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Emmanuel Gobet

170
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Publications

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Structured Dictionary Learning of Rating Migration Matrices for Credit Risk Modeling

Michaël Allouche , Emmanuel Gobet , Clara Lage , Edwin Mangin
Computational Statistics, 2024, ⟨10.1007/s00180-023-01449-y⟩
Journal articles hal-03715954v2
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Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Statistics and Computing, 2023, 34 (12), pp.1-35
Journal articles hal-03751980v1

Weak approximations and VIX option price expansions in forward variance curve models

F. Bourgey , Emmanuel Gobet , S. de Marco
Quantitative Finance, 2023, 23 (9), pp.1259-1283. ⟨10.1080/14697688.2023.2227230⟩
Journal articles hal-04507054v1
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Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
Quantitative Finance, 2023, 23 (9), pp.1285-1304. ⟨10.1080/14697688.2023.2229022⟩
Journal articles hal-03715921v1
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Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Emmanuel Gobet , Clara Lage
Annals of Operations Research, 2023, ⟨10.1007/s10479-023-05385-4⟩
Journal articles hal-03423114v2
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A comparative study of polynomial-type chaos expansions for indicator functions

Florian Bourgey , Emmanuel Gobet , Clément Rey
SIAM/ASA Journal on Uncertainty Quantification, 2022, 10 (4), pp.1350-1383. ⟨10.1137/21M1413146⟩
Journal articles hal-03199734v1
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Bridging socioeconomic pathways of CO2 emission and credit risk

Florian Bourgey , Emmanuel Gobet , Ying Jiao
Annals of Operations Research, 2022, ⟨10.1007/s10479-022-05135-y⟩
Journal articles hal-03458299v2
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EV-GAN: Simulation of extreme events with ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Journal of Machine Learning Research, 2022, 23 (150), pp.1--39
Journal articles hal-03250663v3
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A generative model for fBm with deep ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Journal of Complexity, 2022, 73, pp.101667. ⟨10.1016/j.jco.2022.101667⟩
Journal articles hal-03237854v4
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Newton method for stochastic control problems

Emmanuel Gobet , Maxime Grangereau
SIAM Journal on Control and Optimization, 2022, 60 (5), pp.2996-3025. ⟨10.1137/21M1408567⟩
Journal articles hal-03108627v1
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Extended McKean-Vlasov optimal stochastic control applied to smart grid management

Emmanuel Gobet , Maxime Grangereau
ESAIM: Control, Optimisation and Calculus of Variations, 2022, 28, pp.40. ⟨10.1051/cocv/2022034⟩
Journal articles hal-02181227v2
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Meta-model of a large credit risk portfolio in the Gaussian copula model

Florian Bourgey , Emmanuel Gobet , Clément Rey
SIAM Journal on Financial Mathematics, 2020, 11 (4), pp.1098-1136. ⟨10.1137/19M1292084⟩
Journal articles hal-02291548v2
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Parametric inference for diffusions observed at stopping times

Emmanuel Gobet , Uladzislau Stazhynski
Electronic Journal of Statistics , 2020, 14 (1), ⟨10.1214/20-EJS1708⟩
Journal articles hal-01879286v1
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Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations

Emmanuel Gobet , Isaque Pimentel , Xavier Warin
Finance and Stochastics, 2020, 24 (3), pp.633-675. ⟨10.1007/s00780-020-00428-1⟩
Journal articles hal-01761234v1
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Orlicz Random Fourier Features

Linda Chamakh , Emmanuel Gobet , Zoltán Szabó
Journal of Machine Learning Research, 2020, 21 (145), pp.1−37
Journal articles hal-02418576v2
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Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski
SIAM/ASA Journal on Uncertainty Quantification, In press, 8 (3), pp.1061-1089
Journal articles hal-01629952v4
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Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations

F Bourgey , S de Marco , Emmanuel Gobet , Alexandre Zhou
Monte Carlo Methods and Applications, 2020, 26 (2), ⟨10.1515/mcma-2020-2062⟩
Journal articles hal-02430430v1
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Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs

Emmanuel Gobet , José Germán López-Salas , Carlos Vázquez
Archives of Computational Methods in Engineering, 2019, 27 (3), pp.889-921. ⟨10.1007/s11831-019-09335-x⟩
Journal articles hal-01904457v1
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Quantification d'incertitude pour l'Approximation Stochastique

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski
Actes de Conférence du Colloque GRETSI 2019, 2019
Journal articles hal-02415192v1
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Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations

David Barrera , Stéphane Crépey , Babacar Diallo , Gersende Fort , Emmanuel Gobet
ESAIM: Proceedings and Surveys, inPress
Journal articles hal-01710394v1
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Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case

