Emmanuel Gobet

187
Documents

Publications

Publications

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On the simulation of extreme events with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet

M. de Carvalho, R. Huser, P. Naveau, and B. J. Reich. Handbook on Statistics of Extremes, Chapman & Hall/CRC, In press

Chapitre d'ouvrage hal-04416809v2
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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⟩

Chapitre d'ouvrage hal-01625651v1
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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

Chapitre d'ouvrage 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

Chapitre d'ouvrage hal-00720650v1
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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⟩

Chapitre d'ouvrage hal-00474803v1
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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⟩

Chapitre d'ouvrage 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⟩

Chapitre d'ouvrage istex hal-00168857v1
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Modeling the risks within the protocol Aave, with an application to portfolio allocation

Emmanuel Gobet , Louis Latournerie

2026

Pré-publication, Document de travail hal-05544344v1
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Wilks confidence regions for empirical weighted quantiles

Michaël Allouche , Emmanuel Gobet

2025

Pré-publication, Document de travail hal-05391451v2
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Meta-modelling paths of simple climate models using Neural Networks and Dirichlet polynomials: An application to DICE

Emmanuel Gobet , Yushan Liu , Gauthier Vermandel

2025

Pré-publication, Document de travail hal-04990321v3
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Optimal exit from Uniswap v3 and best expected return for a liquidity provider

Ankush Agarwal , Emmanuel Gobet

2025

Pré-publication, Document de travail hal-05231633v2
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Optimal business model adaptation plan for a company under a transition scenario

Elisa Ndiaye , Antoine Bezat , Emmanuel Gobet , Céline Guivarch , Ying Jiao

2025

Pré-publication, Document de travail hal-04682824v2
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Accelerated Convergence of Error Quantiles using Robust Randomized Quasi Monte Carlo Methods

Emmanuel Gobet , Matthieu Lerasle , David Métivier

2024

Pré-publication, Document de travail hal-03631879v4
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Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas

Emmanuel Gobet , Adrien Richou , Lukasz Szpruch

2024

Pré-publication, Document de travail hal-04644887v2
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An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio

Florian Bourgey , Emmanuel Gobet , Ying Jiao

2024

Pré-publication, Document de travail hal-04665712v3
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Uniswap v3: impermanent loss modeling and swap fees asymptotic analysis

Mnacho Echenim , Emmanuel Gobet , Anne-Claire Maurice

2025

Pré-publication, Document de travail hal-04214315v4
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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

2024

Pré-publication, Document de travail hal-04017151v2
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Improved convergence rate for Reflected BSDEs by penalization method

Emmanuel Gobet , Wanqing Wang

2023

Pré-publication, Document de travail hal-04020304v2
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Federated stochastic control of numerous heterogeneous energy storage systems

Emmanuel Gobet , Maxime Grangereau

2021

Pré-publication, Document de travail hal-03108611v1
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Orlicz norms and concentration inequalities for β-heavy tailed random variables

Linda Chamakh , Emmanuel Gobet , Wenjun Liu

2021

Pré-publication, Document de travail hal-03175697v3
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Asymptotic analysis of different covariance matrices estimation for minimum variance portfolio

Linda Chamakh , Emmanuel Gobet , Jean-Philippe Lemor

2021

Pré-publication, Document de travail hal-03207061v1
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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

Pré-publication, Document de travail hal-02077740v1
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Central limit theorem for discretization errors based on stopping time sampling

Emmanuel Gobet , Nicolas Landon , Uladzislau Stazhynski

2018

Pré-publication, Document de travail 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

Pré-publication, Document de travail hal-01219616v2
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Perturbation of Ornstein-Uhlenbeck stationary distributions: expansion and simulation

Emmanuel Gobet , Qihao She

2016

Pré-publication, Document de travail 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

Pré-publication, Document de travail hal-00373349v1
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Arbitrage free cointegrated models in gas and oil future markets

Grégory Benmenzer , Emmanuel Gobet , Céline Jérusalem

2007

Pré-publication, Document de travail hal-00200422v1
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Numerical simulation of BSDEs using empirical regression methods: theory and practice

Emmanuel Gobet , Jean-Philippe Lemor

2005

Pré-publication, Document de travail hal-00291199v1

Estimation of extreme risk measures with neural networks

Michaël Allouche , Emmanuel Gobet , Stéphane Girard

SAMA 2025 - Journée SAMA, Apr 2025, Paris, France

Communication dans un congrès hal-05028848v1

Estimation of extreme quantile from heavy tailed distributions with neural networks

Stéphane Girard , Michaël Allouche , Emmanuel Gobet

ICSDS 2025 - International Conference on Statistics and Data Science, IMS, Dec 2025, Séville, Spain

