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Henry-Labordere, Pierre's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
9,330 |
Total
Citations
36 |
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1.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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2,867
(1,476)
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16
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Heat kernel expansion, hyperbolic geometry, asymptotic smile, SABR with a mean-reversion term
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2.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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1,358
(5,573)
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2
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Stochastic Libor Market Model, Asymptotic smile
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3.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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24 Oct 09
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Last Revised:
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19 Aug 11
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1,206
(6,772)
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3
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Bergomi's model, $2$-factor log-normal, Malliavin's calculus, Markovian projection
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4.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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1,083
(8,150)
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2
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Solvable diffusion process, supersymmetry, differential geometry
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5.
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Guyon, Julien
Société Générale Henry-Labordere, Pierre
Société Générale - Paris, France
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813
(12,868)
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2
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non linear SDEs, particle method, calibration, Malliavin calculus
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6.
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Guyon, Julien
Société Générale Henry-Labordere, Pierre
Société Générale - Paris, France
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631
(18,608)
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Uncertain volatility model, optimization of non-smooth function, backward stochastic differential equation, Monte-Carlo simulation, regression, Malliavin
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7.
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Guyon, Julien
Société Générale Henry-Labordere, Pierre
Société Générale - Paris, France
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462
(28,566)
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3
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Implied volatility, local volatility, approximation, heat kernel expansion
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8.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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234
(63,625)
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sub/super-replication, model-independent bounds, semi-infinite linear programming, duality, primal-dual interior-point, cutting-plane, risk-neutral weighted Monte-Carlo
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9.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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207
(72,287)
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3
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counterparty risk valuation, branching diffusions, Galton-Watson tree, BSDE, super-diffusion, semi-linear PDE
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10.
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Beiglböck, Mathias
University of Vienna Henry-Labordere, Pierre
Société Générale - Paris, France Penkner, Friedrich
University of Vienna
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23 Aug 11
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Last Revised:
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21 Feb 13
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142
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2
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model-independent pricing, Monge-Kantorovich transport problem, option arbitrage
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11.
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Henry-Labordere, Pierre
Société Générale - Paris, France Obloj, Jan K.
University of Oxford Spoida, Peter
University of Oxford Touzi, Nizar
Ecole Polytechnique, Paris
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01 Apr 12
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Last Revised:
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10 Apr 13
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111
(126,365)
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1
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Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option
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12.
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Galichon, Alfred
Sciences Po - Department of Economics Henry-Labordere, Pierre
Société Générale - Paris, France Touzi, Nizar
Ecole Polytechnique, Paris
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22 Sep 11
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Last Revised:
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20 Feb 13
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108
(128,104)
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2
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Optimal control, volatility uncertainty, convex duality
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13.
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Henry-Labordere, Pierre
Société Générale - Paris, France
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47
(206,167)
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Malliavin calculus, Functional derivative, Vega hedging, Local volatility model, Libor Market Model
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14.
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Henry-Labordere, Pierre
Société Générale - Paris, France Touzi, Nizar
Ecole Polytechnique, Paris
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22 Feb 13
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Last Revised:
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10 Apr 13
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33
(235,728)
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15.
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Henry-Labordere, Pierre
Société Générale - Paris, France Tan, Xiaolu
Ceremade Touzi, Nizar
Ecole Polytechnique, Paris
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28
(249,067)
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numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs
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Records 1 -
15
of 15 matches
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1
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