
Emmanuel Gobet
182
Documents
Publications
Publications
Estimation of extreme risk measures with neural networksJournées SAMA, Apr 2025, Paris, France
Communication dans un congrès
hal-05028848
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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
Communication dans un congrès
hal-04571969
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Simulation of multivariate extreme events with generative modelsICCF 2024 - International Conference on Computational Finance, Apr 2024, Amsterdam, Netherlands
Communication dans un congrès
hal-04534649
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Estimation of extreme risk measures with neural networksUQ 2024 - SIAM Conference on Uncertainty Quantification, Feb 2024, Trieste, Italy
Communication dans un congrès
hal-04491919
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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
Communication dans un congrès
hal-04534639
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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
Communication dans un congrès
hal-04571966
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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
Communication dans un congrès
hal-04491904
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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
Communication dans un congrès
hal-04691603
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On the simulation of extreme events with neural networksJDS2024 - 55èmes Journées de Statistique de la SfdS, May 2024, Bordeaux, France
Communication dans un congrès
hal-04600870
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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
Communication dans un congrès
hal-04691605
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Mathematical modelling and analysis of Impermanent Loss and Fees in Uniswap v3Financial Risks International Forum, Mar 2024, Paris, France
Communication dans un congrès
hal-04511393
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Quantitative modelling and analysis of the Automated Market Maker UniswapInternational Conference on Computational Finance, CWI, Apr 2024, Amsterdam, Netherlands
Communication dans un congrès
hal-04507022
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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
Communication dans un congrès
hal-04571968
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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
Communication dans un congrès
hal-04506972
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Mean estimation for Randomized Quasi Monte Carlo methodFoundations of Computational Mathematics, Jun 2023, Paris, France
Communication dans un congrès
hal-04507005
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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
Communication dans un congrès
hal-04350438
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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
Communication dans un congrès
hal-04506995
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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
Communication dans un congrès
hal-04506774
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Learning extreme expected shortfall with neural networksICSDS 2023 - IMS International Conference on Statistics and Data Science, Dec 2023, Lisbon, Portugal
Communication dans un congrès
hal-04350510
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Structured dictionary learning of rating migration matrices for credit risk modelingJAFEE-ISM International Symposium, Aug 2023, Tokyo, Japan
Communication dans un congrès
hal-04506976
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Tutorial "Quantitative issues in Centralised and Decentralised Finance2023 SIAM Financial Mathematics and Engineering, Jun 2023, Philadelphia, United States
Communication dans un congrès
hal-04507000
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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
Communication dans un congrès
hal-04506997
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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
Communication dans un congrès
hal-04057231
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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
Communication dans un congrès
hal-04124085
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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
Communication dans un congrès
hal-04170136
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Decentralized Finance & Blockchain TechnologySIAM Financial Mathematics and Engineering 2023, Jun 2023, Philadelphia, United States
Communication dans un congrès
hal-04131680
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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
Communication dans un congrès
hal-04507013
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Newton method for stochastic control problems9th International Colloquium on BSDEs and Mean Field Systems, Jul 2022, Annecy, France
Communication dans un congrès
hal-04506990
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Estimation of extreme quantiles with neural networks, application to extreme rainfallsSOPHI.A Summit Conference, Nov 2022, Nice, France
Communication dans un congrès
hal-04506763
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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
Communication dans un congrès
hal-03910645
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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
Communication dans un congrès
hal-04506993
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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
Communication dans un congrès
hal-04507009
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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
Communication dans un congrès
hal-03689703
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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
Communication dans un congrès
hal-04506755
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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
Communication dans un congrès
hal-03301431
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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
Communication dans un congrès
hal-03301609
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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
Communication dans un congrès
hal-03501785
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Decentralized Stochastic Control of Heterogeneous Energy SystemsSIAM Conference on Financial Mathematics and Engineering, Jun 2021, Online, United States
Communication dans un congrès
hal-04506980
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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
Communication dans un congrès
hal-04506983
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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
Communication dans un congrès
hal-04506967
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A quantitative approach to climate-related credit risk, using Shared Socioeconomic PathwaysQuant Minds, Dec 2021, Barcelona, Spain
Communication dans un congrès
hal-04506781
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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
Communication dans un congrès
hal-03268702
