• Contrôle stochastique et optimisation

• Finance de marché: options américaines, risque de liquidité, assurance

• Finance d'entreprise: Options réelles, structure de capital, théorie de la ruine

• American options in the Volterra Heston model, with S.Pulido and E. Zúñiga SIAM Journal on Financial Mathematics, Vol. 13, No 2, 2022

• Optimal dividend and capital structure with debt covenants, with V. Ly Vath et A.Roch,Journal of Optimization Theory and Applications, Vol. 187, No 2, 2020

• Path-dependent American Options, with V. Ly Vath et M. Mnif,Journal of Computationnal Finance, Vol. 23, No 1, 2019.

• Optimal market dealing under constraints, with M. Gaigi, V. Ly Vath, and M. Mnif Journal of Optimization Theory and Applications, Vol. 173 (1), pp 313-335, 2017.

• Liquidity risk and optimal dividend/investment strategies, with M. Gaigi and V. Ly Vath, Mathematics and Financial Economics, Vol. 11 (1), pp 111-135, 2017.

• Indifference fees for variable annuities, with T. Lim, and R. Romo Romero, Applied Mathematical Finance, Vol. 23 (4), pp 278-308, 2016

• Optimal execution cost for liquidation through a limit order market, with V. Ly Vath, A. Roch and S. Scotti, International Journal of Theoretical and Applied Finance, Vol. 19, No. 1, 2016.

• Exit Optimal exit strategies for investment projects, with V. Ly Vath, A. Roch and S. Scotti, Journal of Mathematical Analysis and Applications, Vol.425(2), pp.666-694, 2015.

• Max-min optimization problem for variable annuities pricing, with C.Blanchet-Scalliet, I. Kharroubi and T. Lim, International Journal of Theoritical and Applied Finance, Vol. 18, No. 08, 2015.

• An Optimal Dividend and Investment Control Problem under Debt Constraints, with V. Ly Vath and S. Scotti, SIAM J. Finan. Math., 4(1), 297 - 326, 2013.

• Exercise boundary near maturity for an American option on several assets, Journal of Stochastic Analysis and Applications, Vol. 28, No 4, 623-647, 2010.

• American options, Encyclopedia of Quantitative Finance, editor Rama Cont, 2009.

• On the American option value function near its maturity, Progress in Industrial Mathematics at ECMI 2006, 650-655, 2007.

• Bermudean Approximation of the Free Boundary Associated with an American Option, Free Boundary Problems: Theory and Applications, 137-147, 2007.

• Optimal early retirement near the expiration of a pension plan, Finance and Stochastics, Vol. 10, No 2, 2006.

• Critical price near maturity for an American option on a dividend-paying stock in a local volatility model, Mathematical Finance, Vol. 15, No 3, 2005.

Quelques contributions au contrôle stochastique appliqué à la finance de marché, d'entreprise et à l'assurance hdr_etiennechevalier.pdf