Linear Multistep Schemes for BSDEs. - Jean-François Chassagneux (SIAM J. Numer. Anal., 2014)

When terminal facelift enforces delta constraints. - Jean-François Chassagneux; Romuald Elie; Idris Kharroubi (Finance Stochastics, 2015)

Numerical Stability Analysis of the Euler Scheme for BSDEs. - Jean-François Chassagneux; Adrien Richou (SIAM J. Numer. Anal., 2015)

A Backward Dual Representation for the Quantile Hedging of Bermudan Options. - Bruno Bouchard 002; Géraldine Bouveret; Jean-François Chassagneux (SIAM J. Financial Math., 2016)

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. - Jean-François Chassagneux; Antoine Jacquier; Ivo Mihaylov (SIAM J. Financial Math., 2016)

Cubature method to solve BSDEs: Error expansion and complexity control. - Jean-François Chassagneux; Camilo A. Garcia Trillos (Math. Comput., 2020)

A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. - Jean-François Chassagneux; Junchao Chen 004; Noufel Frikha; Chao Zhou (CoRR, 2021)

A Numerical Scheme for the Quantile Hedging Problem. - Cyril Bénézet; Jean-François Chassagneux; Christoph Reisinger (SIAM J. Financial Math., 2021)

Convergence of particles and tree based scheme for singular FBSDEs. - Jean-François Chassagneux; Mohan Yang (CoRR, 2022)

Deep Runge-Kutta schemes for BSDEs. - Jean-François Chassagneux; Junchao Chen 004; Noufel Frikha (CoRR, 2022)

Numerical approximation of singular forward-backward SDEs. - Jean-François Chassagneux; Mohan Yang (J. Comput. Phys., 2022)

Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs. - Jean-François Chassagneux; Hinesh Chotai; Dan Crisan (Math. Oper. Res., 2023)

Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation. - Jean-François Chassagneux; Gilles Pagès (CoRR, 2024)

Propagation of a Carbon Price in a Credit Portfolio through Macroeconomic Factors. - Géraldine Bouveret; Jean-François Chassagneux; Smail Ibbou; Antoine Jacquier; Lionel Sopgoui (SIAM J. Financial Math., 2025)