David Barrera , Emmanuel Gobet
Journal of Complexity, 2019, 52, pp.45-81. ⟨10.1016/j.jco.2019.01.003⟩
Journal articles hal-01832195v2
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Volatility uncertainty quantification in a stochastic control problem applied to energy

Francisco Bernal , Emmanuel Gobet , Jacques Printems
Methodology and Computing in Applied Probability, 2019, 22 (1), pp.135-159. ⟨10.1007/s11009-019-09692-x⟩
Journal articles hal-01784095v1
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Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , José G López-Salas , Fanny Noubiagain
ESAIM: Proceedings and Surveys, 2019, 65, pp.1-26. ⟨10.1051/proc/201965001⟩
Journal articles hal-01686952v3
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Convergence rate of strong approximations of compound random maps

Emmanuel Gobet , Mohamed Mrad
Discrete & Continuous Dynamical Systems- Series-B, 2018
Journal articles hal-01141320v2
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Optimal discretization of stochastic integrals driven by general Brownian semimartingale

Emmanuel Gobet , Uladzislau Stazhynski
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2018, 54 (3), ⟨10.1214/17-AIHP848⟩
Journal articles hal-01241190v2
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Analytical approximations of local-Heston volatility model and error analysis

Romain Bompis , Emmanuel Gobet
Mathematical Finance, 2018, 28 (3), pp.920-961. ⟨10.1111/mafi.12154⟩
Journal articles hal-00839650v2
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Analytical approximations of non-linear SDEs of McKean-Vlasov type

Emmanuel Gobet , Stefano Pagliarani
Journal of Mathematical Analysis and Applications, 2018, 466 (1), pp.71-106. ⟨10.1016/j.jmaa.2018.05.059⟩
Journal articles hal-01395840v1
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A NON-INTRUSIVE STRATIFIED RESAMPLER FOR REGRESSION MONTE CARLO: APPLICATION TO SOLVING NON-LINEAR EQUATIONS

Emmanuel Gobet , Gang Liu , Jorge Zubelli
SIAM Journal on Numerical Analysis, 2018, 56 (1), pp.50-77. ⟨10.1137/16M1066865⟩
Journal articles hal-01291056v1
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Study of new rare event simulation schemes and their application to extreme scenario generation

Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu
Mathematics and Computers in Simulation, 2018, 143, pp.89-98. ⟨10.1016/j.matcom.2017.05.004⟩
Journal articles hal-01249625v1

Model-adaptive optimal discretization of stochastic integrals

Emmanuel Gobet , Uladzislau Stazhynski
Stochastics: An International Journal of Probability and Stochastic Processes, 2018, 91 (3), pp.321-351. ⟨10.1080/17442508.2018.1539087⟩
Journal articles hal-04507055v1
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First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations

Bruno Bouchard , Stefan Geiss , Emmanuel Gobet
Bernoulli, 2017, 23 (3), pp.1631-1662. ⟨10.3150/15-BEJ791⟩
Journal articles hal-00844887v2
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Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

Emmanuel Gobet , P. Turkedjiev
Stochastic Processes and their Applications, 2017, 127 (4), pp.1171-1203. ⟨10.1016/j.spa.2016.07.011⟩
Journal articles hal-01169119v1

MCMC design-based non-parametric regression for rare event. Application to nested risk computation.

Gersende Fort , Emmanuel Gobet , Éric Moulines
Monte Carlo Methods and Applications, 2017
Journal articles hal-01711748v1

Thematic cycle on Monte-Carlo Techniques

Bruno Bouchard , Emmanuel Gobet , Benjamin Jourdain
ESAIM: Proceedings and Surveys, 2017, 59, ⟨10.1051/proc/201759000⟩
Journal articles hal-02101096v1
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MCMC design-based non-parametric regression for rare-event. Application to nested risk computations

Gersende Fort , Emmanuel Gobet , Éric Moulines
Monte Carlo Methods and Applications, 2017, 23 (1), pp.21--42
Journal articles hal-01394833v1
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Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

Emmanuel Gobet , Plamen Turkedjiev
Bernoulli, 2016, 22 (1), ⟨10.3150/14-BEJ667⟩
Journal articles hal-00855760v2
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Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph

Emmanuel Gobet , Gustaw Matulewicz
Statistical Inference for Stochastic Processes, 2016, 20 (2), pp.211-235. ⟨10.1007/s11203-016-9142-4⟩
Journal articles hal-01271994v1
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Empirical Regression Method for Backward Doubly Stochastic Differential Equations

Achref Bachouch , Emmanuel Gobet , Anis Matoussi
SIAM/ASA Journal on Uncertainty Quantification, 2016, 4 (1), pp.358-379. ⟨10.1137/15M1022094⟩
Journal articles hal-01152886v1
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Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

