Nicolas Privault

Université de la Rochelle

Avenue Marillac

Department of Mathematics

F-17042 La Rochelle Cedex 1

France

http://perso.univ-lr.fr/nprivaul/

  • Université de la Rochelle

SCHOLARLY PAPERS

3

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210

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (3)

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1.

A Malliavin Calculus Approach to Sensitivity Analysis in Insurance

Number of pages: 15 Posted: 16 May 2004
Nicolas Privault and Xiao Wei
Université de la Rochelle and Wuhan University - Department of Mathematics
Downloads 210 (277,335)
Citation 1

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Probabilities of ruin, reserve processes, sensitivity analysis, Malliavin calculus

2.

Bounds on Option Prices in Point Process Diffusion Models

International Journal of Theoretical and Applied Finance, Vol. 11, No. 6, pp. 597-610, 2008
Posted: 08 Dec 2009
Jean-Christophe Breton and Nicolas Privault
affiliation not provided to SSRN and Université de la Rochelle

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Convex concentration, jump-diffusion processes, option prices, propagation of convexity property

3.

White Noise Generalizations of the Clark-Haussmann-Ocone Theorem with Application to Mathematical Finance

Posted: 17 Nov 2000
Knut K. Aase, Bernt Oksendal, Nicolas Privault and Jan Uboe
NHH Norwegian School of Economics - Department of Business and Management Science, University of Oslo - Department of Mathematics, Université de la Rochelle and NHH Norwegian School of Economics - Department of Business and Management Science

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