Nicolas Privault

Personal Details

First Name:	Nicolas
Middle Name:
Last Name:	Privault
Suffix:
RePEc Short-ID:	ppr35
	[This author has chosen not to make the email address public]
	https://personal.ntu.edu.sg/nprivault/
	Division of Mathematical Sciences School of Physical and Mathematical Sciences Nanyang Technological University SPMS-MAS-05-43, 21 Nanyang Link Singapore 637371
	(65) 6513 7176

Affiliation

Nanyang Technological University

http://www.spms.ntu.edu.sg/mas/
Singapore

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.

   Cited by:

   1. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
   2. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.
      • Stéphane Loisel, 2007. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00397269, HAL.
      • Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
   3. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
   4. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.

Articles

1. Jiang Yu Nguwi & Nicolas Privault, 2023. "A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations," Partial Differential Equations and Applications, Springer, vol. 4(4), pages 1-20, August.

   Cited by:

   1. Ariel Neufeld & Philipp Schmocker & Sizhou Wu, 2024. "Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs," Papers 2405.05192, arXiv.org, revised Sep 2024.

2. Privault, Nicolas, 2021. "Recursive computation of the Hawkes cumulants," Statistics & Probability Letters, Elsevier, vol. 177(C).

   Cited by:

   1. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.

3. Privault, Nicolas & Wei, Xiao, 2018. "Fast Computation Of Risk Measures For Variable Annuities With Additional Earnings By Conditional Moment Matching," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 171-196, January.

   Cited by:

   1. Xiao Wei & Xingchi Gu, 2024. "Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities," Methodology and Computing in Applied Probability, Springer, vol. 26(2), pages 1-25, June.

4. Yue Liu & Nicolas Privault, 2018. "A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 369-384, March.

   Cited by:

   1. Yue Liu & Jijian Zhang & Xuhui Ding & Xiling Zhang, 2023. "Intervene in advance or passively? Analysis and application on congestion control of smart grid," Annals of Operations Research, Springer, vol. 320(2), pages 887-899, January.
   2. Liu, Yue & Sun, Huaping & Meng, Bo & Jin, Shunlin & Chen, Bin, 2023. "How to purchase carbon emission right optimally for energy-consuming enterprises? Analysis based on optimal stopping model," Energy Economics, Elsevier, vol. 124(C).
   3. Lesław Gajek & Marcin Rudź, 2020. "Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1507-1528, December.
   4. Liu, Yue & Tian, Lixin & Sun, Huaping & Zhang, Xiling & Kong, Chuimin, 2022. "Option pricing of carbon asset and its application in digital decision-making of carbon asset," Applied Energy, Elsevier, vol. 310(C).
   5. Yue Liu & Lixin Tian & Zhuyun Xie & Zaili Zhen & Huaping Sun, 2021. "Option to survive or surrender: carbon asset management and optimization in thermal power enterprises from China," Papers 2104.04729, arXiv.org.
   6. Yue Liu & Nicolas Privault, 2017. "Selling At The Ultimate Maximum In A Regime-Switching Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-27, May.
   7. Yue Liu & Aijun Yang & Jijian Zhang & Jingjing Yao, 2020. "An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 827-843, March.

5. Adrian Prayoga & Nicolas Privault, 2017. "Pricing CIR Yield Options by Conditional Moment Matching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(1), pages 19-38, March.

   Cited by:

   1. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
      • F. Antonelli & A. Ramponi & S. Scarlatti, 2021. "CVA and vulnerable options pricing by correlation expansions," Annals of Operations Research, Springer, vol. 299(1), pages 401-427, April.

6. Yue Liu & Nicolas Privault, 2017. "Selling At The Ultimate Maximum In A Regime-Switching Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-27, May.

   Cited by:

   1. Liu, Yue & Sun, Huaping & Meng, Bo & Jin, Shunlin & Chen, Bin, 2023. "How to purchase carbon emission right optimally for energy-consuming enterprises? Analysis based on optimal stopping model," Energy Economics, Elsevier, vol. 124(C).
   2. Liu, Yue & Sun, Huaping & Zhang, Jijian & Taghizadeh-Hesary, Farhad, 2020. "Detection of volatility regime-switching for crude oil price modeling and forecasting," Resources Policy, Elsevier, vol. 69(C).
   3. Yue Liu & Aijun Yang & Jijian Zhang & Jingjing Yao, 2020. "An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 827-843, March.
   4. Yue Liu & Nicolas Privault, 2018. "A Recursive Algorithm for Selling at the Ultimate Maximum in Regime-Switching Models," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 369-384, March.

