Publications (29)
No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Bruno Bouchard
Optimal inventory management and order book modeling
Nicolas Baradel, Bruno Bouchard, David Evangelista +1
Equilibrium Returns with Transaction Costs
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen +1
Consistent Price Systems under Model Uncertainty
Bruno Bouchard, Marcel Nutz
BSDEs with weak terminal condition
Bruno Bouchard, Romuald Elie, Anthony Réveillac
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
Bruno Bouchard, Emmanuel Lepinette, Erik Taflin
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
Bruno Bouchard, Huyên Pham
On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
Bruno Bouchard, Emmanuel Temam
Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard, Ludovic Moreau, Mete H. Soner
Arbitrage and duality in nondominated discrete-time models
Bruno Bouchard, Marcel Nutz
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
Bruno Bouchard, Marcel Nutz
Maturity randomization for stochastic control problems
Bruno Bouchard, Nicole El Karoui, Nizar Touzi
A backward dual representation for the quantile hedging of Bermudan options
Bruno Bouchard, Jean-François Chassagneux, Géraldine Bouveret
Numerical approximation of general Lipschitz BSDEs with branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin
A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan
Second order stochastic target problems with generalized market impact
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner +1
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
Bruno Bouchard, Ki Chau, Arij Manai +1
Super-replication with proportional transaction cost under model uncertainty
Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
Robust Fundamental Theorem for Continuous Processes
Sara Biagini, Bruno Bouchard, Constantinos Kardaras +1
BSDE formulation of combined regular and singular stochastic control problems
Bruno Bouchard, Patrick Cheridito, Ying Hu
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing
Bruno Bouchard
Stochastic invariance of closed sets with non-Lipschitz coefficients
Eduardo Abi Jaber, Bruno Bouchard, Camille Illand +1
First time to exit of a continuous Itô process: general moment estimates and L1-convergence rate for discrete time approximations
Bruno Bouchard, Stefan Geiss, Emmanuel Gobet
Strong Approximations of BSDEs in a domain
Bruno Bouchard, Stephane Menozzi
Quenched mass transport of particles towards a target
Bruno Bouchard, Boualem Djehiche, Idris Kharroubi
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Imen Bentahar, Bruno Bouchard
Stochastic target games with controlled loss
Bruno Bouchard, Ludovic Moreau, Marcel Nutz
No-arbitrage of second kind in countable markets with proportional transaction costs
Bruno Bouchard, Erik Taflin