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 4 19 50
Deep self-consistent learning of local volatility 0 0 2 16 1 1 9 23
Hedging in bond markets by the Clark-Ocone formula 0 0 0 34 0 1 6 57
SURE shrinkage of Gaussian paths and signal identification 0 0 0 10 2 3 8 48
Sensitivity analysis and density estimation for finite-time ruin probabilities 0 0 0 36 1 2 13 112
Total Working Papers 0 0 2 100 4 11 55 290

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 0 10 187
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models 0 0 0 0 1 2 11 17
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations 0 0 0 1 0 2 8 14
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups 0 0 1 5 0 2 12 32
Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model 0 0 0 0 1 2 10 12
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS 0 0 0 0 0 1 7 13
Computation of Coverage Probabilities in a Spherical Germ-Grain Model 0 0 0 0 0 0 6 8
Computations of Greeks in a market with jumps via the Malliavin calculus 0 0 0 46 0 0 12 136
Conditional Stein approximation for Itô and Skorohod integrals 0 0 0 7 0 1 14 38
Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals 0 0 0 0 6 14 24 26
Extended covariance identities and inequalities 0 0 0 16 0 0 8 81
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING 0 0 0 5 0 0 5 21
Isoperimetric and related bounds on configuration spaces 0 0 0 4 0 2 7 31
Large deviations for Bernstein bridges 0 0 0 1 0 0 4 18
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals 0 0 0 1 0 0 7 12
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals 0 0 0 8 4 8 17 53
Normal Approximation of Compound Hawkes Functionals 0 0 0 0 0 0 7 16
Numerical computation of Theta in a jump-diffusion model by integration by parts 0 0 0 24 0 0 10 102
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates 0 0 0 3 1 1 12 19
Pricing CIR Yield Options by Conditional Moment Matching 0 0 1 11 1 2 10 54
Recursive computation of the Hawkes cumulants 0 0 0 1 0 0 12 19
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL 0 0 0 2 0 0 7 26
Stein estimation of Poisson process intensities 0 0 0 28 0 0 7 94
Stratified approximations for the pricing of options on average 0 0 0 1 0 2 8 9
Supermodular ordering of Poisson arrays 0 0 0 4 0 0 10 55
Third Cumulant Stein Approximation for Poisson Stochastic Integrals 0 0 0 0 1 3 7 9
Wasserstein distance estimates for jump-diffusion processes 0 0 0 2 2 2 11 18
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance 0 0 1 204 0 1 11 1,326
Total Journal Articles 0 0 3 442 17 45 274 2,446

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Statistics updated 2026-10-11