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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
Communication dans un congrès
hal-03235031
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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
Communication dans un congrès
hal-04506745
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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
Communication dans un congrès
hal-04506737
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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
Communication dans un congrès
hal-04506759
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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
Communication dans un congrès
hal-04506740
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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
Communication dans un congrès
hal-04506714
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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
Communication dans un congrès
hal-04506728
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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
Communication dans un congrès
hal-04506703
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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
Communication dans un congrès
hal-04506721
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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
Communication dans un congrès
hal-04506646
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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
Communication dans un congrès
hal-02415192
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Model-Uncertain Value-at-Risk, Expected Shortfall and Sharpe Ratio, Using Stochastic ApproximationSIAM Conference on Fin. Math. & Eng, Jun 2019, Toronto, Canada
Communication dans un congrès
hal-04506676
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Tutorial on "Monte-Carlo methods for tail risksSIAM Conference on Fin. Math. & Eng., Jun 2019, Toronto, Canada
Communication dans un congrès
hal-04506655
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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
Communication dans un congrès
hal-04506650
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Modeling and computing the adjustment of IM in pricing/hedging derivativesQuant Minds, May 2019, Vienna, Austria
Communication dans un congrès
hal-04506696
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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
Communication dans un congrès
hal-04506679
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Day-ahead probabilistic forecast of solar irradiance: a Stochastic Differential Equation approachConference "Statistics for Energy Markets", Jun 2018, Dourdan, France
Communication dans un congrès
hal-04506579
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Uncertainty Quantification of Stochastic Approximation LimitsWorkshop Optimization and Learning, IMT, Sep 2018, Toulouse, France
Communication dans un congrès
hal-04506617
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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
Communication dans un congrès
hal-04506609
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MCMC and nested extreme risksSIAM UQ Conference, Apr 2018, Garden Grove, United States
Communication dans un congrès
hal-04506630
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Time dependent Heston modelSMAI 2009 - 4e Biennale Française des Mathématiques Appliquées et Industrielles, May 2009, La Colle sur Loup, France
Communication dans un congrès
hal-00781449
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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
Communication dans un congrès
hal-00781444
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Adaptive Monte Carlo scheme for the numerical approximation of BSDEs5th Colloquium on BDSEs and Finance, Jun 2008, Le Mans, France
Communication dans un congrès
hal-00781442
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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
Communication dans un congrès
hal-00781448
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Mathematics and financeFinancial Mathematics, Feb 2005, Paris, France. pp.63-76, ⟨10.1007/978-3-540-75265-3_7⟩
Communication dans un congrès
istex
hal-00388877
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Closed pricing formula via weak approximation of financial models5th European Congress of Mathematics, Jul 2008, Amsterdam, Netherlands
Communication dans un congrès
hal-00781445
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Analytical pricing formulas for models with local volatilities and jumpsWorkshop on Numerics and Stochastics, Aug 2008, Helsinki, Finland
Communication dans un congrès
hal-00781446
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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⟩
Communication dans un congrès
hal-00393602
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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⟩
Communication dans un congrès
hal-00171582
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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
Communication dans un congrès
hal-00104054
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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
Ouvrages
hal-04507075
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Monte-Carlo Methods and Stochastic ProcessesChapman and Hall/CRC. Chapman and Hall/CRC, 1, 2016, 9781315368757. ⟨10.1201/9781315368757⟩
Ouvrages
hal-04507070
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Méthodes de Monte-Carlo et processus stochastiquesLes Éditions de l'École Polytechnique, pp.258, 2013, 978-2-7302-1616-6
Ouvrages
hal-04507072
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Les outils stochastiques des marchés financiersLes Éditions de l'École Polytechnique, pp.238, 2011, 978-2-7302-1579-4
Ouvrages
hal-04507074
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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⟩
Chapitre d'ouvrage
hal-01625651
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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
Chapitre d'ouvrage
hal-00523369
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Asymptotic and non asymptotic approximations for option valuationThomas Gerstner and Peter Kloeden. Computational finance, World scientific, pp.80, 2012
Chapitre d'ouvrage
hal-00720650
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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⟩
Chapitre d'ouvrage
hal-00474803
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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⟩
Chapitre d'ouvrage
hal-00319947
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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⟩
Chapitre d'ouvrage
istex
hal-00168857
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Simulation of (nested/extreme) risks in finance: regression Monte-Carlo, MCMC, stochastic algorithmsDoctoral. France. 2018
Cours
cel-01692008
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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
Cours
cel-00736268
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La paléontologieLa lettre de l'Académie des Sciences, 13, 2004, ⟨10.62686/21⟩
N°spécial de revue/special issue
hal-04863088
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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
HDR
tel-00003841
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