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Emmanuel Gobet

Emmanuel Gobet

École Polytechnique (Institut Polytechnique de Paris) - Palaiseau / France
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 1661487
Polytechnic School
person_outline Emmanuel Gobet's MOST POPULAR ARTICLES
1-) A regression-based Monte Carlo method to solve backward stochastic differential equations
2-) Weak approximation of killed diffusion using Euler schemes Stochastic processes and their applications 87 (2), 167-197, 2000
3-) Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations Bernoulli 12 (5), 889-916, 2006
4-) Time dependent Heston model SIAM Journal on Financial Mathematics 1 (1), 289-325, 2010
5-) LAN property for ergodic diffusions with discrete observations Annales de l'Institut Henri Poincare (B) Probability and Statistics 38 (5 …, 2002