Emmanuel Gobet , Jose Lopez-Salas , Plamen Turkedjiev , C. Vázquez
SIAM Journal on Scientific Computing, 2016, 38 (6), pp.C652-C677. ⟨10.1137/16M106371X⟩
Journal articles hal-01186000v1
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Analytical approximations of BSDEs with non-smooth driver

Emmanuel Gobet , Stefano Pagliarani
SIAM Journal on Financial Mathematics, 2015, 6 (1), pp.919-958. ⟨10.1137/14100021X⟩
Journal articles hal-01003913v1
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Rare event simulation using reversible shaking transformations

Emmanuel Gobet , Gang Liu
SIAM Journal on Scientific Computing, 2015, 37 (5), pp.A2295-A2316. ⟨10.1137/14098418X⟩
Journal articles hal-01058748v1
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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

Emmanuel Gobet , Plamen Turkedjiev
Mathematics of Computation, 2015, 85 (299), pp.1359-1391. ⟨10.1090/mcom/3013⟩
Journal articles hal-00642685v4
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Almost sure optimal hedging strategy

Emmanuel Gobet , Nicolas Landon
The Annals of Applied Probability, 2014, 24 (4), pp.1652--1690
Journal articles hal-00657153v2
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Optimization of joint p-variations of Brownian semimartingales

Emmanuel Gobet , Nicolas Landon
Electronic Communications in Probability, 2014, 19 (none), ⟨10.1214/ECP.v19-2975⟩
Journal articles hal-00853590v2
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Weak approximation of averaged diffusion processes

Emmanuel Gobet , Mohammed Miri
Stochastic Processes and their Applications, 2014, 124, pp.475--504
Journal articles hal-00618470v1
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Stochastic Approximation Finite Element method: analytical formulas for multidimensional diffusion process

Romain Bompis , Emmanuel Gobet
SIAM Journal on Numerical Analysis, 2014, 52 (6), pp.3140-3164. ⟨10.1137/130928431⟩
Journal articles hal-00842608v1
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Preliminary control variates to improve empirical regression methods

Tarik Benzineb , Emmanuel Gobet
Monte Carlo Methods and Applications, 2013, 19 (4), pp.331--354
Journal articles hal-00802394v1
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Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition

Christel Geiss , Stefan Geiss , Emmanuel Gobet
Stochastic Processes and their Applications, 2012, 122 (5), pp.2078--2116
Journal articles hal-00572496v1
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Stochastic expansion for the pricing of call options with discrete dividends

Pierre Etoré , Emmanuel Gobet
Applied Mathematical Finance, 2012, 19 (3), pp.233-264. ⟨10.1080/1350486X.2011.620397⟩
Journal articles hal-00507787v1
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Analytical formulas for local volatility model with stochastic rates

Eric Benhamou , Emmanuel Gobet , Mohammed Miri
Quantitative Finance, 2012, 12 (2), pp.185-198. ⟨10.1080/14697688.2010.523011⟩
Journal articles hal-00425392v1
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The tracking error rate of the Delta-Gamma hedging strategy

Emmanuel Gobet , Azmi Makhlouf
Mathematical Finance, 2012, 22 (2), pp.277-309. ⟨10.1111/j.1467-9965.2010.00466.x⟩
Journal articles hal-00401182v1
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Stopped diffusion processes: boundary corrections and overshoot

Emmanuel Gobet , Stéphane Menozzi
Stochastic Processes and their Applications, 2010, 120 (2), pp.130-162. ⟨10.1016/j.spa.2009.09.014⟩
Journal articles hal-00157975v3
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Expansion formulas for European options in a local volatility model

Eric Benhamou , Emmanuel Gobet , Mohammed Miri
International Journal of Theoretical and Applied Finance, 2010, 13 (4), pp.603-634. ⟨10.1142/S0219024910005887⟩
Journal articles hal-00325939v1
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L2-time regularity of BSDEs with irregular terminal functions

Emmanuel Gobet , Azmi Makhlouf
Stochastic Processes and their Applications, 2010, 120 (7), pp.1105-1132. ⟨10.1016/j.spa.2010.03.003⟩
Journal articles hal-00291768v1
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Time dependent Heston model

Eric Benhamou , Emmanuel Gobet , Mohammed Miri
SIAM Journal on Financial Mathematics, 2010, 1 (1), pp.289-325. ⟨10.1137/090753814⟩
Journal articles hal-00370717v1
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Solving BSDE with adaptive control variate

Emmanuel Gobet , Céline Labart
SIAM Journal on Numerical Analysis, 2010, 48 (1), pp.257-277. ⟨10.1137/090755060⟩
Journal articles hal-00373350v1
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Smart expansion and fast calibration for jump diffusion

