Emmanuel Gobet
Publications
Publications
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On the simulation of extreme events with neural networksM. de Carvalho, R. Huser, P. Naveau, and B. J. Reich. Handbook on Statistics of Extremes, Chapman & Hall/CRC, In press |
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Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approachRenewable 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⟩ |
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New approximations in local volatility modelsY. Kabanov and M. Rutkowski and T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.305--330, 2013 |
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Asymptotic and non asymptotic approximations for option valuationThomas Gerstner and Peter Kloeden. Computational finance, World scientific, pp.80, 2012 |
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Fractional smoothness and applications in FinanceGiulia 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⟩ |
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Advanced Monte Carlo methods for barrier and related exotic optionsBensoussan 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⟩ |
Discrete sampling of functionals of Itô processesCatherine 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⟩ |
Estimation of extreme risk measures with neural networksSAMA 2025 - Journée SAMA, Apr 2025, Paris, France |
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Estimation of extreme quantile from heavy tailed distributions with neural networksICSDS 2025 - International Conference on Statistics and Data Science, IMS, Dec 2025, Séville, Spain |
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Estimation of extreme risk measures with neural networksJDS2025 - 56èmes Journées de Statistique de la SfdS, Jun 2025, Marseille, France. pp.1-6 |
Thorough mathematical modeling and analysis of Uniswap v3Market Microstructure, Quantitative Trading, High Frequency, and Large Data, Stevanovich Center for Financial Mathematics, May 2024, Chicago, United States |
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Quantitative modelling and analysis of the Automated Market Maker UniswapInternational Conference on Computational Finance, CWI, Apr 2024, Amsterdam, Netherlands |
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Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3Financial Risks International Forum, Mar 2024, Paris, France |
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Structured dictionary learning of rating migration matrices for credit risk modeling12th Conference in Actuarial Science & Finance on Samos, May 2024, Samos, Greece |
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Simulation of multivariate extreme events with generative modelsICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands |
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Learning of extreme Expected Shortfall with neural networks. Application to cryptocurrency dataICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands |
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Neural networks based learning applied to extreme statistics and sampling rare eventsUQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste, Italy |
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Estimation of extreme risk measures with neural networksUQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste, Italy |
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Learning out-of-sample Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency dataSNSL 2024 - Stochastic Numerics and Statistical Learning: Theory and Applications Workshop, KAUST, May 2024, Thuwal, Saudi Arabia |
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An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit PortfolioWorkshop "Climate Change and Insurance" – CCI 2024, Sep 2024, Vienne (AUT), Austria |
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Learning extreme Expected Shortfall and Conditional Tail Moments with neural networks. Application to cryptocurrency dataMathFinance 2024 - 24th MathFinance Conference, Sep 2024, Bingen am Rhein, Germany |
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On the simulation of extreme events with neural networksJDS2024 - 55èmes Journées de Statistique de la SfdS, May 2024, Bordeaux, France |
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Decentralized Finance & Blockchain TechnologySIAM Financial Mathematics and Engineering 2023, Jun 2023, Philadelphia, United States |
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Walking forward and backward in Euler schemes and random number generatorsWorkshop "A Random Walk in the Land of Stochastic Analysis and Numerical Probability" (in the honour of Denis Talay), Sep 2023, Marseille, France |
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Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation10th International Congress on Industrial and Applied Mathematics, Aug 2023, Tokyo, Japan |
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Mean estimation for Randomized Quasi Monte Carlo methodFoundations of Computational Mathematics, Jun 2023, Paris, France |
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Estimation of extreme expected shortfall with neural networksCMStatistics 2023 - 16th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2023, Berlin, Germany |
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Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3Blockchain@X-OMI Workshop on Blockchain and Decentralized Finance, Sep 2023, Paris, France |
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Generative modeling of extremes with neural networksSNSL 2023 - Workshop on Stochastic Numerics and Statistical Learning: Theory and Applications, KAUST, May 2023, KAUST, Saudi Arabia |
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Learning extreme expected shortfall with neural networksICSDS 2023 - IMS International Conference on Statistics and Data Science, Dec 2023, Lisbon, Portugal |
