4
H index
2
i10 index
66
Citations
Nicolas Privault : Citation Profile
| RESEARCH PRODUCTION: 24 Articles 5 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1999 - 2023). 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2306.09084. Full description at Econpapers || Download paper |
| 2024 | Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus. (2024). Tahmasebi, Mahdieh ; Ahmadi, Ayub. In: Papers. RePEc:arx:papers:2405.00473. Full description at Econpapers || Download paper |
| 2024 | Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs with infinite activity. (2024). Wu, Sizhou ; Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2405.05192. Full description at Econpapers || Download paper |
| 2023 | How to purchase carbon emission right optimally for energy-consuming enterprises? Analysis based on optimal stopping model. (2023). Meng, Bo ; Chen, Bin ; Jin, Shunlin ; Sun, Huaping ; Liu, Yue. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002566. Full description at Econpapers || Download paper |
| 2023 | A hybrid stochastic volatility model in a Lévy market. (2023). Vives, Josep ; Makumbe, Zororo S ; Goutte, Stephane ; El-Khatib, Youssef. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:220-235. Full description at Econpapers || Download paper |
| 2023 | An expansion formula for Hawkes processes and application to cyber-insurance derivatives. (2023). Rosenbaum, Mathieu ; Reveillac, Anthony ; Hillairet, Caroline. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:89-119. Full description at Econpapers || Download paper |
| 2024 | Wasserstein distance estimates for jump-diffusion processes. (2024). Privault, Nicolas ; Breton, Jean-Christophe. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000401. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Intervene in advance or passively? Analysis and application on congestion control of smart grid. (2023). Zhang, Xiling ; Ding, Xuhui ; Liu, Yue. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-021-04389-2. Full description at Econpapers || Download paper |
| 2023 | European and Asian Greeks for Exponential Lévy Processes. (2023). Ruschendorf, Ludger ; Hudde, Anselm. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10014-5. 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 | 0 |
| 2023 | 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 | 1 |
| 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 |
| 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 |
| 2000 | White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance In: Finance and Stochastics. [Full Text][Citation analysis] | article | 25 |
| 2004 | Computations of Greeks in a market with jumps via the Malliavin calculus In: Finance and Stochastics. [Full Text][Citation analysis] | article | 14 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [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 |
| In: . [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 | 1 |
| 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 November, 3 2024. Contact: CitEc Team