Communication dans un congrès hal-05428762v1
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Estimation of extreme risk measures with neural networks

Stéphane Girard , Michaël Allouche , Emmanuel Gobet

JDS2025 - 56èmes Journées de Statistique de la SfdS, Jun 2025, Marseille, France. pp.1-6

Communication dans un congrès hal-05101894v1

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

Communication dans un congrès hal-04571968v1

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

Communication dans un congrès 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

Communication dans un congrès hal-04511393v1

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

Communication dans un congrès hal-04571969v1

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

Communication dans un congrès hal-04534649v1

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

Communication dans un congrès hal-04534639v1

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

Communication dans un congrès 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

Communication dans un congrès hal-04491919v1

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

Michaël Allouche , Stéphane Girard , Emmanuel Gobet

SNSL 2024 - Stochastic Numerics and Statistical Learning: Theory and Applications Workshop, KAUST, May 2024, Thuwal, Saudi Arabia

Communication dans un congrès hal-04571966v1

An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio

Florian Bourgey , Emmanuel Gobet , Ying Jiao

Workshop "Climate Change and Insurance" – CCI 2024, Sep 2024, Vienne (AUT), Austria

Communication dans un congrès hal-04691603v1

Learning extreme Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data

Michaël Allouche , Stéphane Girard , Emmanuel Gobet

MathFinance 2024 - 24th MathFinance Conference, Sep 2024, Bingen am Rhein, Germany

Communication dans un congrès hal-04691605v1

On the simulation of extreme events with neural networks

Stéphane Girard , Michaël Allouche , Emmanuel Gobet

JDS2024 - 55èmes Journées de Statistique de la SfdS, May 2024, Bordeaux, France

Communication dans un congrès hal-04600870v1

Decentralized Finance & Blockchain Technology

Emmanuel Gobet , Anastasia Melachrinos

SIAM Financial Mathematics and Engineering 2023, Jun 2023, Philadelphia, United States

Communication dans un congrès hal-04131680v1

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

Communication dans un congrès hal-04507013v1

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

Communication dans un congrès hal-04506972v1

Mean estimation for Randomized Quasi Monte Carlo method

Emmanuel Gobet , Matthieu Lerasle , David Métivier

Foundations of Computational Mathematics, Jun 2023, Paris, France

Communication dans un congrès 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

Communication dans un congrès hal-04350438v1

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

Communication dans un congrès hal-04506995v1

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

Communication dans un congrès 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

Communication dans un congrès hal-04350510v1

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

Communication dans un congrès hal-04057231v1

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

Communication dans un congrès hal-04506976v1

Tutorial "Quantitative issues in Centralised and Decentralised Finance

Emmanuel Gobet , Anastasia Melachrinos

2023 SIAM Financial Mathematics and Engineering, Jun 2023, Philadelphia, United States

Communication dans un congrès hal-04507000v1

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

Communication dans un congrès hal-04124085v1

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

Communication dans un congrès hal-04506997v1

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

Communication dans un congrès hal-04170136v1

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

Communication dans un congrès 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

Communication dans un congrès hal-04506990v1

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

Communication dans un congrès hal-04506763v1

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

Communication dans un congrès 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

Communication dans un congrès hal-04506993v1

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

Communication dans un congrès hal-04507009v1

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

Communication dans un congrès 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

Communication dans un congrès 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

Communication dans un congrès 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

Communication dans un congrès hal-04506755v1

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

Communication dans un congrès 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

Communication dans un congrès hal-03301609v1

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

Communication dans un congrès hal-04506967v1

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

Communication dans un congrès hal-04506983v1

Decentralized Stochastic Control of Heterogeneous Energy Systems

Emmanuel Gobet , Maxime Grangereau

SIAM Conference on Financial Mathematics and Engineering, Jun 2021, Online, United States

Communication dans un congrès hal-04506980v1

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

Communication dans un congrès hal-03501785v1

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

Florian Bourgey , Emmanuel Gobet , Ying Jiao

Quant Minds, Dec 2021, Barcelona, Spain

Communication dans un congrès hal-04506781v1
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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

Communication dans un congrès hal-03235031v1
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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

Communication dans un congrès hal-03268702v1

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

Communication dans un congrès hal-04506721v1

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

Communication dans un congrès hal-04506740v1

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

David Barrera , Emmanuel Gobet , Jose Lopez-Salas , Plamen Turkedjiev , Carlos Vasquez et al.

ICODE workshop on numerical solution of HJB equations, Jan 2020, Paris, France

Communication dans un congrès 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

Communication dans un congrès hal-04506728v1

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

Communication dans un congrès hal-04506703v1

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

Ankush Agarwal , Florian Bourgey , Emmanuel Gobet , Jose Lopez-Salas , Stefano de Marco et al.