Eric Benhamou , Emmanuel Gobet , Mohammed Miri
Finance and Stochastics, 2009, 13 (4), pp.563-589. ⟨10.1007/s00780-009-0102-3⟩
Journal articles hal-00200395v2
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LAMN property for hidden processes: the case of integrated diffusions

Arnaud Gloter , Emmanuel Gobet
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2008, 44 (1), pp.104-128. ⟨10.1214/07-AIHP111⟩
Journal articles hal-00159317v1
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Sharp estimates for the convergence of the density of the Euler scheme in small time

Emmanuel Gobet , Celine Labart
Electronic Communications in Probability, 2008, 13, pp.352-363. ⟨10.1214/ECP.v13-1393⟩
Journal articles hal-00281365v1
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Error expansion for the discretization of Backward Stochastic Differential Equations

Emmanuel Gobet , Céline Labart
Stochastic Processes and their Applications, 2007, 117 (7), pp.803-829. ⟨10.1016/j.spa.2006.10.007⟩
Journal articles hal-00019463v1

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

Jean-Philippe Lemor , Emmanuel Gobet , Xavier Warin
Bernoulli, 2006, 12 (5), pp.889-916. ⟨10.3150/bj/1161614951⟩
Journal articles hal-00394976v1

Boundary sensitivities for diffusion processes in time dependent domains

Cristina Costantini , Emmanuel Gobet , Nicole El Karoui
Applied Mathematics and Optimization, 2006, 54 (2), pp.159-187. ⟨10.1007/s00245-006-0863-4⟩
Journal articles hal-00103259v1

Discretization and simulation of the Zakai equation

Emmanuel Gobet , Gilles Pagès , Huyên Pham , Jacques Printems
SIAM Journal on Numerical Analysis, 2006, 44 (6), pp.2505-2538. ⟨10.1137/050623140⟩
Journal articles hal-00394974v1
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Numerical methods for the pricing of Swing options: a stochastic control approach

Christophe Barrera-Esteve , Florent Bergeret , Charles H Dossal , Emmanuel Gobet , Asma Meziou
Methodology and Computing in Applied Probability, 2006, Methodology and Computing in Applied Probability, 8 (4), pp.517-540. ⟨10.1007/s11009-006-0427-8⟩
Journal articles inria-00117175v1

Sequential control variates for functionals of Markov processes

Emmanuel Gobet , Sylvain Maire
SIAM Journal on Numerical Analysis, 2006, 43 (3), pp.1256-1275. ⟨10.1137/040609124⟩
Journal articles hal-01479838v1
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Discretization and simulation for a class of SPDEs with applications to Zakai and McKean-Vlasov equations

Emmanuel Gobet , Gilles Pagès , Huyên Pham , Jacques Printems
SIAM Journal on Numerical Analysis, 2006, 44 (6), pp.2505-2538. ⟨10.1137/050623140⟩
Journal articles hal-00003917v3

Discretization and simulation for a class of SPDE's with applications to Zakai and McKean-Vlasov equations

Emmanuel Gobet , G. Pagès , H. Pham , J. Printems
SIAM Journal on Numerical Analysis, 2006, 44 (6), pp.2505-2538
Journal articles hal-00211911v1

A spectral Monte Carlo method for the Poisson equation

Emmanuel Gobet , Sylvain Maire
Monte Carlo Methods and Applications, 2004, 10 (3-4), pp.275-285
Journal articles hal-01479844v1

Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

Emmanuel Gobet , Stéphane Menozzi
Stochastic Processes and their Applications, 2004, 112 (2), pp.201-223
Journal articles hal-00102258v1
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On the simulation of extreme events with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
2024
Preprints, Working Papers, ... hal-04416809v1
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Learning out-of-sample Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
2023
Preprints, Working Papers, ... hal-04347859v3
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Thorough mathematical modelling and analysis of Uniswap v3

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
2023
Preprints, Working Papers, ... hal-04214315v2
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Improved convergence rate for Reflected BSDEs by penalization method

Emmanuel Gobet , Wanqing Wang
2023
Preprints, Working Papers, ... hal-04020304v2
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Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data

Michaël Allouche , Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
2023
Preprints, Working Papers, ... hal-04017151v1
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The Robust Randomized Quasi Monte Carlo method, applications to integrating singular functions

Emmanuel Gobet , Matthieu Lerasle , David Métivier
2023
Preprints, Working Papers, ... hal-03631879v3
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Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio

Linda Chamakh , Emmanuel Gobet , Jean-Philippe Lemor
2021
Preprints, Working Papers, ... hal-03207061v1
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Federated stochastic control of numerous heterogeneous energy storage systems

Emmanuel Gobet , Maxime Grangereau
2021
Preprints, Working Papers, ... hal-03108611v1
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Orlicz norms and concentration inequalities for β-heavy tailed random variables

