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 2 3 5 34
Deep self-consistent learning of local volatility 0 0 0 14 0 2 6 16
Hedging in bond markets by the Clark-Ocone formula 0 0 1 34 1 1 3 52
SURE shrinkage of Gaussian paths and signal identification 0 0 0 10 1 1 3 41
Sensitivity analysis and density estimation for finite-time ruin probabilities 0 0 0 36 1 1 1 100
Total Working Papers 0 0 1 98 5 8 18 243

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 1 2 2 179
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models 0 0 0 0 2 3 5 9
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations 0 0 0 1 1 1 4 7
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups 0 1 1 5 0 3 6 23
Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model 0 0 0 0 2 2 4 4
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS 0 0 0 0 1 1 1 7
Computation of Coverage Probabilities in a Spherical Germ-Grain Model 0 0 0 0 0 0 2 2
Computations of Greeks in a market with jumps via the Malliavin calculus 0 0 1 46 3 3 5 127
Conditional Stein approximation for Itô and Skorohod integrals 0 0 1 7 1 1 2 25
Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals 0 0 0 0 0 0 1 2
Extended covariance identities and inequalities 0 0 0 16 1 2 3 75
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING 0 0 0 5 0 0 1 16
Isoperimetric and related bounds on configuration spaces 0 0 0 4 0 0 0 24
Large deviations for Bernstein bridges 0 0 0 1 0 1 1 15
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals 0 0 0 1 1 2 2 7
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals 0 0 0 8 0 1 1 37
Normal Approximation of Compound Hawkes Functionals 0 0 0 0 0 0 4 9
Numerical computation of Theta in a jump-diffusion model by integration by parts 0 0 0 24 1 2 4 94
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates 0 0 1 3 0 0 2 7
Pricing CIR Yield Options by Conditional Moment Matching 0 0 0 10 1 1 2 45
Recursive computation of the Hawkes cumulants 0 0 0 1 3 8 9 15
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL 0 0 0 2 0 1 2 19
Stein estimation of Poisson process intensities 0 0 0 28 0 0 0 87
Stratified approximations for the pricing of options on average 0 0 1 1 0 0 1 1
Supermodular ordering of Poisson arrays 0 0 0 4 2 3 4 48
Third Cumulant Stein Approximation for Poisson Stochastic Integrals 0 0 0 0 1 1 2 3
Wasserstein distance estimates for jump-diffusion processes 0 0 0 2 0 0 3 7
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance 0 1 1 204 1 4 5 1,319
Total Journal Articles 0 2 6 441 22 42 78 2,213

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Statistics updated 2025-12-06