Etienne Tanré
42
Documents
Publications
Optimal portfolio allocation under transaction costs31st conference on Stochastic Processes and Their Applications, Jul 2006, Paris, France
Conference papers
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Technical analysis compared to mathematical models under misspecificationAMAMEF conference Numerical Methods in Finance, Feb 2006, rocquencourt, France
Conference papers
hal-00274883v1
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Technical Analysis Techniques versus Mathematical Models: Boundaries of Their Validity DomainsMonte Carlo and Quasi-Monte Carlo Methods, 2004, Juan les Pins, France
Conference papers
hal-01692322v1
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A simple spiking neuron model based on stochastic STDPInternational Conference on Mathematical Neuroscience, May 2017, Boulder, United States
Conference poster
hal-01652036v1
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Stochastic spectral formulations for elliptic problemsL' Ecuyer, Pierre (ed.) and Owen, Art B. (ed.). Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6--11, 2008., Berlin: Springer, pp.513--528, 2009, ⟨10.1007/978-3-642-04107-5_33⟩
Book sections
inria-00340708v1
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Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, ⟨10.1515/9783110213140.53⟩
Book sections
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Electricity Prices in a Game Theory ContextAlain Haurie, Georges Zaccour. Dynamic Games ; Theory and Applications, Springer, p. 135-159 - ISBN 978-0-387-24601-7, 2005, GERAD 25th anniversary series ; 10, ⟨10.1007/0-387-24602-9_7⟩
Book sections
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Exact simulation of prices and greeks: application to CIR2008
Other publications
inria-00319139v2
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Regularisation by fractional noise for one-dimensional differential equations with nonnegative distributional drift2021
Preprints, Working Papers, ...
hal-03479702v1
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Asymptotic behaviour of a network of neurons with random linear interactions2020
Preprints, Working Papers, ...
hal-01986927v2
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The mean-field limit of a network of Hopfield neurons with correlated synaptic weights2019
Preprints, Working Papers, ...
hal-02000172v1
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An unbiased Monte Carlo estimator for derivatives. Application to CIR2017
Preprints, Working Papers, ...
hal-01371448v3
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First hitting times for general non-homogeneous 1d diffusion processes: density estimates in small time2013
Preprints, Working Papers, ...
hal-00870991v1
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Mathematical model for resistance and optimal strategy2008
Preprints, Working Papers, ...
hal-00343924v2
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Liquidité pour les dérivés de taux[Contrat] 2012, pp.46
Reports
hal-00940855v1
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Méthodes de réduction de variance originales et de simulation exacte de prix et de grecques en finance[Contrat] 2009
Reports
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The Statistics Of Spikes Trains For Some Simple Types Of Neuron Models[Research Report] RR-5950, INRIA. 2007, pp.15
Reports
inria-00084905v4
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Using game theory for the electricity market[Research Report] RR-5274, INRIA. 2006
Reports
inria-00071255v1
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Etude probabiliste des équations de Smoluchowski ; Schéma d'Euler pour des fonctionnelles ; Amplitude du mouvement brownien avec dériveMathématiques générales [math.GM]. Université Henri Poincaré - Nancy 1, 2001. Français. ⟨NNT : 2001NAN10178⟩
Theses
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