SuperQuant Financial Benchmark Suite for Performance Analysis of Grid Middlewares. - Abhijeet Gaikwad; Viet Dung Doan; Mireille Bossy; Françoise Baude; Frédéric Abergel (HPSC, 2009)

Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets. - Frédéric Abergel; Nicolas Millot (SIAM J. Financial Math., 2011)

Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit. - Ban Zheng; François Roueff; Frédéric Abergel (SIAM J. Financial Math., 2014)

Long-Time Behavior of a Hawkes Process-Based Limit Order Book. - Frédéric Abergel; Aymen Jedidi (SIAM J. Financial Math., 2015)

Non-linear filtering and optimal investment under partial information for stochastic volatility models. - Dalia Ibrahim; Frédéric Abergel (Math. Methods Oper. Res., 2018)