Discrete time hedging errors for options with irregular payoffs. - Emmanuel Gobet; Emmanuel Temam (Finance Stochastics, 2001)

Efficient schemes for the weak approximation of reflected diffusions. - Emmanuel Gobet (Monte Carlo Methods Appl., 2001)

A spectral Monte Carlo method for the Poisson equation. - Emmanuel Gobet; Sylvain Maire (Monte Carlo Methods Appl., 2004)

Sensitivity Analysis Using It[o-circumflex]–Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control. - Emmanuel Gobet; Rémi Munos (SIAM J. Control. Optim., 2005)

Sequential Control Variates for Functionals of Markov Processes. - Emmanuel Gobet; Sylvain Maire (SIAM J. Numer. Anal., 2005)

Discretization and Simulation of the Zakai Equation. - Emmanuel Gobet; Gilles Pagès; Huyên Pham; Jacques Printems (SIAM J. Numer. Anal., 2006)

Smart expansion and fast calibration for jump diffusions. - Eric Benhamou; Emmanuel Gobet; Mohammed Miri (Finance Stochastics, 2009)

Time Dependent Heston Model. - Eric Benhamou; Emmanuel Gobet; Mohammed Miri (SIAM J. Financial Math., 2010)

Solving BSDE with Adaptive Control Variate. - Emmanuel Gobet; Céline Labart (SIAM J. Numer. Anal., 2010)

Preliminary control variates to improve empirical regression methods. - Tarik Ben Zineb; Emmanuel Gobet (Monte Carlo Methods Appl., 2013)

A correction note to "Discrete time hedging errors for options with irregular payoffs". - Emmanuel Gobet (Finance Stochastics, 2014)

Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process. - Romain Bompis; Emmanuel Gobet (SIAM J. Numer. Anal., 2014)

Analytical Approximations of BSDEs with Nonsmooth Driver. - Emmanuel Gobet; Stefano Pagliarani (SIAM J. Financial Math., 2015)

Rare Event Simulation Using Reversible Shaking Transformations. - Emmanuel Gobet; Gang Liu (SIAM J. Sci. Comput., 2015)

Empirical Regression Method for Backward Doubly Stochastic Differential Equations. - Achref Bachouch; Emmanuel Gobet; Anis Matoussi (SIAM/ASA J. Uncertain. Quantification, 2016)

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions. - Emmanuel Gobet; Plamen Turkedjiev (Math. Comput., 2016)

Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs. - Emmanuel Gobet; José G. López-Salas; Plamen Turkedjiev; Carlos Vázquez 002 (SIAM J. Sci. Comput., 2016)

Finite variance unbiased estimation of stochastic differential equations. - Ankush Agarwal; Emmanuel Gobet (WSC, 2017)

MCMC design-based non-parametric regression for rare event. Application to nested risk computations. - Gersende Fort; Emmanuel Gobet; Eric Moulines (Monte Carlo Methods Appl., 2017)

Study of new rare event simulation schemes and their application to extreme scenario generation. - Ankush Agarwal; Stefano De Marco; Emmanuel Gobet; Gang Liu (Math. Comput. Simul., 2018)

A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations. - Emmanuel Gobet; Gang Liu; Jorge P. Zubelli (SIAM J. Numer. Anal., 2018)

Quantitative bounds for concentration-of-measure inequalities and empirical regression: The independent case. - David Barrera 001; Emmanuel Gobet (J. Complex., 2019)

Orlicz Random Fourier Features. - Linda Chamakh; Emmanuel Gobet; Zoltán Szabó (J. Mach. Learn. Res., 2020)

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. - Stéphane Crépey; Gersende Fort; Emmanuel Gobet; Uladzislau Stazhynski (SIAM/ASA J. Uncertain. Quantification, 2020)

Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. - Florian Bourgey; Stefano De Marco; Emmanuel Gobet; Alexandre Zhou (Monte Carlo Methods Appl., 2020)

Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. - Florian Bourgey; Emmanuel Gobet; Clément Rey (SIAM J. Financial Math., 2020)

A generative model for fBm with deep ReLU neural networks. - Michaël Allouche; Stéphane Girard; Emmanuel Gobet (J. Complex., 2022)

EV-GAN: Simulation of extreme events with ReLU neural networks. - Michaël Allouche; Stéphane Girard; Emmanuel Gobet (J. Mach. Learn. Res., 2022)

A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions. - Florian Bourgey; Emmanuel Gobet; Clément Rey (SIAM/ASA J. Uncertain. Quantification, 2022)

Newton Method for Stochastic Control Problems. - Emmanuel Gobet; Maxime Grangereau (SIAM J. Control. Optim., 2022)

Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas. - Emmanuel Gobet; Adrien Richou; Lukasz Szpruch (CoRR, 2024)

Quasi-Regression Monte-Carlo scheme for semi-linear PDEs and BSDEs with large scale parallelization on GPUs. - Emmanuel Gobet; José G. López-Salas; Carlos Vázquez 002 (CoRR, 2024)

Estimation of extreme quantiles from heavy-tailed distributions with neural networks. - Michaël Allouche; Stéphane Girard; Emmanuel Gobet (Stat. Comput., 2024)

Bridging socioeconomic pathways of rmCO2 emission and credit risk. - Florian Bourgey; Emmanuel Gobet; Ying Jiao (Ann. Oper. Res., 2024)

Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation. - Emmanuel Gobet; Clara Lage (Ann. Oper. Res., 2024)

Structured dictionary learning of rating migration matrices for credit risk modeling. - Michaël Allouche; Emmanuel Gobet; Clara Lage; Edwin Mangin (Comput. Stat., 2024)

A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion. - Célia Escribe; Josselin Garnier; Emmanuel Gobet (Dyn. Games Appl., 2024)

Learning extreme expected shortfall and conditional tail moments with neural networks. Application to cryptocurrency data. - Michaël Allouche; Stéphane Girard; Emmanuel Gobet (Neural Networks, 2025)