4
H index
2
i10 index
71
Citations
Nicolas Privault : Citation Profile
| RESEARCH PRODUCTION: 28 Articles 5 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1999 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Nicolas Privault. | Is cited by:
| Cites to:
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Main data
Where Nicolas Privault has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 4 |
Recent works citing Nicolas Privault (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus. (2025). Tahmasebi, Mahdieh ; Ahmadi, Ayub. In: Papers. RePEc:arx:papers:2405.00473. Full description at Econpapers || Download paper |
| 2025 | Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs. (2025). Wu, Sizhou ; Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2405.05192. Full description at Econpapers || Download paper |
| 2024 | Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus. (2024). Yagishita, Shotaro ; Otsuki, Yuta. In: Papers. RePEc:arx:papers:2411.05417. Full description at Econpapers || Download paper |
| 2024 | A class of processes defined in the white noise space through generalized fractional operators. (2024). Mishura, Yuliya ; Cristofaro, Lorenzo ; Beghin, Luisa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s030441492400200x. Full description at Econpapers || Download paper |
| 2024 | A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization. (2024). Suzuki, Ryoichi ; Sakuma, Noriyoshi ; Handa, Masahiro. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00453-6. Full description at Econpapers || Download paper |
| 2025 | Optimal Strategy of Mean-Field FBSDE Games with Delay and Noisy Memory Based on Malliavin Calculus. (2025). Xu, Biteng ; Wu, Jinbiao ; Ke, Ang. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:15:y:2025:i:3:d:10.1007_s13235-024-00588-1. Full description at Econpapers || Download paper |
| 2024 | Normal Approximation of Kabanov–Skorohod Integrals on Poisson Spaces. (2024). Schulte, M ; Molchanov, I ; Last, G. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:2:d:10.1007_s10959-023-01287-0. Full description at Econpapers || Download paper |
| 2025 | On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends. (2025). Babaei, Esmaeil. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:1:d:10.1007_s00186-024-00881-0. Full description at Econpapers || Download paper |
| 2024 | Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities. (2024). Gu, Xingchi ; Wei, Xiao. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:2:d:10.1007_s11009-024-10082-1. Full description at Econpapers || Download paper |
Works by Nicolas Privault:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | SURE shrinkage of Gaussian paths and signal identification In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Hedging in bond markets by the Clark-Ocone formula In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A q-binomial extension of the CRR asset pricing model In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2025 | Deep self-consistent learning of local volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
| 2004 | A Malliavin calculus approach to sensitivity analysis in insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2016 | Large deviations for Bernstein bridges In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2019 | Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2024 | Wasserstein distance estimates for jump-diffusion processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2017 | Conditional Stein approximation for Itô and Skorohod integrals In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Recursive computation of the Hawkes cumulants In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 1999 | Multiple stochastic integral expansions of arbitrary Poisson jump times functionals In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2001 | Extended covariance identities and inequalities In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2008 | Isoperimetric and related bounds on configuration spaces In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2015 | Supermodular ordering of Poisson arrays In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2009 | Sensitivity analysis and density estimation for finite-time ruin probabilities In: Post-Print. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Pricing CIR Yield Options by Conditional Moment Matching In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 2 |
| Stratified approximations for the pricing of options on average In: Journal of Computational Finance. [Full Text][Citation analysis] | article | 0 | |
| 2000 | White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance In: Finance and Stochastics. [Full Text][Citation analysis] | article | 28 |
| 2004 | Computations of Greeks in a market with jumps via the Malliavin calculus In: Finance and Stochastics. [Full Text][Citation analysis] | article | 14 |
| 2015 | Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals In: Journal of Theoretical Probability. [Full Text][Citation analysis] | article | 0 |
| 2019 | Third Cumulant Stein Approximation for Poisson Stochastic Integrals In: Journal of Theoretical Probability. [Full Text][Citation analysis] | article | 1 |
| 2024 | Normal Approximation of Compound Hawkes Functionals In: Journal of Theoretical Probability. [Full Text][Citation analysis] | article | 0 |
| 2013 | Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 1 |
| 2018 | A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 6 |
| 2021 | Computation of Coverage Probabilities in a Spherical Germ-Grain Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 0 |
| 2024 | Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 0 |
| 2023 | A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations In: Partial Differential Equations and Applications. [Full Text][Citation analysis] | article | 1 |
| 2009 | Stein estimation of Poisson process intensities In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 1 |
| 2016 | Analytic bond pricing for short rate dynamics evolving on matrix Lie groups In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2009 | Numerical computation of Theta in a jump-diffusion model by integration by parts In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2008 | BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2017 | SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team