Linda Chamakh , Emmanuel Gobet , Wenjun Liu
2021
Preprints, Working Papers, ... hal-03175697v3
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A power plant valuation under an asymmetric risk criterion taking into account maintenance costs

Clémence Alasseur , Emmanuel Gobet , Isaque Pimentel , Xavier Warin
2019
Preprints, Working Papers, ... hal-02077740v1
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Central limit theorem for discretization errors based on stopping time sampling

Emmanuel Gobet , Nicolas Landon , Uladzislau Stazhynski
2018
Preprints, Working Papers, ... hal-01879287v1
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Rare event simulation related to financial risks: efficient estimation and sensitivity analysis

Ankush Agarwal , Stefano de Marco , Emmanuel Gobet , Gang Liu
2017
Preprints, Working Papers, ... hal-01219616v2
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Perturbation of Ornstein-Uhlenbeck stationary distributions: expansion and simulation

Emmanuel Gobet , Qihao She
2016
Preprints, Working Papers, ... hal-01345926v1
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Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k

Emmanuel Gobet , Céline Labart
2009
Preprints, Working Papers, ... hal-00373349v1
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Arbitrage free cointegrated models in gas and oil future markets

Grégory Benmenzer , Emmanuel Gobet , Céline Jérusalem
2007
Preprints, Working Papers, ... hal-00200422v1
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Numerical simulation of BSDEs using empirical regression methods: theory and practice

Emmanuel Gobet , Jean-Philippe Lemor
2005
Preprints, Working Papers, ... hal-00291199v1

Structured dictionary learning of rating migration matrices for credit risk modeling

Michaël Allouche , Emmanuel Gobet , Clara Lage , Edwin Mangin
12th Conference in Actuarial Science & Finance on Samos, May 2024, Samos, Greece
Conference papers hal-04571969v1

Neural networks based learning applied to extreme statistics and sampling rare events

Michaël Allouche , Stéphane Girard , Emmanuel Gobet , Jean Pachebat
UQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste (Italy), Italy
Conference papers hal-04491904v1

Estimation of extreme risk measures with neural networks

Michaël Allouche , Emmanuel Gobet , Stéphane Girard
UQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste, Italy
Conference papers hal-04491919v1

Learning of extreme Expected Shortfall with neural networks. Application to cryptocurrency data

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
ICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands
Conference papers hal-04534639v1

Learning out-of-sample Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Stochastic Numerics and Statistical Learning: Theory and Applications Workshop 2024, KAUST, May 2024, Thuwal, Saudi Arabia
Conference papers hal-04571966v1

Simulation of multivariate extreme events with generative models

Jean Pachebat , Stéphane Girard , Emmanuel Gobet
ICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands
Conference papers hal-04534649v1

Quantitative modelling and analysis of the Automated Market Maker Uniswap

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
International Conference on Computational Finance, CWI, Apr 2024, Amsterdam, Netherlands
Conference papers hal-04507022v1

Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
Financial Risks International Forum, Mar 2024, Paris, France
Conference papers hal-04511393v1

Thorough mathematical modeling and analysis of Uniswap v3

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
Market Microstructure, Quantitative Trading, High Frequency, and Large Data, Stevanovich Center for Financial Mathematics, May 2024, Chicago, United States
Conference papers hal-04571968v1

Statistical Error Bounds for Weighted Mean and Median, with Application to Robust Aggregation of Cryptocurrency Data

Michaël Allouche , Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
Workshop "Stochastics around Finance", Aug 2023, Kanazawa, Japan
Conference papers hal-04506997v1

Generative modeling of extremes with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
2023 - Accelerating Generative Models and Nonconvex Optimisation Workshop, The Alan Turing Institute, Mar 2023, London, United Kingdom
Conference papers hal-04057231v1

On the estimation of extreme quantiles with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Journée "Evénements extrêmes et risques", réseau RESSTE (Risques, Extrêmes et Statistique Spatio-TEmporelle), Jun 2023, Marseille, France
Conference papers hal-04124085v1

Tutorial "Quantitative issues in Centralised and Decentralised Finance"

Emmanuel Gobet , Anastasia Melachrinos
2023 SIAM Financial Mathematics and Engineering, Jun 2023, Philadelphia, United States
Conference papers hal-04507000v1

Structured dictionary learning of rating migration matrices for credit risk modeling

Michaël Allouche , Emmanuel Gobet , Clara Lage , Edwin Mangin
JAFEE-ISM International Symposium, Aug 2023, Tokyo, Japan
Conference papers hal-04506976v1

Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
Blockchain@X-OMI Workshop on Blockchain and Decentralized Finance, Sep 2023, Paris, France
Conference papers hal-04506995v1

