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ORCIDJean-François Chassagneux
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2020 – today
- 2024
[i5]Jean-François Chassagneux, Gilles Pagès:
Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation. CoRR abs/2406.13370 (2024)- 2023
- [j9]Jean-François Chassagneux
, Hinesh Chotai, Dan Crisan:
Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs. Math. Oper. Res. 48(1): 463-497 (2023) - 2022
- [j8]Jean-François Chassagneux, Mohan Yang:
Numerical approximation of singular forward-backward SDEs. J. Comput. Phys. 468: 111459 (2022) - [i4]Jean-François Chassagneux, Mohan Yang:
Convergence of particles and tree based scheme for singular FBSDEs. CoRR abs/2212.11917 (2022) - [i3]Jean-François Chassagneux, Junchao Chen, Noufel Frikha:
Deep Runge-Kutta schemes for BSDEs. CoRR abs/2212.14372 (2022) - 2021
- [j7]Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger:
A Numerical Scheme for the Quantile Hedging Problem. SIAM J. Financial Math. 12(1): 110-157 (2021) - [i2]Jean-François Chassagneux, Junchao Chen, Noufel Frikha, Chao Zhou:
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs. CoRR abs/2102.12051 (2021) - [i1]Jean-François Chassagneux, Mohan Yang:
Numerical approximation of singular Forward-Backward SDEs. CoRR abs/2106.15496 (2021) - 2020
- [j6]Jean-François Chassagneux, Camilo A. Garcia Trillos:
Cubature method to solve BSDEs: Error expansion and complexity control. Math. Comput. 89(324): 1895-1932 (2020)
2010 – 2019
- 2016
- [j5]Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux:
A Backward Dual Representation for the Quantile Hedging of Bermudan Options. SIAM J. Financial Math. 7(1): 215-235 (2016) - [j4]Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov:
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. SIAM J. Financial Math. 7(1): 993-1021 (2016) - 2015
- [j3]Jean-François Chassagneux, Romuald Elie, Idris Kharroubi:
When terminal facelift enforces delta constraints. Finance Stochastics 19(2): 329-362 (2015) - [j2]Jean-François Chassagneux, Adrien Richou:
Numerical Stability Analysis of the Euler Scheme for BSDEs. SIAM J. Numer. Anal. 53(2): 1172-1193 (2015) - 2014
- [j1]Jean-François Chassagneux:
Linear Multistep Schemes for BSDEs. SIAM J. Numer. Anal. 52(6): 2815-2836 (2014)
Coauthor Index
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