Frédéric Abergel

Laboratoire

MICS

Site WEB

Publications (53)

19/03/2013

Pricing and hedging contingent claims with liquidity costs and market impact

Grégoire Loeper , Frédéric Abergel

08/01/2013

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

Frédéric Abergel

Article dans une revue 01/01/2013

A Mathematical Approach to Order Book Modelling

Aymen Jedidi , Frédéric Abergel

01/01/2013

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

Aymen Jedidi , Frédéric Abergel

Ouvrage 01/01/2013

Econophysics of systemic risk and network dynamics

Anirban Chakraborti , B.K. Chakrabarti , Asim Ghosh , Frédéric Abergel

Article dans une revue 14/12/2012

Optimizing a basket against the efficient market hypothesis

Mauro Politi , Frédéric Abergel

Communication dans un congrès 01/12/2012

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

Ban Zheng , François Roueff , Frédéric Abergel

Article dans une revue 01/09/2012

Stationary free surface viscous flows without surface tension in three dimensions

Jacques-Herbert Bailly , Frédéric Abergel

Article dans une revue 01/06/2012

What drives option prices ?

Riadh Zaatour , Frédéric Abergel

Article dans une revue 01/01/2012

The times change: multivariate subordination, empirical facts

Nicolas Huth , Frédéric Abergel

Ouvrage 01/01/2012

Market microstructure: confronting many viewpoints

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

06/12/2011

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

Nicolas Millot , Frédéric Abergel

28/11/2011

High Frequency Lead/lag Relationships - Empirical facts

Nicolas Huth , Frédéric Abergel

Article dans une revue 24/06/2011

Econophysics review: II. Agent-based models

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

Article dans une revue 24/06/2011

Econophysics review: I. Empirical facts

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

Article dans une revue 24/05/2011

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

Nicolas Millot , Frédéric Abergel

Ouvrage 01/01/2011

Econophysics of order-driven markets

Anirban Chakraborti , B.K. Chakrabarti , M. Mitra , Frédéric Abergel

Communication dans un congrès 01/01/2011

High frequency correlation modelling

Nicolas Huth , Frédéric Abergel

Article dans une revue 01/07/2010

A nonlinear partial integro-differential equation from mathematical finance

Rémi Tachet , Frédéric Abergel

Communication dans un congrès 09/12/2009

Credit risk in the pricing and hedging of derivatives

Frédéric Abergel

Rapport 01/01/2009

A financial engineering benchmark for performance analysis of grid middlewares

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

Rapport 01/01/1995

Interfaces stationnaires pour les équations de Navier-Stokes

Elisabeth Rouy , Frédéric Abergel

Thèse 09/06/1986

Etude d'un problème de contrôle optimal convexe mal posé

Frédéric Abergel