Mean estimation for Randomized Quasi Monte Carlo method

Emmanuel Gobet , Matthieu Lerasle , David Métivier
Foundations of Computational Mathematics, Jun 2023, Paris, France
Conference papers hal-04507005v1

Estimation of extreme expected shortfall with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
CMStatistics 2023 - 16th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2023, Berlin, Germany
Conference papers hal-04350438v1

Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
EVA 2023 - 13th International Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications, Jun 2023, Milan, Italy
Conference papers hal-04170136v1

Generative modeling of extremes with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
SNSL 2023 - Workshop on Stochastic Numerics and Statistical Learning: Theory and Applications, KAUST, May 2023, KAUST, Saudi Arabia
Conference papers hal-04506774v1

Learning extreme expected shortfall with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
ICSDS 2023 - IMS International Conference on Statistics and Data Science, Dec 2023, Lisbon, Portugal
Conference papers hal-04350510v1

Walking forward and backward in Euler schemes and random number generators

Pierre Cohort , Emmanuel Gobet , Mohamed Mrad
Workshop "A Random Walk in the Land of Stochastic Analysis and Numerical Probability" (in the honour of Denis Talay), Sep 2023, Marseille, France
Conference papers hal-04507013v1

Decentralized Finance & Blockchain Technology

Emmanuel Gobet , Anastasia Melachrinos
SIAM Financial Mathematics and Engineering 2023, Jun 2023, Philadelphia, United States
Conference papers hal-04131680v1

Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Emmanuel Gobet , Clara Lage
10th International Congress on Industrial and Applied Mathematics, Aug 2023, Tokyo, Japan
Conference papers hal-04506972v1

Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
CMStatistics 2022 - 15th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2022, London, United Kingdom
Conference papers hal-03910645v1

Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice
Research in Options, FGV-IMPA, Aug 2022, Rio de Jaineiro, Brazil
Conference papers hal-04506993v1

Estimation of extreme quantiles with neural networks, application to extreme rainfalls

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
SOPHI.A Summit Conference, Nov 2022, Nice, France
Conference papers hal-04506763v1

Sensitivity Analysis Methodology for Extreme Financial Risks Using Splitting Methods based on Reversible Transformations

Emmanuel Gobet , Ankush Agarwal , Gang Liu , Stefano de Marco
SIAM Conference on Uncertainty Quantification, Apr 2022, Atlanta, United States
Conference papers hal-04507009v1

EV-GAN: Simulation of extreme events with ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
EcoSta 2022 - 5th International Conference on Econometrics and Statistics, Jun 2022, Kyoto, Japan
Conference papers hal-03689703v1

Newton method for stochastic control problems

Emmanuel Gobet , Maxime Grangereau
9th International Colloquium on BSDEs and Mean Field Systems, Jul 2022, Annecy, France
Conference papers hal-04506990v1

Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Emmanuel Gobet , Clara Lage
Research in Options, IMPA, Nov 2021, Rio de Jaineiro, Brazil
Conference papers hal-04506967v1

Decentralized Stochastic Control of Heterogeneous Energy Systems

Emmanuel Gobet , Maxime Grangereau
SIAM Conference on Financial Mathematics and Engineering, Jun 2021, Online, United States
Conference papers hal-04506980v1

Federated mean-field stochastic control with common noise of numerous heterogeneous energy storage systems

Emmanuel Gobet , Maxime Grangereau
13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Manheim, Germany
Conference papers hal-04506983v1

Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributions

Stéphane Girard , Emmanuel Gobet
CMStatistics 2021 - 14th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2021, London, United Kingdom
Conference papers hal-03501785v1

On the approximation of extreme quantiles with ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
EVA 2021 - 12th International Conference on Extreme Value Analysis, Jun 2021, Edinburgh / Virtual, United Kingdom
Conference papers hal-03301431v1

Generative model for fbm with deep ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Bernoulli-IMS 2021 - 10th World Congress in Probability and Statistics, Jul 2021, Seoul / Virtual, South Korea
Conference papers hal-03301609v1
Image document

Estimation of the tail-index and extreme quantiles from a mixture of heavy-tailed distributions

Stéphane Girard , Emmanuel Gobet
RESIM 2021 - 13th International Workshop on Rare-Event Simulation, May 2021, Paris / Virtual, France. pp.1
Conference papers hal-03235031v1
Image document

On the approximation of extreme quantiles with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
SFdS 2021 - 52èmes Journées de Statistique de la Société Française de Statistique, Jun 2021, Nice, France. pp.1-5
Conference papers hal-03268702v1

A quantitative approach to climate-related credit risk, using Shared Socioeconomic Pathways

Florian Bourgey , Emmanuel Gobet , Ying Jiao
Quant Minds, Dec 2021, Barcelona, Spain
Conference papers hal-04506781v1

