Nicolas Privault

Université de la Rochelle

Avenue Marillac

Department of Mathematics

F-17042 La Rochelle Cedex 1

France

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

SCHOLARLY PAPERS

4

DOWNLOADS

175

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (4)

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 172 (178,113)
Citation 1

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

2.

The Dothan Pricing Model Revisited

Mathematical Finance, Vol. 21, Issue 2, pp. 355-363, 2011
Number of pages: 9 Posted: 14 Feb 2011
Caroline Pintoux and Nicolas Privault
affiliation not provided to SSRN and Université de la Rochelle
Downloads 3 (643,644)
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interest rate models, Dothan model, PDE, heat kernel, option pricing, Hartman-Watson distribution, Bessel functions

3.

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

4.

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

Finance and Stochastics, Vol. 4, No. 4
Posted: 17 Nov 2000
Knut K. Aase, Bernt Oksendal, Nicolas Privault and Jan Uboe
Norwegian School of Economics (NHH) - Department of Business and Management Science, University of Oslo - Department of Mathematics, Université de la Rochelle and Norwegian School of Economics (NHH) - Department of Business and Management Science

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