Jean-François Chassagneux

15 papers Journal 15
YearRankTypeTitle / Venue / Authors
2025 J jnl
Propagation of a Carbon Price in a Credit Portfolio through Macroeconomic Factors.
SIAM J. Financial Math.
Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou, Antoine Jacquier, Lionel Sopgoui
2024 J jnl
Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation.
CoRR
Jean-François Chassagneux, Gilles Pagès
2023 J jnl
Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs.
Math. Oper. Res.
Jean-François Chassagneux, Hinesh Chotai, Dan Crisan
2022 J jnl
Convergence of particles and tree based scheme for singular FBSDEs.
CoRR
Jean-François Chassagneux, Mohan Yang
2022 J jnl
Deep Runge-Kutta schemes for BSDEs.
CoRR
Jean-François Chassagneux, Junchao Chen, Noufel Frikha
2022 J jnl
Numerical approximation of singular forward-backward SDEs.
J. Comput. Phys.
Jean-François Chassagneux, Mohan Yang
2021 J jnl
A Numerical Scheme for the Quantile Hedging Problem.
SIAM J. Financial Math.
Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger
2021 J jnl
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs.
CoRR
Jean-François Chassagneux, Junchao Chen, Noufel Frikha, Chao Zhou
2021 J jnl
Numerical approximation of singular Forward-Backward SDEs.
CoRR
Jean-François Chassagneux, Mohan Yang
2020 J jnl
Cubature method to solve BSDEs: Error expansion and complexity control.
Math. Comput.
Jean-François Chassagneux, Camilo A. Garcia Trillos
2016 J jnl
A Backward Dual Representation for the Quantile Hedging of Bermudan Options.
SIAM J. Financial Math.
Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux
2016 J jnl
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients.
SIAM J. Financial Math.
Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov
2015 J jnl
Numerical Stability Analysis of the Euler Scheme for BSDEs.
SIAM J. Numer. Anal.
Jean-François Chassagneux, Adrien Richou
2015 J jnl
When terminal facelift enforces delta constraints.
Finance Stochastics
Jean-François Chassagneux, Romuald Elie, Idris Kharroubi
2014 J jnl
Linear Multistep Schemes for BSDEs.
SIAM J. Numer. Anal.
Jean-François Chassagneux