Pierre Henry-Labordère

According to our database, Pierre Henry-Labordère authored at least 7 papers between 2013 and 2026.

Collaborative distances:

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

2026

LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling.

Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper, Othmane Mazhar, Huyên Pham, Nizar Touzi

CoRR, January, 2026

2023

Pricing Bermudan Options Using Regression Trees/Random Forests.

Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong

SIAM J. Financial Math., December, 2023

2018

Some Results on Skorokhod Embedding and Robust Hedging with Local Time.

Julien Claisse, Gaoyue Guo, Pierre Henry-Labordère

J. Optim. Theory Appl., 2018

2016

A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA.

Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren

SIAM J. Financial Math., 2016

An explicit martingale version of the one-dimensional Brenier theorem.

Pierre Henry-Labordère, Nizar Touzi

Finance Stochastics, 2016

2015

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem.

Stefano De Marco, Pierre Henry-Labordère

SIAM J. Financial Math., 2015

2013

Model-independent bounds for option prices - a mass transport approach.

Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner

Finance Stochastics, 2013