Contributions to volatility modeling and risk management and to efficient numerical simulation in finance

Stefano de Marco

Habilitation À Diriger Des Recherches Year : 2022

Contributions to volatility modeling and risk management and to efficient numerical simulation in finance

(1)

1

Stefano de Marco

Function : Author
PersonId : 1377304
IdHAL : stefano-de-marco

Centre de Mathématiques Appliquées - Ecole Polytechnique

Keywords

Monte Carlo simulation asymptotic methods for stochastic processes optimal transport Stochastic modeling quantitative finance volatility modeling

Processus stochastiques mathématiques financières surface de volatilité simulation Monte-Carlo calcul asymptotique pour les processus stochastiques transport optimal

Domains

Probability [math.PR] Risk Management [q-fin.RM]

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HDR_SDeMarco.pdf (2.05 Mo)

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Stefano De Marco : Connect in order to contact the contributor

https://hal.science/tel-04554992

Submitted on : Monday, April 22, 2024-3:37:08 PM

Last modification on : Friday, April 26, 2024-2:12:43 PM

Dates and versions

tel-04554992 , version 1 (22-04-2024)

Identifiers

HAL Id : tel-04554992 , version 1

Cite

Stefano de Marco. Contributions to volatility modeling and risk management and to efficient numerical simulation in finance. Probability [math.PR]. Institut Polytechnique de Paris, 2022. ⟨tel-04554992⟩

Contributions to volatility modeling and risk management and to efficient numerical simulation in finance

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