Department of Mathematics
F-17042 La Rochelle Cedex 1
Université de la Rochelle
Probabilities of ruin, reserve processes, sensitivity analysis, Malliavin calculus
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interest rate models, Dothan model, PDE, heat kernel, option pricing, Hartman-Watson distribution, Bessel functions
Convex concentration, jump-diffusion processes, option prices, propagation of convexity property
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