsson, Martin, Pulido, Sergio
المساهمون: Technische Universität Dresden = Dresden University of Technology (TU Dresden), Department of Mathematics ETH Zurich (D-MATH), Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), ENSIIE-Université d'Évry-Val-d'Essonne (UEVE)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS), Martin Keller-Ressel gratefully acknowledges financial support from DFG grants ZUK 64 andKE 1736/1-1. Martin Larsson gratefully acknowledges financial support from SNF Grant 205121163425. Sergio Pulido gratefully acknowledges financial support from MATH AmSud project SaSMoTiDep 18-MATH-17.
المصدر: https://hal.archives-ouvertes.fr/hal-02265210Test ; 2019.
مصطلحات موضوعية: [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1812.08486; hal-02265210; https://hal.archives-ouvertes.fr/hal-02265210Test; https://hal.archives-ouvertes.fr/hal-02265210/documentTest; https://hal.archives-ouvertes.fr/hal-02265210/file/rough_affine_20_12_18.pdfTest; ARXIV: 1812.08486
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6تقرير
المؤلفون: Jaber, Eduardo Abi, Cuchiero, Christa, Larsson, Martin, Pulido, Sergio
المساهمون: Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Vienna University of Economics and Business, Wirtschaftsuniversität Wien Austria (WU), Department of Mathematics - ETH, Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), ENSIIE-Université d'Évry-Val-d'Essonne (UEVE)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS), The work of Eduardo Abi Jaber was supported by grants from Région Ile-de-France. Christa Cuchierogratefully acknowledges financial support by the Vienna Science and Technology Fund (WWTF) under grantMA16-021. The research of Sergio Pulido benefited from the support of the Chair Markets in Transition(Fédération Bancaire Française), the project ANR 11-LABX-0019, and the MATH AmSud project SaSMoTiDep 18-MATH-17., ANR-11-LABX-0019,LABEX FCD,LABEX Finance & Croissance Durable(2011)
المصدر: https://hal.archives-ouvertes.fr/hal-02279033Test ; 2019.
مصطلحات موضوعية: stochastic Volterra equations, stochastic convolution equations, martingale problem, nonlinear Hawkes processes, MSC 2010 subject classications: Primary 60H20, secondary 60H05, 60G22, 60G17, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1909.01166; hal-02279033; https://hal.archives-ouvertes.fr/hal-02279033Test; https://hal.archives-ouvertes.fr/hal-02279033v2/documentTest; https://hal.archives-ouvertes.fr/hal-02279033v2/file/Stoch_Volterra_Eqns.pdfTest; ARXIV: 1909.01166
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7دورية أكاديمية
المؤلفون: Larsson, Martin, Pulido, Sergio
المساهمون: Department of Mathematics ETH Zurich (D-MATH), Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology Zürich (ETH Zürich), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Institut National de la Recherche Agronomique (INRA)-Université d'Évry-Val-d'Essonne (UEVE)-Centre National de la Recherche Scientifique (CNRS), “Chair Markets in Transition” under the aegis of Louis Bachelier laboratory, a joint initiative of École Polytechnique, Université d’Évry Val d’Essonne and Fédération Bancaire Française, and the project ANR 11-LABX-0019, SNF Grant 205121_163425, ANR-11-LABX-0019,LABEX FCD,LABEX Finance & Croissance Durable(2011), European Project: 307465,EC:FP7:ERC,ERC-2012-StG_20111012,POLYTE(2012)
المصدر: ISSN: 0304-4149.
مصطلحات موضوعية: Polynomial preserving processes, sums of squares, biquadratic forms, stochastic invariance, pathwise uniqueness, smooth densities, MSC2010: 60J60, 60H10, 11E25, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1511.03554; info:eu-repo/grantAgreement/EC/FP7/307465/EU/Polynomial term structure models/POLYTE; hal-01240751; https://hal.science/hal-01240751Test; https://hal.science/hal-01240751v2/documentTest; https://hal.science/hal-01240751v2/file/PP_on_quadric_sets.pdfTest; ARXIV: 1511.03554
الإتاحة: https://doi.org/10.1016/j.spa.2016.07.004Test
https://hal.science/hal-01240751Test
https://hal.science/hal-01240751v2/documentTest
https://hal.science/hal-01240751v2/file/PP_on_quadric_sets.pdfTest
