Frédéric Abergel

Laboratoire

Mathématiques et Informatique pour la Complexité et les Systèmes

Publications (38)

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

Frédéric Abergel , Grégoire Loeper

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

Frédéric Abergel , Nicolas Millot

Article dans une revue 19/04/2024

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

Frédéric Abergel , Nicolas Millot

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

Communication dans un congrès 15/04/2024

Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact

Frédéric Abergel , Grégoire Loeper