Quant Minds, May 2019, Vienna, Austria

Communication dans un congrès 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

Communication dans un congrès hal-04506679v1

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

Communication dans un congrès hal-04506646v1
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Quantification d'incertitude pour l'Approximation Stochastique

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski

27° Colloque sur le traitement du signal et des images, GRETSI, Aug 2019, Lille, France. pp.537-540

Communication dans un congrès hal-02415192v1

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

Communication dans un congrès hal-04506676v1

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

Communication dans un congrès hal-04506650v1

Tutorial on "Monte-Carlo methods for tail risks

Emmanuel Gobet

SIAM Conference on Fin. Math. & Eng., Jun 2019, Toronto, Canada

Communication dans un congrès hal-04506655v1

Uncertainty Quantification of Stochastic Approximation Limits

Stéphane Crépey , Gersende Fort , Emmanuel Gobet , Uladzislau Stazhynski

Workshop Optimization and Learning, IMT, Sep 2018, Toulouse, France

Communication dans un congrès hal-04506617v1

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

Communication dans un congrès hal-04506609v1

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

Communication dans un congrès hal-04506579v1

MCMC and nested extreme risks

Gersende Fort , Emmanuel Gobet , Éric Moulines

SIAM UQ Conference, Apr 2018, Garden Grove, United States

Communication dans un congrès hal-04506630v1

Time dependent Heston model

Emmanuel Gobet

SMAI 2009 - 4e Biennale Française des Mathématiques Appliquées et Industrielles, May 2009, La Colle sur Loup, France

Communication dans un congrès 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

Communication dans un congrès hal-00781444v1

Adaptive Monte Carlo scheme for the numerical approximation of BSDEs

Emmanuel Gobet

5th Colloquium on BDSEs and Finance, Jun 2008, Le Mans, France

Communication dans un congrès hal-00781442v1

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

Communication dans un congrès hal-00781448v1

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⟩

Communication dans un congrès istex hal-00388877v1

Closed pricing formula via weak approximation of financial models

Emmanuel Gobet

5th European Congress of Mathematics, Jul 2008, Amsterdam, Netherlands

Communication dans un congrès hal-00781445v1

Analytical pricing formulas for models with local volatilities and jumps

Emmanuel Gobet

Workshop on Numerics and Stochastics, Aug 2008, Helsinki, Finland

Communication dans un congrès hal-00781446v1

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⟩

Communication dans un congrès hal-00393602v1
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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⟩

Communication dans un congrès 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

Communication dans un congrès hal-00104054v1
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Learning extreme Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency data

Michaël Allouche , Stéphane Girard , Emmanuel Gobet

Neural Networks, 2025, 182, pp.106903. ⟨10.1016/j.neunet.2024.106903⟩

Article dans une revue hal-04347859v5
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ExceedGAN: Simulation above extreme thresholds using Generative Adversarial Networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet

Extremes, In press

Article dans une revue hal-05044516v3
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HTGAN: Heavy-Tail GAN for Multivariate Dependent Extremes via Latent-Dimensional Control

Stéphane Girard , Emmanuel Gobet , Jean Pachebat

International Journal of Computer Mathematics, 2025, pp.1-41. ⟨10.1080/00207160.2025.2578391⟩

Article dans une revue hal-04700084v3
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Interpretable seasonal multisite hidden Markov model for stochastic rain generation in France

Emmanuel Gobet , David Métivier , Sylvie Parey

Advances in Statistical Climatology, Meteorology and Oceanography, 2024, 11 (2), pp.159-201. ⟨10.5194/ascmo-11-159-2025⟩

Article dans une revue hal-04621349v3
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Estimation of extreme quantiles from heavy-tailed distributions with neural networks

Michaël Allouche , Stéphane Girard , Emmanuel Gobet

Statistics and Computing, 2024, 34 (12), pp.1-35. ⟨10.1007/s11222-023-10331-2⟩

Article dans une revue hal-03751980v1
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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⟩

Article dans une revue hal-03715954v2
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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⟩

Article dans une revue 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⟩

Article dans une revue hal-03423114v2

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⟩

Article dans une revue hal-04507054v1
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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⟩

Article dans une revue 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⟩

Article dans une revue hal-02181227v2
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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⟩

Article dans une revue hal-03458299v2
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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⟩

Article dans une revue hal-03237854v4
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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⟩

Article dans une revue hal-03199734v1
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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

Article dans une revue hal-03250663v3
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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⟩

Article dans une revue 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⟩

Article dans une revue hal-01879286v1
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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⟩

Article dans une revue hal-02430430v1
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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

Article dans une revue hal-02418576v2
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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⟩

Article dans une revue hal-01761234v1
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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, 2020, 8 (3), pp.1061-1089. ⟨10.1137/18M1178517⟩

Article dans une revue hal-01629952v4
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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⟩

Article dans une revue 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 et al.