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Generative modeling of extremes with neural networks2023 - Accelerating Generative Models and Nonconvex Optimisation Workshop, The Alan Turing Institute, Mar 2023, London, United Kingdom |
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Structured dictionary learning of rating migration matrices for credit risk modelingJAFEE-ISM International Symposium, Aug 2023, Tokyo, Japan |
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Tutorial "Quantitative issues in Centralised and Decentralised Finance2023 SIAM Financial Mathematics and Engineering, Jun 2023, Philadelphia, United States |
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On the estimation of extreme quantiles with neural networksJournée "Evénements extrêmes et risques", réseau RESSTE (Risques, Extrêmes et Statistique Spatio-TEmporelle), Jun 2023, Marseille, France |
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Statistical Error Bounds for Weighted Mean and Median, with Application to Robust Aggregation of Cryptocurrency DataWorkshop "Stochastics around Finance", Aug 2023, Kanazawa, Japan |
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Estimation of extreme quantiles from heavy-tailed distributions with neural networksEVA 2023 - 13th International Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications, Jun 2023, Milan, Italy |
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EV-GAN: Simulation of extreme events with ReLU neural networksEcoSta 2022 - 5th International Conference on Econometrics and Statistics, Jun 2022, Kyoto, Japan |
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Newton method for stochastic control problems9th International Colloquium on BSDEs and Mean Field Systems, Jul 2022, Annecy, France |
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Estimation of extreme quantiles with neural networks, application to extreme rainfallsSOPHI.A Summit Conference, Nov 2022, Nice, France |
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Estimation of extreme quantiles from heavy-tailed distributions with neural networksCMStatistics 2022 - 15th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2022, London, United Kingdom |
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Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotesResearch in Options, FGV-IMPA, Aug 2022, Rio de Jaineiro, Brazil |
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Sensitivity Analysis Methodology for Extreme Financial Risks Using Splitting Methods based on Reversible TransformationsSIAM Conference on Uncertainty Quantification, Apr 2022, Atlanta, United States |
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Orlicz norm and concentration inequalities for beta-heavy tailed distributionsBernoulli-IMS 10th World Congress in Probability and Statistics, Jul 2021, Seoul, South Korea |
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Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model12th International Conference on Extreme Value Analysis, Jul 2021, Edinburgh, United Kingdom |
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A generative model for fBm with deep ReLU neural networksWorkshop on Numerical Analysis of Stochastic Partial Differential Equations, Nov 2021, Marseille, France |
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A generative model for fBm with deep ReLU neural networks13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Mannheim (online), Germany |
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On the approximation of extreme quantiles with ReLU neural networksEVA 2021 - 12th International Conference on Extreme Value Analysis, Jun 2021, Edinburgh / Virtual, United Kingdom |
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Generative model for fbm with deep ReLU neural networksBernoulli-IMS 2021 - 10th World Congress in Probability and Statistics, Jul 2021, Seoul / Virtual, South Korea |
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Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulationResearch in Options, IMPA, Nov 2021, Rio de Jaineiro, Brazil |
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Federated mean-field stochastic control with common noise of numerous heterogeneous energy storage systems13th International Conference on Monte Carlo Methods and Applications, Aug 2021, Manheim, Germany |
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Decentralized Stochastic Control of Heterogeneous Energy SystemsSIAM Conference on Financial Mathematics and Engineering, Jun 2021, Online, United States |
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Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributionsCMStatistics 2021 - 14th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2021, London, United Kingdom |
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A quantitative approach to climate-related credit risk, using Shared Socioeconomic PathwaysQuant Minds, Dec 2021, Barcelona, Spain |
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Estimation of the tail-index and extreme quantiles from a mixture of heavy-tailed distributionsRESIM 2021 - 13th International Workshop on Rare-Event Simulation, May 2021, Paris / Virtual, France. pp.1 |
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On the approximation of extreme quantiles with neural networksSFdS 2021 - 52èmes Journées de Statistique de la Société Française de Statistique, Jun 2021, Nice, France. pp.1-5 |
Sampling scheme for intractable copula function, application to the computation of tail events in factor copula modelINFORMS Annual Meeting, Nov 2020, Catonsville (virtual), United States |
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Weak approximations and VIX option prices expansions in rough forward variances modelsResearch in Options, IMPA, Dec 2020, Rio de Jaineiro, Brazil |
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Regression Monte Carlo methods for HJB-type equations: which approximation space?ICODE workshop on numerical solution of HJB equations, Jan 2020, Paris, France |
