P. Henry-Labordère

发表

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

M. Beiglböck, P. Henry-Labordère, F. Penkner, 2011, Finance and Stochastics.

A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options

A. Galichon, N. Touzi, P. Henry-Labordère, 2014, 1401.3921.

A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options

Nizar Touzi, Pierre Henry-Labordere, Alfred Galichon, 2013, 1401.3921.

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing

P. Henry-Labordère, 2008 .

Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach

P. Henry-Labordère, 2009 .

A General Asymptotic Implied Volatility for Stochastic Volatility Models

P. Henry-Labordère, 2005, cond-mat/0504317.

Model-free Hedging: A Martingale Optimal Transport Viewpoint

Pierre Henry-Labordere, P. Henry-Labordère, 2020 .

The maximum maximum of a martingale with given $\mathbf{n}$ marginals

N. Touzi, P. Henry-Labordère, Jan Obl'oj, 2012, 1203.6877.

Monotone martingale transport plans and Skorokhod embedding

Nizar Touzi, Pierre Henry-Labordere, Mathias Beiglboeck, 2017 .

Automated Option Pricing: Numerical Methods

Pierre Henry-Labordere, P. Henry-Labordère, 2011 .

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

P. Henry-Labordère, S. De Marco, 2013 .

Uncertain Volatility Model: A Monte-Carlo Approach

Pierre Henry-Labordere, Julien Guyon, P. Henry-Labordère, 2010 .

Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

Nadia Oudjane, Xiaolu Tan, Nizar Touzi, 2016, Annales de l'Institut Henri Poincaré, Probabilités et Statistiques.

A numerical algorithm for a class of BSDEs via branching process

Xiaolu Tan, Nizar Touzi, Pierre Henry-Labordere, 2013 .

Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry

P. Henry-Labordère, 2006, physics/0602102.

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint

Xiaolu Tan, N. Touzi, P. Henry-Labordère, 2016 .

Symmetries In M Theory: Monsters, Inc.

P. Henry-Labordère, B. Julia, L. Paulot, 2003, hep-th/0303178.

An Explicit Martingale Version of Brenier's Theorem

N. Touzi, P. Henry-Labordère, 2013, 1302.4854.

Real borcherds superalgebras and M-theory

P. Henry-Labordère, B. Julia, L. Paulot, 2002, hep-th/0212346.

Borcherds symmetries in M theory

P. Henry-Labordère, B. Julia, L. Paulot, 2002, hep-th/0203070.

Gravitational couplings of orientifold planes

P. Henry-Labordère, B. Julia, 2001, hep-th/0112065.

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

Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner, 2011, Finance Stochastics.

Solvable local and stochastic volatility models: supersymmetric methods in option pricing

Pierre Henry-Labordere, P. Henry-Labordère, 2005, cond-mat/0511028.

Pricing Bermudan options using regression trees/random forests

Pierre Henry-Labordere, Zineb El Filali Ech-Chafiq, J'erome Lelong, 2021, SSRN Electronic Journal.

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Pierre Henry-Labordere, P. Henry-Labordère, 2012, 1203.2369.

Field theory insight from the AdS/CFT correspondence

P. Henry-Labordère, D. Freedman, 2000, hep-th/0011086.

Insight into field theory from the AdS-CFT correspondence

P. Henry-Labordère, D. Freedman, 2000 .

Some Results on Skorokhod Embedding and Robust Hedging with Local Time

Gaoyue Guo, P. Henry-Labordère, J. Claisse, 2017, Journal of Optimization Theory and Applications.

Some Results on Skorokhod Embedding and Robust Hedging with Local Time

Gaoyue Guo, P. Henry-Labordère, J. Claisse, 2015, J. Optim. Theory Appl..

Robust Hedging of Options on Local Time

Gaoyue Guo, P. Henry-Labordère, J. Claisse, 2015 .

Maximum Maximum of Martingales Given Marginals

Nizar Touzi, Pierre Henry-Labordere, Jan Obłój, 2013 .

Generative Modeling for Time Series Via Schrödinger Bridge

H. Pham, P. Henry-Labordère, Mohamed Hamdouche, 2023, SSRN Electronic Journal.

From (Martingale) Schrodinger Bridges to a New Class of Stochastic Volatility Model

P. Henry-Labordère, 2019, SSRN Electronic Journal.

(Martingale) Optimal Transport and Anomaly Detection with Neural Networks: A Primal-Dual Algorithm

Pierre Henry-Labordere, P. Henry-Labordère, 2019, SSRN Electronic Journal.

Nonlinear Option Pricing

Julien Guyon, Pierre Henry-Labordère, P. Henry-Labordère, 2013 .

Unbiased simulation of stochastic differential equations

Xiaolu Tan, Nizar Touzi, Pierre Henry-Labordere, 2015, 1504.06107.

Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation

Pierre Henry-Labordere, Nizar Touzi SOCIETE GENERALE, CMAP, 2018, The Annals of Applied Probability.

An explicit martingale version of the one-dimensional Brenier theorem

Nizar Touzi, Pierre Henry-Labordère, N. Touzi, 2016, Finance Stochastics.

Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM

Pierre Henry-Labordere, P. Henry-Labordère, 2017 .

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

Zhenjie Ren, Christian Litterer, Pierre Henry-Labordère, 2015, SIAM J. Financial Math..

Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry

P. Henry-Labordère, 2006, physics/0602102.

The Smile Calibration Problem Solved

Pierre Henry-Labordere, Julien Guyon, P. Henry-Labordère, 2011 .

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

Stefano De Marco, Pierre Henry-Labordère, P. Henry-Labordère, 2013, SIAM J. Financial Math..