Jean-François Chassagneux

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 13

Top Topics

Numerical Scheme

Differential Equations

Stability Analysis

Top Venues

SIAM J. Financial Math.

SIAM J. Numer. Anal.

Finance Stochastics

Publications

Jean-François Chassagneux, Gilles Pagès
Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation. CoRR (2024)
Jean-François Chassagneux, Hinesh Chotai, Dan Crisan
Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs. Math. Oper. Res. 48 (1) (2023)
Jean-François Chassagneux, Mohan Yang
Numerical approximation of singular forward-backward SDEs. J. Comput. Phys. 468 (2022)
Jean-François Chassagneux, Junchao Chen, Noufel Frikha
Deep Runge-Kutta schemes for BSDEs. CoRR (2022)
Jean-François Chassagneux, Mohan Yang
Convergence of particles and tree based scheme for singular FBSDEs. CoRR (2022)
Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger
A Numerical Scheme for the Quantile Hedging Problem. SIAM J. Financial Math. 12 (1) (2021)
Jean-François Chassagneux, Mohan Yang
Numerical approximation of singular Forward-Backward SDEs. CoRR (2021)
Jean-François Chassagneux, Junchao Chen, Noufel Frikha, Chao Zhou
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. CoRR (2021)
Jean-François Chassagneux, Camilo A. Garcia Trillos
Cubature method to solve BSDEs: Error expansion and complexity control. Math. Comput. 89 (324) (2020)
Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux
A Backward Dual Representation for the Quantile Hedging of Bermudan Options. SIAM J. Financial Math. 7 (1) (2016)
Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. SIAM J. Financial Math. 7 (1) (2016)
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
When terminal facelift enforces delta constraints. Finance Stochastics 19 (2) (2015)
Jean-François Chassagneux, Adrien Richou
Numerical Stability Analysis of the Euler Scheme for BSDEs. SIAM J. Numer. Anal. 53 (2) (2015)
Jean-François Chassagneux
Linear Multistep Schemes for BSDEs. SIAM J. Numer. Anal. 52 (6) (2014)