Frédéric Abergel

According to our database, Frédéric Abergel authored at least 5 papers between 2009 and 2018.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2018

Non-linear filtering and optimal investment under partial information for stochastic volatility models.

Dalia Ibrahim, Frédéric Abergel

Math. Methods Oper. Res., 2018

2015

Long-Time Behavior of a Hawkes Process-Based Limit Order Book.

Frédéric Abergel, Aymen Jedidi

SIAM J. Financial Math., 2015

2014

Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit.

Ban Zheng, François Roueff, Frédéric Abergel

SIAM J. Financial Math., 2014

2011

Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets.

Frédéric Abergel, Nicolas Millot

SIAM J. Financial Math., 2011

2009

SuperQuant Financial Benchmark Suite for Performance Analysis of Grid Middlewares.

Abhijeet Gaikwad, Viet Dung Doan, Mireille Bossy, Françoise Baude, Frédéric Abergel

Proceedings of the Modeling, 2009