25355 articles – 19602 Notices  [english version]
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14 documents classés par :

fulltext access Price jump prediction in a limit order book
Zheng B. et al
journal of mathematical finance 3, 2 (2013) 242-255 [hal-00684716 - version 2]
fulltext access Gradient blow up in Zygmund spaces for the very weak solution of a linear elliptic equation
Abergel F. et al
Discrete and Continuous Dynamical Systems - Series A 33, 5 (2013) 1809-1818 [hal-00647503 - version 4]
fulltext access Pricing and hedging contingent claims with liquidity costs and market impact
Abergel F. et al
[hal-00802402 - version 4] (09/09/2013)
fulltext access Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims
Abergel F.
[hal-00771528 - version 1] (08/01/2013)
fulltext access A Mathematical Approach to Order Book Modelling
Abergel F. et al
International Journal of Theoretical and Applied Finance 16, 5 (2013) 1-40 [hal-00621253 - version 3]
fulltext access Stability and price scaling limit of a Hawkes-process based order book model
Jedidi A. et al
[hal-00821607 - version 1] (11/05/2013)
fulltext access Stationary free surface viscous flows without surface tension in three dimensions
Abergel F. et al
Differential and integral equations 25, 9-10 (2012) 801-820 [hal-00621191 - version 7]
fulltext access The times change: multivariate subordination, empirical facts
Huth N. et al
Quantitative Finance 12, 1 (2012) 1-10 [hal-00620841 - version 1]
fulltext access Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs
Abergel F. et al
[hal-00621256 - version 2] (06/12/2011)
fulltext access Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
Abergel F. et al
SIAM Journal on Financial Mathematics (2011) SIAM J. Finan. Math. 2, 342 (2011) [hal-00620843 - version 1]
fulltext access High frequency correlation modelling
Huth N. et al
Dans Econophysics of order-driven markets - 5th Kolkata Econophysics conference, Inde (2010) [hal-00621244 - version 1]
fulltext access A nonlinear partial integro-differential equation from mathematical finance
Abergel F. et al
Discrete and Continuous Dynamical Systems - Series A (2010) 907 [hal-00611962 - version 1]
fulltext access Credit risk in the pricing and hedging of derivatives
Abergel F.
Dans New developments in structured product and credit derivatives - 1st Financial Risks International Forum, Paris, France (2008) [hal-00620847 - version 1]
fulltext access A financial engineering benchmark for performance analysis of grid middlewares
Doan V. D. et al
Rapport de recherche (2009) [inria-00387324 - version 2]