Path dependent options on yields in the affine term structure model. - Boris Leblanc; Olivier Scaillet (Finance Stochastics, 1998)

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. - Boris Leblanc; Olivier Renault; Olivier Scaillet (Finance Stochastics, 2000)

Convergence of discrete time option pricing models under stochastic interest rates. - Jean-Philippe Lesne; Jean-Luc Prigent; Olivier Scaillet (Finance Stochastics, 2000)

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. - Paolo Battocchio; Francesco Menoncin; Olivier Scaillet (Ann. Oper. Res., 2007)

A Kolmogorov-Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives. - Michel Denuit; Anne-Cécile Goderniaux; Olivier Scaillet (Technometrics, 2007)

Testing for equality between two copulas. - Bruno N. Rémillard; Olivier Scaillet (J. Multivar. Anal., 2009)

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. - Erricos John Kontoghiorghes; Herman K. van Dijk; David A. Belsley; Tim Bollerslev; Francis X. Diebold; Jean-Marie Dufour; Robert F. Engle; Andrew Harvey; Siem Jan Koopman; Hashem Pesaran; Peter C. B. Phillips; Richard J. Smith; et al. (Comput. Stat. Data Anal., 2014)

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. - Pierre Bajgrowicz; Olivier Scaillet; Adrien Treccani (Manag. Sci., 2016)

SWAG: A Wrapper Method for Sparse Learning. - Roberto Molinari; Gaetan Bakalli; Stéphane Guerrier; Cesare Miglioli; Samuel Orso; Olivier Scaillet (CoRR, 2020)

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. - Denisa Banulescu-Radu; Christophe Hurlin; Jérémy Leymarie; Olivier Scaillet (Manag. Sci., 2021)

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration. - Gaetan Bakalli; Davide A. Cucci; Ahmed Radi; Naser El-Sheimy; Roberto Molinari; Olivier Scaillet; Stéphane Guerrier (IEEE Trans. Signal Process., 2023)