Nicolas Privault

Names

Identifer

Contact

Affiliations

• Nanyang Technological University
  • http://www.spms.ntu.edu.sg/mas/
  • location: Singapore

Research profile

author of:

• SURE shrinkage of Gaussian paths and signal identification (RePEc:arx:papers:0809.1516)
  by Nicolas Privault & Anthony R'eveillac
• Hedging in bond markets by the Clark-Ocone formula (RePEc:arx:papers:1304.6165)
  by Nicolas Privault & Timothy Robin Teng
• A q-binomial extension of the CRR asset pricing model (RePEc:arx:papers:2104.10163)
  by Jean-Christophe Breton & Youssef El-Khatib & Jun Fan & Nicolas Privault
• Deep self-consistent learning of local volatility (RePEc:arx:papers:2201.07880)
  by Zhe Wang & Nicolas Privault & Claude Guet
• Fast Computation Of Risk Measures For Variable Annuities With Additional Earnings By Conditional Moment Matching (RePEc:cup:astinb:v:48:y:2018:i:01:p:171-196_00)
  by Privault, Nicolas & Wei, Xiao
• A Malliavin calculus approach to sensitivity analysis in insurance (RePEc:eee:insuma:v:35:y:2004:i:3:p:679-690)
  by Privault, Nicolas & Wei, Xiao
• Large deviations for Bernstein bridges (RePEc:eee:spapps:v:126:y:2016:i:5:p:1285-1305)
  by Privault, Nicolas & Yang, Xiangfeng & Zambrini, Jean-Claude
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates (RePEc:eee:spapps:v:129:y:2019:i:9:p:3376-3405)
  by Privault, N. & Yam, S.C.P. & Zhang, Z.
• Conditional Stein approximation for Itô and Skorohod integrals (RePEc:eee:stapro:v:128:y:2017:i:c:p:1-7)
  by Privault, Nicolas & She, Qihao
• Recursive computation of the Hawkes cumulants (RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001231)
  by Privault, Nicolas
• Multiple stochastic integral expansions of arbitrary Poisson jump times functionals (RePEc:eee:stapro:v:43:y:1999:i:2:p:179-188)
  by Privault, Nicolas
• Extended covariance identities and inequalities (RePEc:eee:stapro:v:55:y:2001:i:3:p:247-255)
  by Privault, Nicolas
• Isoperimetric and related bounds on configuration spaces (RePEc:eee:stapro:v:78:y:2008:i:14:p:2154-2164)
  by Houdré, Christian & Privault, Nicolas
• Supermodular ordering of Poisson arrays (RePEc:eee:stapro:v:98:y:2015:i:c:p:136-143)
  by Kızıldemir, Bünyamin & Privault, Nicolas
• Sensitivity analysis and density estimation for finite-time ruin probabilities (RePEc:hal:journl:hal-00201347)
  by Stéphane Loisel & Nicolas Privault
• Pricing CIR Yield Options by Conditional Moment Matching (RePEc:kap:apfinm:v:24:y:2017:i:1:d:10.1007_s10690-017-9222-5)
  by Adrian Prayoga & Nicolas Privault
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (RePEc:spr:finsto:v:4:y:2000:i:4:p:465-496)
  by Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault
• Computations of Greeks in a market with jumps via the Malliavin calculus (RePEc:spr:finsto:v:8:y:2004:i:2:p:161-179)
  by Youssef El-Khatib & Nicolas Privault
• Cumulant Operators for Lie–Wiener–Itô–Poisson Stochastic Integrals (RePEc:spr:jotpro:v:28:y:2015:i:1:d:10.1007_s10959-013-0532-x)
  by Nicolas Privault
• Third Cumulant Stein Approximation for Poisson Stochastic Integrals (RePEc:spr:jotpro:v:32:y:2019:i:3:d:10.1007_s10959-018-0817-1)
  by Nicolas Privault
• Normal Approximation of Compound Hawkes Functionals (RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-022-01233-6)
  by Mahmoud Khabou & Nicolas Privault & Anthony Réveillac
• Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals (RePEc:spr:metcap:v:15:y:2013:i:3:d:10.1007_s11009-011-9261-8)
  by Nicolas Privault & Wayne Isaac Uy
• A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models (RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-017-9558-3)
  by Yue Liu & Nicolas Privault
• Computation of Coverage Probabilities in a Spherical Germ-Grain Model (RePEc:spr:metcap:v:23:y:2021:i:2:d:10.1007_s11009-019-09741-5)
  by Ian Flint & Nicolas Privault
• A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations (RePEc:spr:pardea:v:4:y:2023:i:4:d:10.1007_s42985-023-00255-x)
  by Jiang Yu Nguwi & Nicolas Privault
• Stein estimation of Poisson process intensities (RePEc:spr:sistpr:v:12:y:2009:i:1:p:37-53)
  by Nicolas Privault & Anthony Réveillac
• Analytic bond pricing for short rate dynamics evolving on matrix Lie groups (RePEc:taf:quantf:v:16:y:2016:i:1:p:119-129)
  by Nengli Lim & Nicolas Privault
• Numerical computation of Theta in a jump-diffusion model by integration by parts (RePEc:taf:quantf:v:9:y:2009:i:6:p:727-735)
  by Delphine David & Nicolas Privault
• Bounds On Option Prices In Point Process Diffusion Models (RePEc:wsi:ijtafx:v:11:y:2008:i:06:n:s0219024908004944)
  by Jean-Christophe Breton & Nicolas Privault
• Selling At The Ultimate Maximum In A Regime-Switching Model (RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500182)
  by Yue Liu & Nicolas Privault