ESAIM: Proceedings and Surveys, 2019, 65, pp.1-26. ⟨10.1051/proc/201965001⟩

Article dans une revue hal-01686952v3
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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⟩

Article dans une revue hal-01832195v2
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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⟩

Article dans une revue hal-01904457v1
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Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations

David Barrera , Stéphane Crépey , Babacar Diallo , Gersende Fort , Emmanuel Gobet et al.

ESAIM: Proceedings and Surveys, 2019, 65, pp.182-218. ⟨10.1051/proc/201965182⟩

Article dans une revue hal-01710394v1
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Convergence rate of strong approximations of compound random maps

Emmanuel Gobet , Mohamed Mrad

Discrete & Continuous Dynamical Systems- Series-B, 2018

Article dans une revue hal-01141320v2

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⟩

Article dans une revue hal-04507055v1
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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⟩

Article dans une revue hal-01249625v1
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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⟩

Article dans une revue hal-01395840v1
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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⟩

Article dans une revue hal-00839650v2
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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⟩

Article dans une revue hal-01291056v1
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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⟩

Article dans une revue hal-01241190v2
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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⟩

Article dans une revue hal-00844887v2
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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

Article dans une revue hal-01394833v1

Thematic cycle on Monte-Carlo Techniques

Bruno Bouchard , Emmanuel Gobet , Benjamin Jourdain

ESAIM: Proceedings and Surveys, 2017, 59, ⟨10.1051/proc/201759000⟩

Article dans une revue hal-02101096v1
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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⟩

Article dans une revue 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

Article dans une revue hal-01711748v1
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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⟩

Article dans une revue hal-01271994v1
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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⟩

Article dans une revue hal-00855760v2
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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⟩

Article dans une revue hal-01186000v1
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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⟩

Article dans une revue hal-01152886v1
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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⟩

Article dans une revue hal-00642685v4
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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⟩

Article dans une revue hal-01058748v1
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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⟩

Article dans une revue hal-01003913v1
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Weak approximation of averaged diffusion processes

Emmanuel Gobet , Mohammed Miri

Stochastic Processes and their Applications, 2014, 124, pp.475--504

Article dans une revue 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⟩

Article dans une revue hal-00842608v1
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Almost sure optimal hedging strategy

Emmanuel Gobet , Nicolas Landon

The Annals of Applied Probability, 2014, 24 (4), pp.1652--1690

Article dans une revue 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⟩

Article dans une revue hal-00853590v2
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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

Article dans une revue 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

Article dans une revue hal-00572496v1
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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⟩

Article dans une revue 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⟩

Article dans une revue hal-00401182v1
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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⟩

Article dans une revue hal-00507787v1
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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⟩

Article dans une revue hal-00370717v1
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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⟩

Article dans une revue hal-00157975v3
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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⟩

Article dans une revue hal-00373350v1
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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⟩

Article dans une revue hal-00291768v1
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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⟩

Article dans une revue hal-00325939v1
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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⟩

Article dans une revue hal-00200395v2
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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⟩

Article dans une revue hal-00281365v1
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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⟩

Article dans une revue hal-00159317v1
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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⟩

Article dans une revue hal-00019463v1
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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⟩

Article dans une revue 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

Article dans une revue hal-00211911v1

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⟩

Article dans une revue hal-01479838v1

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⟩

Article dans une revue 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 et al.

Methodology and Computing in Applied Probability, 2006, Methodology and Computing in Applied Probability, 8 (4), pp.517-540. ⟨10.1007/s11009-006-0427-8⟩

Article dans une revue inria-00117175v1

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⟩

Article dans une revue istex hal-00103259v1

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⟩

Article dans une revue hal-00394976v1

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

Article dans une revue hal-00102258v1

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

Article dans une revue hal-01479844v1

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

Ouvrages hal-04507075v1

Monte-Carlo Methods and Stochastic Processes

Emmanuel Gobet

Chapman and Hall/CRC. Chapman and Hall/CRC, 1, 2016, 9781315368757. ⟨10.1201/9781315368757⟩

Ouvrages 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

Ouvrages 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

Ouvrages hal-04507074v1
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La paléontologie

Nicole Le Douarin , Henry de Lumley , Yves Coppens , Michel Brunet , Brigitte Senut et al.

La lettre de l'Académie des Sciences, 13, 2004, ⟨10.62686/21⟩

N°spécial de revue/special issue hal-04863088v1