Details about Nicolas Privault

Access statistics for papers by Nicolas Privault.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: ppr35

Working Papers

2025

1. Deep self-consistent learning of local volatility
   Papers, arXiv.org

2023

2. A q-binomial extension of the CRR asset pricing model
   Papers, arXiv.org

2013

3. Hedging in bond markets by the Clark-Ocone formula
   Papers, arXiv.org

2009

4. SURE shrinkage of Gaussian paths and signal identification
   Papers, arXiv.org
5. Sensitivity analysis and density estimation for finite-time ruin probabilities
   Post-Print, HAL View citations (4)

Journal Articles

2024

1. Asymptotic Analysis of k-Hop Connectivity in the 1D Unit Disk Random Graph Model
   Methodology and Computing in Applied Probability, 2024, 26, (4), 1-26
2. Normal Approximation of Compound Hawkes Functionals
   Journal of Theoretical Probability, 2024, 37, (1), 549-581
3. Wasserstein distance estimates for jump-diffusion processes
   Stochastic Processes and their Applications, 2024, 172, (C)

2023

4. A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
   Partial Differential Equations and Applications, 2023, 4, (4), 1-20 View citations (1)

2021

5. Computation of Coverage Probabilities in a Spherical Germ-Grain Model
   Methodology and Computing in Applied Probability, 2021, 23, (2), 491-502
6. Recursive computation of the Hawkes cumulants
   Statistics & Probability Letters, 2021, 177, (C) View citations (1)

2019

7. Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
   Stochastic Processes and their Applications, 2019, 129, (9), 3376-3405
8. Third Cumulant Stein Approximation for Poisson Stochastic Integrals
   Journal of Theoretical Probability, 2019, 32, (3), 1461-1481

2018

9. A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models
   Methodology and Computing in Applied Probability, 2018, 20, (1), 369-384 View citations (7)
10. FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING
    ASTIN Bulletin, 2018, 48, (1), 171-196 View citations (1)

2017

11. Conditional Stein approximation for Itô and Skorohod integrals
    Statistics & Probability Letters, 2017, 128, (C), 1-7
12. Pricing CIR Yield Options by Conditional Moment Matching
    Asia-Pacific Financial Markets, 2017, 24, (1), 19-38 View citations (2)
13. SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (03), 1-27 View citations (4)

2016

14. Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
    Quantitative Finance, 2016, 16, (1), 119-129 View citations (3)
15. Large deviations for Bernstein bridges
    Stochastic Processes and their Applications, 2016, 126, (5), 1285-1305

2015

16. Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals
    Journal of Theoretical Probability, 2015, 28, (1), 269-298
17. Supermodular ordering of Poisson arrays
    Statistics & Probability Letters, 2015, 98, (C), 136-143 View citations (1)

2013

18. Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals
    Methodology and Computing in Applied Probability, 2013, 15, (3), 511-524 View citations (1)

2009

19. Numerical computation of Theta in a jump-diffusion model by integration by parts
    Quantitative Finance, 2009, 9, (6), 727-735
20. Stein estimation of Poisson process intensities
    Statistical Inference for Stochastic Processes, 2009, 12, (1), 37-53 View citations (1)

2008

21. BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (06), 597-610 View citations (1)
22. Isoperimetric and related bounds on configuration spaces
    Statistics & Probability Letters, 2008, 78, (14), 2154-2164

2004

23. A Malliavin calculus approach to sensitivity analysis in insurance
    Insurance: Mathematics and Economics, 2004, 35, (3), 679-690 View citations (2)
24. Computations of Greeks in a market with jumps via the Malliavin calculus
    Finance and Stochastics, 2004, 8, (2), 161-179 View citations (15)

2001

25. Extended covariance identities and inequalities
    Statistics & Probability Letters, 2001, 55, (3), 247-255

2000

26. White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
    Finance and Stochastics, 2000, 4, (4), 465-496 View citations (26)

1999

27. Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
    Statistics & Probability Letters, 1999, 43, (2), 179-188 View citations (1)

Undated

28. Stratified approximations for the pricing of options on average
    Journal of Computational Finance