Pierre Henry-Labordere

Société Générale - Paris, France

Paris-La Défense, Paris 92987

France

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 1,279

SSRN RANKINGS

Top 1,279

in Total Papers Downloads

21,372

CITATIONS
Rank 9,966

SSRN RANKINGS

Top 9,966

in Total Papers Citations

43

Scholarly Papers (31)

1.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Société Générale - Paris, France
Downloads 3,565 (2,615)
Citation 3

Abstract:

Loading...

non linear SDEs, particle method, calibration, Malliavin calculus

2.

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Number of pages: 35 Posted: 14 Apr 2005
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 3,377 (2,875)
Citation 16

Abstract:

Loading...

Heat kernel expansion, hyperbolic geometry, asymptotic smile, SABR with a mean-reversion term

3.

Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach

Risk Magazine, September 2009
Number of pages: 16 Posted: 24 Oct 2009 Last Revised: 19 Aug 2011
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 2,729 (4,165)
Citation 3

Abstract:

Loading...

Bergomi's model, $2$-factor log-normal, Malliavin's calculus, Markovian projection

4.

Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry

Number of pages: 12 Posted: 23 Jan 2006
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 1,508 (11,197)
Citation 2

Abstract:

Loading...

Stochastic Libor Market Model, Asymptotic smile

5.

From Spot Volatilities to Implied Volatilities

Number of pages: 14 Posted: 24 Aug 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Société Générale - Paris, France
Downloads 1,247 (15,105)
Citation 3

Abstract:

Loading...

Implied volatility, local volatility, approximation, heat kernel expansion

6.

Uncertain Volatility Model: A Monte-Carlo Approach

Number of pages: 25 Posted: 21 Jan 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Société Générale - Paris, France
Downloads 1,223 (15,594)
Citation 1

Abstract:

Loading...

Uncertain volatility model, optimization of non-smooth function, backward stochastic differential equation, Monte-Carlo simulation, regression, Malliavin

7.

Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing

Number of pages: 21 Posted: 09 Aug 2005
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 1,223 (15,575)
Citation 2

Abstract:

Loading...

Solvable diffusion process, supersymmetry, differential geometry

8.

Automated Option Pricing: Numerical Methods

Number of pages: 23 Posted: 05 Dec 2011
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 836 (27,372)

Abstract:

Loading...

sub/super-replication, model-independent bounds, semi-infinite linear programming, duality, primal-dual interior-point, cutting-plane, risk-neutral weighted Monte-Carlo

9.

Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM

Number of pages: 16 Posted: 20 Nov 2017 Last Revised: 14 Dec 2017
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 634 (39,791)

Abstract:

Loading...

BSDE, Stochastic Control, Machine Learning, CVA, Initial Margin

10.

Local Volatility from American Options

Number of pages: 21 Posted: 16 Nov 2016 Last Revised: 04 Sep 2017
Stefano De Marco and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Société Générale - Paris, France
Downloads 614 (41,519)

Abstract:

Loading...

Local volatility model, stochastic volatility model, American options, calibration, discrete dividends

11.

Interest Rate Models Enhanced with Local Volatility

Number of pages: 9 Posted: 13 Jun 2016 Last Revised: 23 Jul 2016
Lingling Cao and Pierre Henry-Labordere
Societe Generale and Société Générale - Paris, France
Downloads 557 (47,183)

Abstract:

Loading...

calibration, interest rate models, swaption smile

12.

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

Number of pages: 21 Posted: 19 Nov 2013 Last Revised: 25 Apr 2015
Stefano De Marco and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Société Générale - Paris, France
Downloads 515 (52,115)

Abstract:

Loading...

13.

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Number of pages: 17 Posted: 18 Feb 2012
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 490 (55,491)
Citation 3

Abstract:

Loading...

counterparty risk valuation, branching diffusions, Galton-Watson tree, BSDE, super-diffusion, semi-linear PDE

14.

Equity Modeling with Stochastic Dividends

Number of pages: 8 Posted: 02 May 2017
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Société Générale - Paris, France
Downloads 411 (69,027)

Abstract:

Loading...

stochastic dividends, local stochastic volatility model

15.

Vega Decomposition of Exotics on Vanillas: A Monte-Carlo Approach

Number of pages: 18 Posted: 09 Mar 2013
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 338 (86,480)

Abstract:

Loading...

Malliavin calculus, Functional derivative, Vega hedging, Local volatility model, Libor Market Model

16.

Local Volatility Models Enhanced with Jumps

Number of pages: 22 Posted: 31 May 2016
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Société Générale - Paris, France
Downloads 281 (105,731)

Abstract:

Loading...

