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Frédéric Abergel
Publication Activity (10 Years)
Years Active: 2009-2018
Publications (10 Years): 2
Top Topics
Design Process
Partial Information
Network Revenue Management
Markov Chain
Top Venues
SIAM J. Financial Math.
Math. Methods Oper. Res.
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Publications
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Dalia Ibrahim
,
Frédéric Abergel
Non-linear filtering and optimal investment under partial information for stochastic volatility models.
Math. Methods Oper. Res.
87 (3) (2018)
Frédéric Abergel
,
Aymen Jedidi
Long-Time Behavior of a Hawkes Process-Based Limit Order Book.
SIAM J. Financial Math.
6 (1) (2015)
Ban Zheng
,
François Roueff
,
Frédéric Abergel
Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit.
SIAM J. Financial Math.
5 (1) (2014)
Frédéric Abergel
,
Nicolas Millot
Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets.
SIAM J. Financial Math.
2 (1) (2011)
Abhijeet Gaikwad
,
Viet Dung Doan
,
Mireille Bossy
,
Françoise Baude
,
Frédéric Abergel
SuperQuant Financial Benchmark Suite for Performance Analysis of Grid Middlewares.
HPSC
(2009)