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Nicolas Privault

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
RePEc Short-ID:ppr35
[This author has chosen not to make the email address public]
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
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  1. Nicolas Privault & Timothy Robin Teng, 2013. "Hedging in bond markets by the Clark-Ocone formula," Papers 1304.6165,
  2. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
  3. Nicolas Privault & Anthony R\'eveillac, 2008. "SURE shrinkage of Gaussian paths and signal identification," Papers 0809.1516,, revised Feb 2009.
  1. Privault, Nicolas & She, Qihao, 2017. "Conditional Stein approximation for Itô and Skorohod integrals," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 1-7.
  2. Privault, Nicolas & Yang, Xiangfeng & Zambrini, Jean-Claude, 2016. "Large deviations for Bernstein bridges," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1285-1305.
  3. 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.
  4. Kızıldemir, Bünyamin & Privault, Nicolas, 2015. "Supermodular ordering of Poisson arrays," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 136-143.
  5. Nicolas Privault & Anthony Réveillac, 2009. "Stein estimation of Poisson process intensities," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 37-53, February.
  6. Delphine David & Nicolas Privault, 2009. "Numerical computation of Theta in a jump-diffusion model by integration by parts," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 727-735.
  7. 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.
  8. Houdré, Christian & Privault, Nicolas, 2008. "Isoperimetric and related bounds on configuration spaces," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2154-2164, October.
  9. 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, 05.
  10. 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.
  11. Privault, Nicolas, 2001. "Extended covariance identities and inequalities," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 247-255, December.
  12. 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.
  13. Privault, Nicolas, 1999. "Multiple stochastic integral expansions of arbitrary Poisson jump times functionals," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 179-188, June.
    RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:597-610 is not listed on IDEAS
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 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) 2009-07-17 2013-04-27
  3. NEP-FMK: Financial Markets (1) 2013-04-27
  4. NEP-IAS: Insurance Economics (1) 2009-07-17

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