Romuald ELIE

 
 



Projects


- Chaire ACTINFO, Valorisation et nouveaux usages actuariels de l'information


- Projet FUI MacroNOW, prévision en temps réel des principaux indicateurs macroéconomiques.


- Projet ANR PACMAN, Problèmes principal-agent, théorie des contrats et jeux à champ moyen pour l'énergie.


- Projet ANR MFG, Mean Field Games.



Preprint


- An adverse selection approach to power pricing, with C. Alasseur, I. Ekeland, N. Hernandez Santibanez & D. Possamai.


- A tale of a Principal and many many Agents, with D. Possamai & T. Mastrolia.


- Contracting theory with competitive interacting Agents, with D. Possamai.


- Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains, with A. Charpentier & A. David.


- On a class of path-dependent singular stochastic control problems, with L. Moreau & D. Possamai.



Publications


- BSDEs with mean reflexion, with P. Briand & Y. Hu, Annals of Applied Probability, to appear (2017).


- Regularity of BSDEs with a convex constraint on the gains-process, with B. Bouchard & L. Moreau, Bernoulli, to appear (2016).


- Segmentation et mutualisation, les deux faces d'une même pièce?, with A. Charpentier & M. denuit, Risques 103 (2016).


- Approximate hedging for non linear transaction costs on the volume of traded assets, with E. Lepinette, Finance and Stochastics, 19-3 (2015).


- BSDE with weak terminal condition , with B. Bouchard & A. Reveillac, Annals of Probability, 43-2 (2015)


- When terminal facelift enforces Delta constraints , with J.-F. Chassagneux & I. Kharroubi, Finance and Stochastics, 19-2 (2015).


- Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift, with G. Espinosa,

Mathematical Finance, 25-4 (2015).


- On the expectation of normalized Brownian functionals up to first hitting times , with M. Rosenbaum & M. Yor,

Electronic Journal of Probability, 19-37 (2014).


- BSDE representations for optimal switching problems with controlled volatility, with I. Kharroubi, Stochastics and Dynamics, 14-3 (2014).


- Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections, with I. Kharroubi,

ESAIM Probability and Statistics, 18 (2014).


- A simple constructive approach to quadratic BSDEs with or without delay, with P. Briand

Stochastic Processes and Applications, 123(8) pp 2921-2939 (2013).


- Discrete-time Approximation of Multidimensional BSDEs with oblique reflections, with J.-F. Chassagneux & I. Kharroubi,

Annals of Applied Probability, 22(3), pp 971-1007 (2012).


- A note on utility based pricing and asymptotic risk diversification, with B. Bouchard & L. Moreau, Mathematics and Financial Economics, 6-1 pp 59-74 (2012)


- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs, with J.-F. Chassagneux & I. Kharroubi,

Electronic Communications in Probability, 16, pp 120–128 (2011)


- Probabilistic representation and approximation for coupled systems of variational inequalities, with I. Kharroubi,

Statistics and Probability letters, 80 (17-18) pp 1388-1396 (2010)


- Optimal control under stochastic target constraints, with B. Bouchard & C. Imbert, SIAM Journal on Control and Optimization 48-5 pp. 3501-3531 (2010)


- Stochastic target problems with control loss, with B. Bouchard  & N. Touzi

SIAM Journal on Control and Optimization 48-5 pp. 3123-3150 (2009)


- Double Kernel estimation of sensitivities,

Journal of Applied probability, 46-3 (2009)


  1. -Discrete-time Approximation of BSDEs and Probabilistic schemes for Fully Nonlinear PDEs, with B. Bouchard & N. Touzi,

Radon Series on Computational and Applied Mathematics (2009)


  1. -Finite time strategy under drawdown constraint: a viscosity approach,

Applied Mathematics and Optimization, 58-3 (2008), pp. 411-431


  1. -Optimal lifetime consumption-investment strategy under drawdown constraint, with N. Touzi, Finance and Stochastics, 12-3 (2008), pp. 299-330


- Discrete time approximation of decoupled FBSDE with jumps,

   with B. Bouchard, Stochastic Processes and Applications, 118-1 (2008), 53-75


- Kernel estimation of Greek weights by parameter randomization,

with J.-D. Fermanian & N. Touzi, Annals of Applied Probability 17-4 (2007)

 

ACADEMIC POsition





Professor

Université Paris-Est


Adjunct Professor at ENSAE

ENSAE


Affiliated to:

LAMA

INRIA Mathrisk


2011-2015 research grant:

ANR LIQUIRISK


Director of the

Master Acturiat


Research interests




Quantitative economics

Mathematical Finance

Actuarial science

Optimization

Data science


        LECTURE NOTES





Stochastic Calculus 

Probability reminder

Math. Finance exercises



                  SEMINARS




Bachelier seminar

Stochastics & Finance

Seminaire FIME



                  contact




romuald.elie@univ-mlv.fr