Orlicz norm and concentration inequalities for beta-heavy tailed distributions

Linda Chamakh , Emmanuel Gobet , Wenjun Liu
Bernoulli-IMS 10th World Congress in Probability and Statistics, Jul 2021, Seoul, South Korea
Conference papers hal-04506745v1

Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model

Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino
12th International Conference on Extreme Value Analysis, Jul 2021, Edinburgh, United Kingdom
Conference papers hal-04506737v1

A generative model for fBm with deep ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
Workshop on Numerical Analysis of Stochastic Partial Differential Equations, Nov 2021, Marseille, France
Conference papers hal-04506759v1

A generative model for fBm with deep ReLU neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet
13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Mannheim (online), Germany
Conference papers hal-04506755v1

Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model

Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino
Bernoulli-IMS One World Symposium, Aug 2020, Seoul, South Korea
Conference papers hal-04506703v1

Regression Monte Carlo methods for HJB-type equations: which approximation space?

David Barrera , Emmanuel Gobet , Jose Lopez-Salas , Plamen Turkedjiev , Carlos Vasquez
ICODE workshop on numerical solution of HJB equations, Jan 2020, Paris, France
Conference papers hal-04506714v1

Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model

Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino
14th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, Aug 2020, Oxford (UK), United Kingdom
Conference papers hal-04506728v1

Weak approximations and VIX option prices expansions in rough forward variances models

Florian Bourgey , Emmanuel Gobet , Stefano de Marco
Research in Options, IMPA, Dec 2020, Rio de Jaineiro, Brazil
Conference papers hal-04506740v1

Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model

Cyril Bénézet , Emmanuel Gobet , Rodrigo Targino
INFORMS Annual Meeting, Nov 2020, Catonsville (virtual), United States
Conference papers hal-04506721v1

Uncertainty Quantification For Stochastic Approximation limits and applications to risk/performance metrics in finance

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski
12th International Conference on Monte Carlo Methods and Applications, Jul 2019, Sydney, Australia
Conference papers hal-04506646v1

Model-Uncertain Value-at-Risk, Expected Shortfall and Sharpe Ratio, Using Stochastic Approximation

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski
SIAM Conference on Fin. Math. & Eng, Jun 2019, Toronto, Canada
Conference papers hal-04506676v1

Tutorial on "Monte-Carlo methods for tail risks"

Emmanuel Gobet
SIAM Conference on Fin. Math. & Eng., Jun 2019, Toronto, Canada
Conference papers hal-04506655v1

Central limit theorem for discretization errors based on general stopping time sampling

Emmanuel Gobet , Nicolas Landon , Uladzislau Stazhynski
12th International Conference on Monte Carlo Methods and Applications, Jul 2019, Sydney, Australia
Conference papers hal-04506650v1

Modeling and computing the adjustment of IM in pricing/hedging derivatives

Ankush Agarwal , Florian Bourgey , Emmanuel Gobet , Jose Lopez-Salas , Stefano de Marco
Quant Minds, May 2019, Vienna, Austria
Conference papers hal-04506696v1

Model-uncertain value-at-risk, expected shortfall and sharpe ratio, using Stochastic Approximation

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski
Workshop on Asset Pricing and Risk Management, IMS-NUS, Aug 2019, Singapore, Singapore
Conference papers hal-04506679v1

MCMC and nested extreme risks

Gersende Fort , Emmanuel Gobet , Éric Moulines
12th Int’l Workshop on Rare-Event Simulation, KTH Royal Institute of Technology, Aug 2018, Stockholm, France
Conference papers hal-04506609v1

MCMC and nested extreme risks

Gersende Fort , Emmanuel Gobet , Éric Moulines
SIAM UQ Conference, Apr 2018, Garden Grove, United States
Conference papers hal-04506630v1

Uncertainty Quantification of Stochastic Approximation Limits

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski
Workshop Optimization and Learning, IMT, Sep 2018, Toulouse, France
Conference papers hal-04506617v1

Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach

Jordi Badosa , Emmanuel Gobet , Maxime Grangereau , Daeyoung Kim
Conference "Statistics for Energy Markets", Jun 2018, Dourdan, France
Conference papers hal-04506579v1

Time dependent Heston model

Emmanuel Gobet
SMAI 2009 - 4e Biennale Française des Mathématiques Appliquées et Industrielles, May 2009, La Colle sur Loup, France
Conference papers hal-00781449v1

Smart Expansions and fast calibration methods for jump diffusion models

Emmanuel Gobet
International Conference on New Directions in Quantitative Finance, May 2008, Paris, France
Conference papers hal-00781444v1

Analytical pricing formulas for models with local volatilities and jumps

Emmanuel Gobet
Workshop on Numerics and Stochastics, Aug 2008, Helsinki, Finland
Conference papers hal-00781446v1

