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 1 1 2 30
Deep self-consistent learning of local volatility 0 0 1 14 1 1 5 11
Hedging in bond markets by the Clark-Ocone formula 0 0 1 33 0 1 2 50
SURE shrinkage of Gaussian paths and signal identification 0 0 0 10 0 0 0 38
Sensitivity analysis and density estimation for finite-time ruin probabilities 0 0 0 36 0 0 0 99
Total Working Papers 0 0 2 97 2 3 9 228

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 1 68 0 0 1 177
A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models 0 0 0 0 1 2 3 6
A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations 0 0 1 1 0 0 1 3
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups 0 0 2 4 0 1 4 18
BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS 0 0 0 0 0 0 0 6
Computation of Coverage Probabilities in a Spherical Germ-Grain Model 0 0 0 0 0 1 1 1
Computations of Greeks in a market with jumps via the Malliavin calculus 0 0 0 45 0 1 1 123
Conditional Stein approximation for Itô and Skorohod integrals 0 0 0 6 0 0 0 23
Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals 0 0 0 0 0 0 0 1
Extended covariance identities and inequalities 0 0 0 16 0 0 0 72
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING 0 0 2 5 0 0 3 15
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 0 0 14
Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals 0 0 0 1 0 0 1 5
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals 0 0 0 8 0 0 0 36
Normal Approximation of Compound Hawkes Functionals 0 0 0 0 0 1 6 6
Numerical computation of Theta in a jump-diffusion model by integration by parts 0 0 0 24 1 1 2 91
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates 0 0 0 2 0 0 1 5
Pricing CIR Yield Options by Conditional Moment Matching 0 0 0 10 1 1 2 44
Recursive computation of the Hawkes cumulants 0 0 0 1 0 1 3 7
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL 0 0 2 2 1 1 3 18
Stein estimation of Poisson process intensities 0 0 0 28 0 0 0 87
Supermodular ordering of Poisson arrays 0 0 0 4 0 0 0 44
Third Cumulant Stein Approximation for Poisson Stochastic Integrals 0 0 0 0 1 1 1 2
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance 0 0 1 203 1 1 6 1,315
Total Journal Articles 0 0 9 433 6 12 39 2,143

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Statistics updated 2025-03-03