7. Nengli Lim & Nicolas Privault, 2016. "Analytic bond pricing for short rate dynamics evolving on matrix Lie groups," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 119-129, January.

   Cited by:

   1. Zura Kakushadze, 2015. "Coping with Negative Short-Rates," Papers 1502.06074, arXiv.org, revised Aug 2015.
   2. Biagini, Francesca & Zhang, Yinglin, 2016. "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 114-129.
   3. Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.

8. Kızıldemir, Bünyamin & Privault, Nicolas, 2015. "Supermodular ordering of Poisson arrays," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 136-143.

   Cited by:

   1. Chung, D. & Linton, O. & Whang Y-J., 2021. "Consistent Testing for an Implication of Supermodular Dominance," Cambridge Working Papers in Economics 2134, Faculty of Economics, University of Cambridge.

9. Nicolas Privault & Wayne Isaac Uy, 2013. "Monte Carlo Computation of the Laplace Transform of Exponential Brownian Functionals," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 511-524, September.

   Cited by:

   1. Dan Pirjol & Lingjiong Zhu, 2023. "Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion," Papers 2306.09084, arXiv.org.

10. Nicolas Privault & Anthony Réveillac, 2009. "Stein estimation of Poisson process intensities," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 37-53, February.

    Cited by:

    1. Musta, Eni & Pratelli, Maurizio & Trevisan, Dario, 2017. "Functional Cramér–Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 135-146.

11. Jean-Christophe Breton & Nicolas Privault, 2008. "Bounds On Option Prices In Point Process Diffusion Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 597-610.

    Cited by:

    1. Breton, Jean-Christophe & Privault, Nicolas, 2024. "Wasserstein distance estimates for jump-diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 172(C).

12. Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.

    Cited by:

    1. Hyungbin Park, 2018. "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, vol. 22(4), pages 773-825, October.
    2. Barbara Forster & Eva Luetkebohmert & Josef Teichmann, 2005. "Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance," Papers math/0509016, arXiv.org, revised Oct 2008.
    3. Reiichiro Kawai, 2012. "Likelihood ratio gradient estimation for Meixner distribution and Lévy processes," Computational Statistics, Springer, vol. 27(4), pages 739-755, December.
    4. Privault, Nicolas & Wei, Xiao, 2004. "A Malliavin calculus approach to sensitivity analysis in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 679-690, December.
    5. Anastasis Kratsios, 2019. "Partial Uncertainty and Applications to Risk-Averse Valuation," Papers 1909.13610, arXiv.org, revised Oct 2019.
    6. Masafumi Hayashi, 2010. "Coefficients of Asymptotic Expansions of SDE with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 373-389, December.
    7. El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011. "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper 30596, University Library of Munich, Germany.
    8. Anselm Hudde & Ludger Rüschendorf, 2023. "European and Asian Greeks for Exponential Lévy Processes," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
    9. Yeliz Yolcu-Okur & Tilman Sayer & Bilgi Yilmaz & B. Alper Inkaya, 2018. "Computation of the Delta of European options under stochastic volatility models," Computational Management Science, Springer, vol. 15(2), pages 213-237, June.
    10. Bilgi Yilmaz, 2018. "Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus," Papers 1806.06061, arXiv.org.
    11. El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
    12. Kawai, Reiichiro & Takeuchi, Atsushi, 2010. "Sensitivity analysis for averaged asset price dynamics with gamma processes," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 42-49, January.
    13. Atsushi Takeuchi, 2010. "Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps," Journal of Theoretical Probability, Springer, vol. 23(2), pages 576-604, June.
    14. Davis, Mark H.A. & Johansson, Martin P., 2006. "Malliavin Monte Carlo Greeks for jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 101-129, January.
    15. Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org.

13. Privault, Nicolas & Wei, Xiao, 2004. "A Malliavin calculus approach to sensitivity analysis in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 679-690, December.

    Cited by:

    1. Chao Yu & Yuhan Cheng, 2023. "Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider," Mathematics, MDPI, vol. 11(20), pages 1-38, October.

14. Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault, 2000. "White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance," Finance and Stochastics, Springer, vol. 4(4), pages 465-496.

    Cited by:

    1. Bernt Øksendal & Agnès Sulem, 2014. "Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 22-55, April.
    2. Aase, Knut K, 2005. "Using Option Pricing Theory to Infer About Historical Equity Premiums," University of California at Los Angeles, Anderson Graduate School of Management qt3dd602j5, Anderson Graduate School of Management, UCLA.
    3. Aase, Knut K., 2005. "The perpetual American put option for jump-diffusions with applications," Discussion Papers 2005/12, Norwegian School of Economics, Department of Business and Management Science.
       • Aase, Knut K, 2005. "The perpetual American put option for jump-diffusions with applications," University of California at Los Angeles, Anderson Graduate School of Management qt31g898nz, Anderson Graduate School of Management, UCLA.
    4. Aase, Knut K., 2004. "The perpetual American put option for jump-diffusions: Implications for equity premiums," Discussion Papers 2004/19, Norwegian School of Economics, Department of Business and Management Science.
    5. Hu, Yaozhong & Øksendal, Bernt, 2019. "Linear Volterra backward stochastic integral equations," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 626-633.
    6. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
       • N. Naguez & Jean-Luc Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Post-Print hal-03679701, HAL.
       • Naceur Naguez & Jean-Luc Prigent, 2014. "Optimal Portfolio Positioning within Generalized Johnson Distributions," Working Papers 2014-336, Department of Research, Ipag Business School.
    7. Claudio Fontana & Bernt {O}ksendal & Agn`es Sulem, 2013. "Market viability and martingale measures under partial information," Papers 1302.4254, arXiv.org, revised Oct 2013.
    8. El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011. "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper 30596, University Library of Munich, Germany.
    9. Masahiro Handa & Noriyoshi Sakuma & Ryoichi Suzuki, 2024. "A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization," Annals of Finance, Springer, vol. 20(3), pages 329-352, September.
    10. Wei Chen, 2013. "Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty," Papers 1306.4070, arXiv.org.
    11. Bernt Oksendal & Agnès Sulem, 2011. "Portfolio optimization under model uncertainty and BSDE games," Working Papers inria-00570532, HAL.
    12. Suzuki, Ryoichi, 2018. "Malliavin differentiability of indicator functions on canonical Lévy spaces," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 183-190.
    13. Peng, Xingchun & Chen, Fenge & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 222-234.
    14. Bernt {O}ksendal & Elin R{o}se, 2015. "A white noise approach to insider trading," Papers 1508.06376, arXiv.org.
    15. Haug, Jorgen, 2001. "Explicit characterizations of financial prices with history-dependent utility," Journal of Mathematical Economics, Elsevier, vol. 36(4), pages 337-356, December.
    16. Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
    17. Takafumi Amaba, 2014. "A Discrete-Time Clark-Ocone Formula for Poisson Functionals," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 97-120, May.
    18. Nacira Agram & Bernt Øksendal, 2015. "Malliavin Calculus and Optimal Control of Stochastic Volterra Equations," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 1070-1094, December.
    19. Olfa Draouil & Bernt {O}ksendal, 2018. "Viable Insider Markets," Papers 1801.03720, arXiv.org.
    20. Leão, Dorival & Ohashi, Alberto, 2010. "Weak Approximations for Wiener Functionals," Insper Working Papers wpe_215, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    21. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
        • Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
    22. Aase, Knut K., 2005. "Using Option Pricing Theory to Infer About Equity Premiums," Discussion Papers 2005/11, Norwegian School of Economics, Department of Business and Management Science.
    23. Hans‐Peter Bermin, 2003. "Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 73-84, January.

15. Privault, Nicolas, 1999. "Multiple stochastic integral expansions of arbitrary Poisson jump times functionals," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 179-188, June.

    Cited by:

    1. Privault, Nicolas, 2001. "Extended covariance identities and inequalities," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 247-255, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ECM: Econometrics (2) 2008-01-12 2009-07-17
2. NEP-RMG: Risk Management (2) 2013-04-27 2022-03-07
3. NEP-CMP: Computational Economics (1) 2022-03-07
4. NEP-CWA: Central and Western Asia (1) 2022-03-07
5. NEP-FMK: Financial Markets (1) 2013-04-27

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