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Emmanuel Gobet

Emmanuel Gobet

D-Index & Metrics

Mathematics

D-Index
30
Citations
4018
World Ranking
3511
National Ranking
214

Overview

Emmanuel Gobet is affiliated with the École Polytechnique in France. Their research contributions are primarily in the field of Economics, Econometrics and Finance, with a focus on Finance, Statistics and Probability, and Management Science and Operations Research.

The main topics of their work include:

  • Stochastic processes and financial applications
  • Financial Risk and Volatility Modeling
  • Statistical Methods and Inference
  • Risk and Portfolio Optimization
  • Probabilistic and Robust Engineering Design
  • Climate Change Policy and Economics
  • Markov Chains and Monte Carlo Methods

Selected recent papers authored or co-authored by Emmanuel Gobet are:

  • Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations, 2020, Finance and Stochastics
  • Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations, 2020, Monte Carlo Methods and Applications
  • Extended Mckean-Vlasov optimal stochastic control applied to smart grid management, 2022, ESAIM Control Optimisation and Calculus of Variations
  • Estimation of extreme quantiles from heavy-tailed distributions with neural networks, 2023, Statistics and Computing
  • A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion, 2024, Dynamic Games and Applications

Frequent co-authors collaborating with Emmanuel Gobet include:

  • Florian Bourgey
  • Michaël Allouche
  • Stéphane Girard
  • Stefano De Marco
  • Maxime Grangereau

Emmanuel Gobet's publications appear regularly in venues such as:

  • arXiv (Cornell University)
  • Annals of Operations Research
  • SIAM/ASA Journal on Uncertainty Quantification
  • Quantitative Finance
  • Mathematical Finance

Best Publications

  • A regression-based Monte Carlo method to solve backward stochastic differential equations

    Emmanuel Gobet;Jean-Philippe Lemor;Xavier Warin

  • Weak approximation of killed diffusion using Euler schemes

    Emmanuel Gobet

  • Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

    Jean-Philippe Lemor;Emmanuel Gobet;Xavier Warin

  • Time Dependent Heston Model

    E. Benhamou;E. Gobet;M. Miri

  • LAN property for ergodic diffusions with discrete observations

    Emmanuel Gobet

  • Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

    Christophe Barrera-Esteve;Florent Bergeret;Charles Dossal;Emmanuel Gobet

  • Nonparametric estimation of scalar diffusions based on low frequency data

    Emmanuel Gobet;Marc Hoffmann;Markus Reiss

  • Euler schemes and half-space approximation for the simulation of diffusion in a domain

    Emmanuel Gobet

  • Local asymptotic mixed normality property for elliptic diffusion: a Malliavin calculus approach

    Emmanuel Gobet

  • A symmetrized Euler scheme for an efficient approximation of reflected diffusions

    Mireille Bossy;Emmanuel Gobet;Denis Talay

  • Error expansion for the discretization of backward stochastic differential equations

    Emmanuel Gobet;Céline Labart

  • Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

    Emmanuel Gobet;Plamen Turkedjiev

  • Discrete time hedging errors for options with irregular payoffs

    Emmanuel Gobet;Emmanuel Temam

  • Smart expansion and fast calibration for jump diffusions

    Eric Benhamou;Emmanuel Gobet;Mohammed Miri

  • Sensitivity Analysis Using Itô-Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control

    Emmanuel Gobet;Remi Munos

  • Stopped diffusion processes: Boundary corrections and overshoot

    Emmanuel Gobet;Stéphane Menozzi

  • Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus

    Emmanuel Gobet;Arturo Kohatsu-Higa

  • Solving BSDE with Adaptive Control Variate

    Emmanuel Gobet;Céline Labart

  • DISCRETIZATION AND SIMULATION OF THE ZAKAI EQUATION

    Emmanuel Gobet;Gilles Pagès;Huyên Pham;Jacques Printems

  • Sharp estimates for the convergence of the density of the Euler scheme in small time

    Emmanuel Gobet;Céline Labart

  • Expansion formulas for European options in a local volatility model

    Eric Benhamou;Emmanuel Gobet;Mohammed Miri

  • Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed

    Emmanuel Gobet;Marc Hoffmann;Markus Reiß

  • Time dependent Heston model

    Emmanuel Gobet

Frequent Co-Authors

Gilles Pagès
Gilles Pagès Sorbonne University
Rémi Munos
Rémi Munos French Institute for Research in Computer Science and Automation - INRIA
Peter W. Glynn
Peter W. Glynn Stanford University
Eric Moulines
Eric Moulines Mohamed bin Zayed University of Artificial Intelligence
Huyên Pham
Huyên Pham École Polytechnique
Etienne Pardoux
Etienne Pardoux Aix-Marseille University
François Delarue
François Delarue Université Côte d'Azur
Denis Talay
Denis Talay French Institute for Research in Computer Science and Automation - INRIA

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