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Econophysics review: I. Empirical facts
Anirban Chakraborti
,
Ioane Muni Toke
,
Marco Patriarca
,
Frédéric Abergel
Journal articles
hal-00621058v1
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Goodness-of-Fit tests with Dependent Observations
Rémy Chicheportiche
,
Jean-Philippe Bouchaud
Journal articles
hal-00621061v1
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The times change: multivariate subordination, empirical facts
Nicolas Huth
,
Frédéric Abergel
Journal articles
hal-00620841v1
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A nonlinear partial integro-differential equation from mathematical finance
Frédéric Abergel
,
Rémi Tachet
Journal articles
hal-00611962v1
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Optimizing a basket against the efficient market hypothesis
Frédéric Abergel
,
Mauro Politi
Journal articles
hal-00773315v1
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Hedging contingent claims by convex local risk-minimization
Nicolas Millot
Probability [math.PR]. Ecole Centrale Paris, 2012. English. ⟨NNT : ⟩
Theses
tel-00722225v1
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High frequency correlation modelling
Nicolas Huth
,
Frédéric Abergel
5th Kolkata Econophysics conference, Mar 2010, Kolkata, India. Econophysics of order-driven markets, p 189-202
Conference papers
hal-00621244v1
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Copulas and time series with long-ranged dependencies
Rémy Chicheportiche
,
Anirban Chakraborti
Journal articles
hal-00977135v1
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Credit risk in the pricing and hedging of derivatives
Frédéric Abergel
1st Financial Risks International Forum, Paris, Mar 2008, France
Conference papers
hal-00620847v1
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The near-extreme density of intraday log-returns
Mauro Politi
,
Nicolas Millot
,
Anirban Chakraborti
Journal articles
hal-00827942v1
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Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
Frédéric Abergel
,
Nicolas Millot
Journal articles
hal-00620843v1
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The joint distribution of stock returns is not elliptical
Rémy Chicheportiche
,
Jean-Philippe Bouchaud
Journal articles
hal-00703720v1
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Baldovin-Stella stochastic volatility process and Wiener process mixtures
Pier Paolo Peirano
,
Damien Challet
Journal articles
istex
hal-00734355v1
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Econophysics review: II. Agent-based models
Anirban Chakraborti
,
Ioane Muni Toke
,
Marco Patriarca
,
Frédéric Abergel
Journal articles
hal-00621059v1
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Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng
,
François Roueff
,
Frédéric Abergel
Journal articles
hal-00777941v2
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