Access Statistics for Nicolas Privault

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A q-binomial extension of the CRR asset pricing model 0 0 0 4 3 4 14 44
Deep self-consistent learning of local volatility 0 2 2 16 1 5 11 22
Hedging in bond markets by the Clark-Ocone formula 0 0 0 34 1 1 5 56
SURE shrinkage of Gaussian paths and signal identification 0 0 0 10 3 3 5 45
Sensitivity analysis and density estimation for finite-time ruin probabilities 0 0 0 36 6 7 10 109
Total Working Papers 0 2 2 100 14 20 45 276

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Malliavin calculus approach to sensitivity analysis in insurance 0 0 0 68 2 3 10 187
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models 0 0 0 0 3 4 8 14
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations 0 0 0 1 0 1 9 12
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups 0 0 1 5 2 3 11 30
Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model 0 0 0 0 1 2 7 9
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS 0 0 0 0 2 2 6 12
Computation of Coverage Probabilities in a Spherical Germ-Grain Model 0 0 0 0 1 3 7 8
Computations of Greeks in a market with jumps via the Malliavin calculus 0 0 0 46 4 4 11 135
Conditional Stein approximation for Itô and Skorohod integrals 0 0 1 7 0 9 14 37
Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals 0 0 0 0 6 7 11 12
Extended covariance identities and inequalities 0 0 0 16 3 3 9 81
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING 0 0 0 5 2 2 5 21
Isoperimetric and related bounds on configuration spaces 0 0 0 4 0 1 4 28
Large deviations for Bernstein bridges 0 0 0 1 0 1 4 18
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals 0 0 0 1 3 3 7 12
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals 0 0 0 8 2 4 9 45
Normal Approximation of Compound Hawkes Functionals 0 0 0 0 1 4 8 16
Numerical computation of Theta in a jump-diffusion model by integration by parts 0 0 0 24 1 2 9 101
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates 0 0 1 3 4 9 12 17
Pricing CIR Yield Options by Conditional Moment Matching 0 0 1 11 1 1 6 50
Recursive computation of the Hawkes cumulants 0 0 0 1 1 1 10 17
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL 0 0 0 2 3 4 7 25
Stein estimation of Poisson process intensities 0 0 0 28 1 3 5 92
Stratified approximations for the pricing of options on average 0 0 0 1 2 3 6 7
Supermodular ordering of Poisson arrays 0 0 0 4 2 3 11 55
Third Cumulant Stein Approximation for Poisson Stochastic Integrals 0 0 0 0 1 1 4 6
Wasserstein distance estimates for jump-diffusion processes 0 0 0 2 3 3 12 16
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance 0 0 1 204 3 3 9 1,324
Total Journal Articles 0 0 5 442 54 89 231 2,387

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Statistics updated 2026-05-06