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14 documents classés par : Date Titre Nom du premier auteur Type de documents Date de dépôt

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]

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]

Pricing and hedging contingent claims with liquidity costs and market impact Abergel F. et al [hal-00802402 - version 3] (13/04/2013)

Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims Abergel F. [hal-00771528 - version 1] (08/01/2013)

A Mathematical Approach to Order Book Modelling Abergel F. et al [hal-00621253 - version 3] (13/05/2013)

Stability and price scaling limit of a Hawkes-process based order book model Jedidi A. et al [hal-00821607 - version 1] (11/05/2013)

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]

The times change: multivariate subordination, empirical facts Huth N. et al Quantitative Finance 12, 1 (2012) 1-10 [hal-00620841 - version 1]

Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs Abergel F. et al [hal-00621256 - version 2] (2011-12-06)

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]

High frequency correlation modelling Huth N. et al Dans Econophysics of order-driven markets - 5th Kolkata Econophysics conference, Inde (2010) [hal-00621244 - version 1]

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]

Credit risk in the pricing and hedging of derivatives Abergel F. In New developments in structured product and credit derivatives - 1st Financial Risks International Forum, Paris, France (2008) [hal-00620847 - version 1]

A financial engineering benchmark for performance analysis of grid middlewares Doan V. D. et al Rapport de recherche (2009) [inria-00387324 - version 2]