Local volatility, jumps, nonlinear McKean, particle method

17.

Exact Simulation of Multi-Dimensional Stochastic Differential Equations

Number of pages: 28 Posted: 26 Apr 2015
Pierre Henry-Labordere, Xiaolu Tan and Nizar Touzi
Société Générale - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 260 (114,754)

Abstract:

Loading...

18.

Model-Independent Bounds for Option Prices: A Mass Transport Approach

Number of pages: 18 Posted: 23 Aug 2011 Last Revised: 21 Feb 2013
Mathias Beiglböck, Pierre Henry-Labordere and Friedrich Penkner
University of Vienna, Société Générale - Paris, France and University of Vienna
Downloads 243 (122,990)
Citation 4

Abstract:

Loading...

model-independent pricing, Monge-Kantorovich transport problem, option arbitrage

19.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Pierre Henry-Labordere, Jan Obłój, Peter Spoida and Nizar Touzi
Société Générale - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 220 (135,730)

Abstract:

Loading...

Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option

20.

A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options

Number of pages: 25 Posted: 22 Sep 2011 Last Revised: 20 Feb 2013
Alfred Galichon, Pierre Henry-Labordere and Nizar Touzi
NYU, Department of Economics and Courant Institute, Société Générale - Paris, France and Ecole Polytechnique, Paris
Downloads 216 (138,124)
Citation 6

Abstract:

Loading...

Optimal control, volatility uncertainty, convex duality

21.

Optimal Posting of Collateral with Recurrent Neural Networks

Number of pages: 12 Posted: 14 Mar 2018
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 133 (210,710)

Abstract:

Loading...

posting collateral, recurrent neural networks

22.

An Explicit Martingale Version of Brenier's Theorem

Number of pages: 32 Posted: 22 Feb 2013 Last Revised: 10 Apr 2013
Pierre Henry-Labordere and Nizar Touzi
Société Générale - Paris, France and Ecole Polytechnique, Paris
Downloads 113 (238,339)

Abstract:

Loading...

23.

A Numerical Algorithm for a Class of BSDE Via Branching Process

Number of pages: 27 Posted: 06 Feb 2013
Pierre Henry-Labordere, Xiaolu Tan and Nizar Touzi
Société Générale - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 106 (249,321)

Abstract:

Loading...

numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs

24.

Robust Hedging of Options on Local Time

Number of pages: 32 Posted: 22 Nov 2015
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
Independent, Ecole Polytechnique, Paris and Société Générale - Paris, France
Downloads 104 (252,631)

Abstract:

Loading...

Skorokhod embedding, Model-free pricing, Robust hedging, Local time

25.

A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

Number of pages: 21 Posted: 05 May 2015
Pierre Henry-Labordere, Christian Litterer and Zhenjie Ren
Société Générale - Paris, France, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique
Downloads 103 (254,308)

Abstract:

Loading...

26.

Completing a Correlation Matrix with Fixed Subcorrelations

Number of pages: 9 Posted: 08 Feb 2018
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Société Générale - Paris, France
Downloads 101 (257,786)

Abstract:

Loading...

27.

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint

Number of pages: 36 Posted: 14 Feb 2014
Pierre Henry-Labordere, Xiaolu Tan and Nizar Touzi
Société Générale - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 97 (264,678)

Abstract:

Loading...

28.

From (Martingale) Schrodinger Bridges to a New Class of Stochastic Volatility Model

Number of pages: 23 Posted: 02 Apr 2019
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 50 (386,335)

Abstract:

Loading...

Schrodinger bridge, stochastic control, Sinkhorn algorithm, stochastic volatility model, conditioned SDEs

29.

Building Arbitrage-Free Implied Volatility: Sinkhorn's Algorithm and Variants

Number of pages: 17 Posted: 08 Feb 2019
Hadrien De March and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathématiques Appliquées (CMAP) and Société Générale - Paris, France
Downloads 45 (396,606)

Abstract:

Loading...

30.

(Non)-Parametric Regressions: Applications to Local Stochastic Volatility Models

Number of pages: 7 Posted: 29 Apr 2019
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 22 (498,435)

Abstract:

Loading...

Nadaraya-Watson, LP(p)-Estimators, Spline Regressor, Random Forest, LSVM

31.

(Martingale) Optimal Transport and Anomaly Detection with Neural Networks: A Primal-Dual Algorithm

Number of pages: 12 Posted: 29 Apr 2019
Pierre Henry-Labordere
Société Générale - Paris, France
Downloads 11 (561,529)

Abstract:

Loading...

(Martingale) Optimal Transport, Arrow-Hurwicz's Algorithm, Generative Adversarial Networks, Anomaly Detection