E-LIB Suche - Ergebnisse für: Henry-Labordere, Pierre

1

Policy Gradient Learning Methods for Stochastic Control wit..:

Hamdouche, Mohamed ; Henry-Labordere, Pierre ; Pham, Huyên
Applied Mathematical Finance. 29 (2022) 6 - p. 439-456 , 2022

Link: https://doi.org/10.1080/..

2

Some Results on Skorokhod Embedding and Robust Hedging with..:

Claisse, Julien ; Guo, Gaoyue ; Henry-Labordère, Pierre
Journal of Optimization Theory and Applications. 179 (2017) 2 - p. 569-597 , 2017

Link: https://doi.org/10.1007/..

3

UNBIASED SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS:

Henry-Labordère, Pierre ; Tan, Xiaolu ; Touzi, Nizar
The Annals of Applied Probability. 27 (2017) 6 - p. 3305-3341 , 2017

Link: https://www.jstor.org/st..

4

Monotone martingale transport plans and Skorokhod embedding:

Beiglböck, Mathias ; Henry-Labordère, Pierre ; Touzi, Nizar
Stochastic Processes and their Applications. 127 (2017) 9 - p. 3005-3013 , 2017

Link: https://doi.org/10.1016/..

5

THE MAXIMUM MAXIMUM OF A MARTINGALE WITH GIVEN n MARGINALS:

Henry-Labordère, Pierre ; Obłój, Jan ; Spoida, Peter.
The Annals of Applied Probability. 26 (2016) 1 - p. 1-44 , 2016

Link: http://www.jstor.org/sta..

6

An explicit martingale version of the one-dimensional Breni..:

Henry-Labordère, Pierre ; Tan, Xiaolu ; Touzi, Nizar
Stochastic Processes and their Applications. 126 (2016) 9 - p. 2800-2834 , 2016

Link: https://doi.org/10.1016/..

7

A Dual Algorithm for Stochastic Control Problems: Applicati..:

Henry-Labordère, Pierre ; Litterer, Christian ; Ren, Zhenjie
SIAM Journal on Financial Mathematics. 7 (2016) 1 - p. 159-182 , 2016

Link: https://doi.org/10.1137/..

8

An explicit martingale version of the one-dimensional Breni..:

Henry-Labordère, Pierre ; Touzi, Nizar
Finance and Stochastics. 20 (2016) 3 - p. 635-668 , 2016

Link: https://doi.org/10.1007/..

9

Linking Vanillas and VIX Options: A Constrained Martingale ..:

De Marco, Stefano ; Henry-Labordère, Pierre
SIAM Journal on Financial Mathematics. 6 (2015) 1 - p. 1171-1194 , 2015

Link: https://doi.org/10.1137/..

10

A numerical algorithm for a class of BSDEs via the branchin..:

Henry-Labordère, Pierre ; Tan, Xiaolu ; Touzi, Nizar
Stochastic Processes and their Applications. 124 (2014) 2 - p. 1112-1140 , 2014

Link: https://doi.org/10.1016/..

11

Nonlinear option pricing:

Guyon, Julien ; Henry-Labordere, Pierre - First edition . , 2014

Link: https://learning.oreilly..

12

Model-independent bounds for option prices—a mass transport..:

Beiglböck, Mathias ; Henry-Labordère, Pierre ; Penkner, Friedrich
Finance and Stochastics. 17 (2013) 3 - p. 477-501 , 2013

Link: https://doi.org/10.1007/..

13

Solvable Local and Stochastic Volatility Models: Supersymme..:

Henry-Labordere, Pierre
Quantitative Finance. 7 (2007) 5 - p. 525-535 , 2007

Link: https://doi.org/10.1080/..

14

Solvable local and stochastic volatility models: supersymme..:

Henry-labordère, Pierre
Quantitative Finance. 7 (2007) 5 - p. 525-535 , 2007

Link: https://doi.org/10.1080/..

15

Pricing Bermudan options using regression trees/random fore..:

El Filali Ech-Chafiq, Zineb ; Henry-Labordere, Pierre ; Lelong, Jérôme
info:eu-repo/semantics/altIdentifier/arxiv/2201.02587. , 2023

Link: https://hal.science/hal-..