Expansions for Gaussian processes and Parseval frames
G. Pagès
,
H. Luschgy
Electronic Journal of Probability , 2009, 14 (42), pp.1198-1221
Journal articles
hal-00437672v1
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Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
O. Bardou
,
N. Frikha
,
G. Pagès
Monte Carlo Methods and Applications , 2009, 15 (3), pp.173-210
Journal articles
hal-00497588v1
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Quantization methods
G. Pagès
R. Cont. Encyclopedia of Quantitative Finance , Wiley, Volume 3, pp. 1451-1455, 2010
Book sections
hal-00497652v1
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When are swing options bang-bang?
G. Pagès
,
O. Bardou
,
S. Bouthemy
International Journal of Theoretical and Applied Finance , 2010, 13 (6), pp.867-899
Journal articles
hal-00610170v1
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Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces.
G. Pagès
,
H. Luschgy
,
B. Wilbertz
Journal articles
hal-00610171v1
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Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process
G. Pagès
,
A. Sagna
Applied Mathematical Finance , 2015, 22 (5), pp.463-498
Journal articles
hal-01261313v1
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Optimal posting distance of limit orders: a stochastic algorithm approach
S. Laruelle
,
C.-A. Lehalle
,
G. Pagès
Mathematics and Financial Economics , 2013, 7 (3), pp.359-403
Journal articles
hal-00839247v1
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Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise
Pierre Bras
,
Gilles Pagès
2021
Preprints, Working Papers, ...
hal-03891234v1
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Moment estimates for Lévy Processes
G. Pagès
,
H. Luschgy
Electronic Communications in Probability , 2008, 13 (41), pp.422-434
Journal articles
hal-00355227v1
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Convex ordering for stochastic Volterra equations and their Euler schemes
Benjamin Jourdain
,
Gilles Pagès
2022
Preprints, Working Papers, ...
hal-03862241v1
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Functional quantization for numerics with an application to option pricing
G. Pagès
,
J. Printems
Monte Carlo Methods and Applications , 2005, 11 n.4, pp.407-446
Journal articles
hal-00085419v1
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Monotone convex order for the McKean-Vlasov processes
Yating Liu
,
Gilles Pagès
Journal articles
hal-03205372v1
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Risk Quantization by Magnitude and Propensity
Olivier P. Faugeras
,
Gilles Pages
2021
Preprints, Working Papers, ...
hal-03233068v1
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Quadratic optimal functional quantization of stochastic processes and numerical applications
G. Pagès
Monte Carlo and Quasi-Monte Carlo Methods, Ulm 2006 , 2006, Ulm, Germany. pp.101-143
Conference papers
hal-00211923v1
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Optimal quantization for finance : From random vectors to stochastic processes
G. Pagès
,
J. Printems
A. Bensoussan and Q. Zhang. Mathematical modeling and numerical methods in finance , North-Holland, pp.595-648, 2009, Handbook of Numerical analysis, vol. XV, special volume
Book sections
hal-00392177v1
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GPGPUs in computational finance: massive parallel computing for American style options
G. Pagès
,
B. Wilbertz
Concurrency and Computation: Practice and Experience , 2011, Special Issue, 12 p.
⟨10.1002/cpe.1774⟩
Journal articles
hal-00662165v1
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First-order schemes in the numerical quantization method
G. Pagès
,
V. Bally
,
J. Printems
Mathematical Finance , 2003, 13 n.1, pp.1-16
Journal articles
hal-00103809v1
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Optimal Delaunay et Voronoi quantization methods for pricing American options
G. Pagès
,
B. Wilbertz
Numerical methods in Finance. Workshop Numerical methods in Finance, 2010, , 2010, Bordeaux, France. pp.171-217
Conference papers
hal-00707862v1
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Functional co-monotony of processes with applications to peacocks and barrier options
G. Pagès
C. Donati-Martin, A. Lejay, A. Rouault. Séminaire de Probabilités XLV , Springer, pp.365-400, 2013, Lecture Notes in Mathematics 2078
Book sections
hal-00916457v1
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Langevin algorithms for Markovian Neural Networks and Deep Stochastic control
Pierre Bras
,
Gilles Pagès
2022
Preprints, Working Papers, ...
hal-03980632v1
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Quantization-based approximation of reflected BSDEs with extended upper bounds for recursive quantization
Rancy El Nmeir
,
Gilles Pagès
2022
Preprints, Working Papers, ...
hal-03890783v1
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Recursive computation of invariant distributions of Feller processes
Gilles Pagès
,
Clément Rey
Journal articles
hal-03891155v1
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Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications
Gilles Pagès
,
Clément Rey
2022
Preprints, Working Papers, ...
hal-03890803v1
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Monotone convex order for the McKean–Vlasov processes
Yating Liu
,
Gilles Pagès
Journal articles
hal-03891164v1
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Dynamic Programming versus supervised learning
Gilles Pagès
,
Olivier Pironneau
Book sections
hal-03891198v1
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Multi-asset American options and parallel quantization
A. Bronstein
,
G. Pagès
,
J. Portès
Journal articles
hal-00858355v1
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Functional quantization and small ball probabilities for Gaussian processes
G. Pagès
,
H. Luschgy
,
S. Graf
Journal of Theoretical Probability , 2003, 16 n.4, pp.1047-1062
Journal articles
hal-00104809v1
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Local distortion and µ-mass of the cells of one dimensional asymptotically optimal quantizers
S. Delattre
,
G. Pagès
,
J.C. Fort
Communications in Statistics - Theory and Methods , 2004, 33 n.5, pp.1087-1118
Journal articles
hal-00102261v1
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A quantization tree method for pricing and hedging multidimensional American options
G. Pagès
,
V. Bally
,
J. Printems
Mathematical Finance , 2005, 15 n.1, pp.119-168
Journal articles
hal-00101786v1
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Optimal quadratic quantization for numerics: the Gaussian case
G. Pagès
,
J. Printems
Monte Carlo Methods and Applications , 2003, 9 n.2, pp.135-165
Journal articles
hal-00104800v1
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