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Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model14th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, Aug 2020, Oxford (UK), United Kingdom |
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Sampling scheme for intractable copula function, application to the computation of tail events in factor copula modelBernoulli-IMS One World Symposium, Aug 2020, Seoul, South Korea |
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Modeling and computing the adjustment of IM in pricing/hedging derivativesQuant Minds, May 2019, Vienna, Austria |
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Model-uncertain value-at-risk, expected shortfall and sharpe ratio, using Stochastic ApproximationWorkshop on Asset Pricing and Risk Management, IMS-NUS, Aug 2019, Singapore, Singapore |
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Uncertainty Quantification For Stochastic Approximation limits and applications to risk/performance metrics in finance12th International Conference on Monte Carlo Methods and Applications, Jul 2019, Sydney, Australia |
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Quantification d'incertitude pour l'Approximation Stochastique27° Colloque sur le traitement du signal et des images, GRETSI, Aug 2019, Lille, France. pp.537-540 |
Model-Uncertain Value-at-Risk, Expected Shortfall and Sharpe Ratio, Using Stochastic ApproximationSIAM Conference on Fin. Math. & Eng, Jun 2019, Toronto, Canada |
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Central limit theorem for discretization errors based on general stopping time sampling12th International Conference on Monte Carlo Methods and Applications, Jul 2019, Sydney, Australia |
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Tutorial on "Monte-Carlo methods for tail risksSIAM Conference on Fin. Math. & Eng., Jun 2019, Toronto, Canada |
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Uncertainty Quantification of Stochastic Approximation LimitsWorkshop Optimization and Learning, IMT, Sep 2018, Toulouse, France |
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MCMC and nested extreme risks12th Int’l Workshop on Rare-Event Simulation, KTH Royal Institute of Technology, Aug 2018, Stockholm, France |
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Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approachConference "Statistics for Energy Markets", Jun 2018, Dourdan, France |
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MCMC and nested extreme risksSIAM UQ Conference, Apr 2018, Garden Grove, United States |
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Time dependent Heston modelSMAI 2009 - 4e Biennale Française des Mathématiques Appliquées et Industrielles, May 2009, La Colle sur Loup, France |
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Smart Expansions and fast calibration methods for jump diffusion modelsInternational Conference on New Directions in Quantitative Finance, May 2008, Paris, France |
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Adaptive Monte Carlo scheme for the numerical approximation of BSDEs5th Colloquium on BDSEs and Finance, Jun 2008, Le Mans, France |
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Approximative closed formulas for models with local/stochastic volatilityWorkshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences, Nov 2008, Linz, Austria |
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Mathematics and financeFinancial Mathematics, Feb 2005, Paris, France. pp.63-76, ⟨10.1007/978-3-540-75265-3_7⟩ |
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Closed pricing formula via weak approximation of financial models5th European Congress of Mathematics, Jul 2008, Amsterdam, Netherlands |
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Analytical pricing formulas for models with local volatilities and jumpsWorkshop on Numerics and Stochastics, Aug 2008, Helsinki, Finland |
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A Sequential Monte-Carlo algorithm for solving BSDEsICIAM07 - 6th International Congress on Industrial Applied Mathematics, Jul 2007, Zurich, Switzerland. pp.1081801-1081802, ⟨10.1002/pamm.200700298⟩ |
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A class of financial products and models where super-replication prices are explicit6th Ritsumeikan International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan. pp.67-84, ⟨10.1142/9789812770448_0004⟩ |
A robust Monte Carlo approach for the simulation of generalized Backward Stochastic Differential Equations6th International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan |
蒙特卡罗方法与随机过程:从线性到非线性Higher Education Press. 2021, 978-7-04-055496-0 |
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Monte-Carlo Methods and Stochastic ProcessesChapman and Hall/CRC. Chapman and Hall/CRC, 1, 2016, 9781315368757. ⟨10.1201/9781315368757⟩ |
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Méthodes de Monte-Carlo et processus stochastiquesLes Éditions de l'École Polytechnique, pp.258, 2013, 978-2-7302-1616-6 |
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Les outils stochastiques des marchés financiersLes Éditions de l'École Polytechnique, pp.238, 2011, 978-2-7302-1579-4 |
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Simulation of (nested/extreme) risks in finance: regression Monte-Carlo, MCMC, stochastic algorithmsDoctoral. France. 2018 |
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Introduction to stochastic calculus and to the resolution of PDEs using Monte Carlo simulations - Lectures notes of XV Spanish-French School on Numerical Simulation in Physics and EngineeringÉcole thématique. XV Spanish-French School on Numerical Simulation in Physics and Engineering, Torremolinos, Málaga (Spain), 2012, pp.68 |
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La paléontologieLa lettre de l'Académie des Sciences, 13, 2004, ⟨10.62686/21⟩ |
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Contributions à la simulation et à l'analyse de discrétisation de processus, et applications.Mathématiques [math]. Université Paris-Diderot - Paris VII, 2003 |