Frédéric Abergel

Laboratoire

Mathématiques et Informatique pour la Complexité et les Systèmes

Publications (53)

Rapport 07/10/2025

A financial engineering benchmark for performance analysis of grid middlewares

Viet Dung Doan , Abhijeet Gaikwad , Mireille Bossy , Françoise Baude , Frédéric Abergel

Ouvrage 29/09/2025

Market microstructure: confronting many viewpoints

Jean-Philippe Bouchaud , Thierry Foucault , Mathieu Rosenbaum , Charles-Albert Lehalle , Frédéric Abergel

Communication dans un congrès 30/04/2025

Application of Spread constrained Limit Order Book Hawkes Process to financial high frequency data modelling

Ban Zheng , François Roueff , Frédéric Abergel

Ouvrage 29/04/2025

Econophysics and Sociophysics: Recent Progress and Future Directions

Hideaki Aoyama , Bikas K Chakrabarti , Anirban Chakraborti , Nivedita Deo , Dhruv Raina , Irena Vodenska , Frédéric Abergel

29/04/2025

Lyapunov function for a Hawkes process-based limit order book

Frédéric Abergel

Article dans une revue 29/04/2025

Long-Time Behavior of a Hawkes Process--Based Limit Order Book

Aymen Jedidi , Frédéric Abergel

Article dans une revue 12/03/2025

Nonparametric model calibration for derivatives

Rémy Tachet Des Combes , Riadh Zaatour , Frédéric Abergel

Article dans une revue 27/02/2025

Gradient blow up in Zygmund spaces for the very weak solution of a linear elliptic equation

Jean-Michel Rakotoson , Frédéric Abergel

Article dans une revue 18/12/2024

Econophysics review: I. Empirical facts

Anirban Chakraborti , Marco Patriarca , Ioane Muni Toke , Frédéric Abergel

Ouvrage 13/11/2024

Limit Order Books

Anirban Chakraborti , Aymen Jedidi , Marouane Anane , Frédéric Abergel , Ioane Muni Toke

Article dans une revue 30/10/2024

Algorithmic trading in a microstructural limit order book model

Côme Huré , Huyên Pham , Frédéric Abergel

Article dans une revue 17/09/2024

Ergodicity and scaling limit of a constrained multivariate Hawkes process

Ban Zheng , François Roueff , Frédéric Abergel

Article dans une revue 17/09/2024

Price jump prediction in a limit order book

Ban Zheng , Eric Moulines , Frédéric Abergel

Article dans une revue 16/07/2024

Market Impact: A Systematic Study of the High Frequency Options Market

Emilio Said , Ahmed Bel Hadj Ayed , Damien Thillou , Jean-Jacques Rabeyrin , Frédéric Abergel

Article dans une revue 16/07/2024

Market Impact: A Systematic Study of Limit Orders

Emilio Said , Ahmed Bel Hadj Ayed , Alexandre Husson , Frédéric Abergel

Rapport 29/05/2024

Interfaces stationnaires pour les équations de Navier-Stokes

Elisabeth Rouy , Frédéric Abergel

Article dans une revue 27/05/2024

A nonlinear partial integro-differential equation from mathematical finance

Rémi Tachet , Frédéric Abergel

Proceedings 15/05/2024

MMCS, Mathematical Modelling of Complex Systems

Paul-Henry P.-H. Cournède , Pauline Godillon-Lafitte , Frédéric Abergel , Damien Challet , Paul-Henry Cournede , Gilles Fay , Pauline Lafitte

Article dans une revue 24/04/2024

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Dalia Ibrahim , Frédéric Abergel

24/04/2024

Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims

Frédéric Abergel

22/04/2024

Limit order book modelling with high dimensional Hawkes processes

Xiaofei Lu , Frédéric Abergel

Article dans une revue 22/04/2024

High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration

Xiaofei Lu , Frédéric Abergel

22/04/2024

Pricing and hedging contingent claims with liquidity costs and market impact

Grégoire Loeper , Frédéric Abergel

Chapitre d'ouvrage 19/04/2024

Empirical Evidence of Market Inefficiency: Predicting Single-Stock Returns

Marouane Anane , Frédéric Abergel

19/04/2024

Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs

Nicolas Millot , Frédéric Abergel

Article dans une revue 19/04/2024

Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

Nicolas Millot , Frédéric Abergel

Thèse 19/04/2024

Etude d'un problème de contrôle optimal convexe mal posé

Frédéric Abergel

18/04/2024

Stability and price scaling limit of a Hawkes-process based order book model

Aymen Jedidi , Frédéric Abergel

Communication dans un congrès 18/04/2024

Credit risk in the pricing and hedging of derivatives

Frédéric Abergel

Communication dans un congrès 17/04/2024

High frequency correlation modelling

Nicolas Huth , Frédéric Abergel