Výsledky vyhledávání - "Nicolas Privault"

Elektronická kniha

Autor: Uwe Franz, Nicolas Privault

This monograph is a progressive introduction to non-commutativity in probability theory, summarizing and synthesizing recent results about classical and quantum stochastic processes on Lie algebras. In the early chapters, focus is placed on concrete

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Elektronická kniha

Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)

Autor: Nicolas Privault

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of conce

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A fully nonlinear Feynman–Kac formula with derivatives of arbitrary orders

Autor: Jiang Yu Nguwi, Guillaume Penent, Nicolas Privault

Publikováno v: Journal of Evolution Equations. 23

We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman–Kac formula to fully nonlinear partial differential equations, by using random trees that carry i

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22fd343f0c2342ca07e42b9bb40ad008
https://doi.org/10.1007/s00028-023-00873-3

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Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians

Autor: Nicolas Privault, Guillaume Penent

Publikováno v: Stochastics and Partial Differential Equations: Analysis and Computations. 10:446-474

We obtain existence results for the solution u of nonlocal semilinear parabolic PDEs on $\mathbb{R}^d$ with polynomial nonlinearities in $(u, \nabla u)$, using a tree-based probabilistic representation. This probabilistic representation applies to th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf46070483ab177489ded27c4c26405f
https://doi.org/10.1007/s40072-021-00220-y

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Pricing and Hedging in Jump Models

Autor: Nicolas Privault