Donatien Hainaut

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2026 J jnl
American option pricing with model constrained Gaussian process regressions.
Appl. Math. Comput.
Donatien Hainaut
2026 J jnl
Optimal control by policy iterations and constrained Gaussian process regressions.
Eur. J. Oper. Res.
Donatien Hainaut, Jean-Loup Dupret
2025 J jnl
Deep Learning for Continuous-time Stochastic Control with Jumps.
CoRR
Patrick Cheridito, Jean-Loup Dupret, Donatien Hainaut
2024 J jnl
A recursive method for fractional Hawkes intensities and the potential approach of credit risk.
J. Comput. Appl. Math.
John-John Ketelbuters, Donatien Hainaut
2024 J jnl
Partial Hedging in Rough Volatility Models.
SIAM J. Financial Math.
Edouard Motte, Donatien Hainaut
2024 J jnl
Variational AutoEncoder for synthetic insurance data.
Intell. Syst. Appl.
Charlotte Jamotton, Donatien Hainaut
2023 J jnl
Pricing of spread and exchange options in a rough jump-diffusion market.
J. Comput. Appl. Math.
Donatien Hainaut
2022 J jnl
CDS pricing with fractional Hawkes processes.
Eur. J. Oper. Res.
John-John Ketelbuters, Donatien Hainaut
2022 J jnl
Time-consistent evaluation of credit risk with contagion.
J. Comput. Appl. Math.
John-John Ketelbuters, Donatien Hainaut
2021 J jnl
Option pricing in illiquid markets: A fractional jump-diffusion approach.
J. Comput. Appl. Math.
Donatien Hainaut, Nikolai Leonenko
2018 J jnl
How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
Ann. Oper. Res.
Donatien Hainaut, Yang Shen, Yan Zeng
2017 J jnl
Clustered Lévy processes and their financial applications.
J. Comput. Appl. Math.
Donatien Hainaut
2014 J jnl
Default probabilities of a holding company, with complete and partial information.
J. Comput. Appl. Math.
Donatien Hainaut, Griselda Deelstra
2014 J jnl
Impulse control of pension fund contributions, in a regime switching economy.
Eur. J. Oper. Res.
Donatien Hainaut
2009 J jnl
Dynamic asset allocation under VaR constraint with stochastic interest rates.
Ann. Oper. Res.
Donatien Hainaut