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 0 6 10 40
Deep self-consistent learning of local volatility 0 0 0 14 1 2 7 18
Hedging in bond markets by the Clark-Ocone formula 0 0 1 34 0 3 5 55
SURE shrinkage of Gaussian paths and signal identification 0 0 0 10 0 1 4 42
Sensitivity analysis and density estimation for finite-time ruin probabilities 0 0 0 36 1 3 4 103
Total Working Papers 0 0 1 98 2 15 30 258

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 0 5 7 184
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models 0 0 0 0 1 2 5 11
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations 0 0 0 1 1 5 9 12
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups 0 0 1 5 0 4 9 27
Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model 0 0 0 0 0 3 5 7
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS 0 0 0 0 0 3 4 10
Computation of Coverage Probabilities in a Spherical Germ-Grain Model 0 0 0 0 0 3 4 5
Computations of Greeks in a market with jumps via the Malliavin calculus 0 0 1 46 0 4 8 131
Conditional Stein approximation for Itô and Skorohod integrals 0 0 1 7 6 9 11 34
Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals 0 0 0 0 1 4 5 6
Extended covariance identities and inequalities 0 0 0 16 0 3 6 78
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING 0 0 0 5 0 3 4 19
Isoperimetric and related bounds on configuration spaces 0 0 0 4 1 4 4 28
Large deviations for Bernstein bridges 0 0 0 1 0 2 3 17
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals 0 0 0 1 0 2 4 9
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals 0 0 0 8 1 5 6 42
Normal Approximation of Compound Hawkes Functionals 0 0 0 0 2 5 8 14
Numerical computation of Theta in a jump-diffusion model by integration by parts 0 0 0 24 1 6 9 100
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates 0 0 1 3 4 5 7 12
Pricing CIR Yield Options by Conditional Moment Matching 0 1 1 11 0 4 5 49
Recursive computation of the Hawkes cumulants 0 0 0 1 0 1 9 16
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL 0 0 0 2 0 2 3 21
Stein estimation of Poisson process intensities 0 0 0 28 1 3 3 90
Stratified approximations for the pricing of options on average 0 0 1 1 0 3 4 4
Supermodular ordering of Poisson arrays 0 0 0 4 1 5 9 53
Third Cumulant Stein Approximation for Poisson Stochastic Integrals 0 0 0 0 0 2 3 5
Wasserstein distance estimates for jump-diffusion processes 0 0 0 2 0 6 9 13
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance 0 0 1 204 0 2 6 1,321
Total Journal Articles 0 1 7 442 20 105 169 2,318

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Statistics updated 2026-03-04