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members:echevalier:welcome

Etienne Chevalier

Maître de conférences
Université d'Évry Val d'Essonne
Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071)
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex
Bureau : 303
☎ +33 (0) 1 64 85 93
etienne.chevalier@univ-evry.fr

Thèmes de recherche

  • Contrôle stochastique
  • Mathématiques financières
  • Options réelles

Publications

  • Liquidity risk and optimal dividend/investment strategies, with M. Gaigi and V. Ly Vath, to appear in Mathematics and Financial Economics, 2016.
  • Indifference fees for variable annuities, with T. Lim, et R. Romo Romero, to appear in Applied Mathematical Finance, 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.
members/echevalier/welcome.txt · Last modified: 2016/09/10 17:34 by Etienne Chevalier

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