Closed pricing formula via weak approximation of financial models

Emmanuel Gobet
5th European Congress of Mathematics, Jul 2008, Amsterdam, Netherlands
Conference papers hal-00781445v1

Approximative closed formulas for models with local/stochastic volatility

Emmanuel Gobet
Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences, Nov 2008, Linz, Austria
Conference papers hal-00781448v1

Adaptive Monte Carlo scheme for the numerical approximation of BSDEs

Emmanuel Gobet
5th Colloquium on BDSEs and Finance, Jun 2008, Le Mans, France
Conference papers hal-00781442v1

A Sequential Monte-Carlo algorithm for solving BSDEs

Emmanuel Gobet , Céline Labart
ICIAM07 - 6th International Congress on Industrial Applied Mathematics, Jul 2007, Zurich, Switzerland. pp.1081801-1081802, ⟨10.1002/pamm.200700298⟩
Conference papers hal-00393602v1

A class of financial products and models where super-replication prices are explicit

Laurence Carassus , Emmanuel Gobet , Emmanuel Temam
6th Ritsumeikan International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan. pp.67-84, ⟨10.1142/9789812770448_0004⟩
Conference papers hal-00171582v1

A robust Monte Carlo approach for the simulation of generalized Backward Stochastic Differential Equations

Emmanuel Gobet
6th International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan
Conference papers hal-00104054v1

Mathematics and finance

Emmanuel Gobet , Gilles Pagès , Marc Yor
Financial Mathematics, Feb 2005, Paris, France. pp.63-76, ⟨10.1007/978-3-540-75265-3_7⟩
Conference papers hal-00388877v1
Image document

Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approach

Jordi Badosa , Emmanuel Gobet , Maxime Grangereau , Daeyoung Kim
Renewable Energy: Forecasting and Risk Management, 254, Springer International Publishing, pp.73-93, 2018, Springer Proceedings in Mathematics & Statistics, ⟨10.1007/978-3-319-99052-1_4⟩
Book sections hal-01625651v1
Image document

New approximations in local volatility models

Emmanuel Gobet , Ali Suleiman
Y. Kabanov and M. Rutkowski and T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.305--330, 2013
Book sections hal-00523369v1
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Asymptotic and non asymptotic approximations for option valuation

Romain Bompis , Emmanuel Gobet
Thomas Gerstner and Peter Kloeden. Computational finance, World scientific, pp.80, 2012
Book sections hal-00720650v1
Image document

Fractional smoothness and applications in Finance

Stefan Geiss , Emmanuel Gobet
Giulia Di Nunno and Bernt Øksendal. Advanced Mathematical Methods for Finance, Springer, pp.313-331, 2011, 978-3-642-18411-6. ⟨10.1007/978-3-642-18412-3_12⟩
Book sections hal-00474803v1
Image document

Advanced Monte Carlo methods for barrier and related exotic options

Emmanuel Gobet
Bensoussan A., Zhang Q. et Ciarlet P. Mathematical Modeling and Numerical Methods in Finance, Elsevier, pp.497-528, 2009, Handbook of Numerical Analysis, ⟨10.1016/S1570-8659(08)00012-4⟩
Book sections hal-00319947v1

Discrete sampling of functionals of Itô processes

Emmanuel Gobet , Stéphane Menozzi
Catherine Donati-Martin, Michel Emery, Alain Rouault, Christophe Stricker. Séminaire de probabilités XL, Springer, pp.355-374, 2007, Lecture Notes in Mathematics n°1899, ⟨10.1007/978-3-540-71189-6_19⟩
Book sections hal-00168857v1

蒙特卡罗方法与随机过程:从线性到非线性

Emmanuel Gobet
Higher Education Press. 2021, 978-7-04-055496-0
Books hal-04507075v1

Monte-Carlo Methods and Stochastic Processes

Emmanuel Gobet
Chapman and Hall/CRC. Chapman and Hall/CRC, 1, 2016, 9781315368757. ⟨10.1201/9781315368757⟩
Books hal-04507070v1

Méthodes de Monte-Carlo et processus stochastiques

Emmanuel Gobet
Les Éditions de l'École Polytechnique, pp.258, 2013, 978-2-7302-1616-6
Books hal-04507072v1

Les outils stochastiques des marchés financiers

Nicole El Karoui , Emmanuel Gobet
Les Éditions de l'École Polytechnique, pp.238, 2011, 978-2-7302-1579-4
Books hal-04507074v1
Image document

Contributions à la simulation et à l'analyse de discrétisation de processus, et applications.

Emmanuel Gobet
Mathématiques [math]. Université Paris-Diderot - Paris VII, 2003
Habilitation à diriger des recherches tel-00003841v1