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Nicolas Privault

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This is information that was supplied by Nicolas Privault in registering through RePEc. If you are Nicolas Privault , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Nicolas
Middle Name:
Last Name: Privault
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RePEc Short-ID: ppr35

Email: [This author has chosen not to make the email address public]
Homepage: http://math.cityu.edu.hk/~nprivaul/
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Affiliation

Department of Mathematics, City University of Hong Kong
Homepage: http://www6.cityu.edu.hk/ma/
Location: Kowloon, Hong Kong

Works

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Working papers

  1. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
  2. Nicolas Privault & Anthony R\'eveillac, 2008. "SURE shrinkage of Gaussian paths and signal identification," Papers 0809.1516, arXiv.org, revised Feb 2009.

Articles

  1. Delphine David & Nicolas Privault, 2009. "Numerical computation of Theta in a jump-diffusion model by integration by parts," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(6), pages 727-735.
  2. Nicolas Privault & Anthony Réveillac, 2009. "Stein estimation of Poisson process intensities," Statistical Inference for Stochastic Processes, Springer, Springer, vol. 12(1), pages 37-53, February.
  3. Houdré, Christian & Privault, Nicolas, 2008. "Isoperimetric and related bounds on configuration spaces," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(14), pages 2154-2164, October.
  4. 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., World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 597-610.
  5. Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, Springer, vol. 8(2), pages 161-179, 05.
  6. 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.
  7. Privault, Nicolas, 2001. "Extended covariance identities and inequalities," Statistics & Probability Letters, Elsevier, Elsevier, vol. 55(3), pages 247-255, December.
  8. 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, Springer, vol. 4(4), pages 465-496.
  9. Privault, Nicolas, 1999. "Multiple stochastic integral expansions of arbitrary Poisson jump times functionals," Statistics & Probability Letters, Elsevier, Elsevier, vol. 43(2), pages 179-188, June.

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