LABORATOIRE J.A. DIEUDONNE

UMR CNRS-UNS N°7351

FREDERIC PATRAS

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THEMES DE RECHERCHE / RESEARCH THEMES

    • Evénements extrêmes / extreme events 
    • Méthodes numériques (particules en interaction) / Numerical methods (interacting particle systems)
    • Processus stochastiques / Stochastic processes
    • Théorie du risque (risque de crédit, risque de modèle..) / Risks (credit risk, model risk...)


LIVRE / BOOK

  • Credit Risk Frontiers. D. Brigo, T. Bielecki, F. Patras (Eds.), Wiley--Bloomberg Press, 2011.

    ARTICLES

  • With Kurusch Ebrahimi-Fard, Nikolas Tapia, Lorenzo Zambotti, A Hopf-algebraic approach to cumulants-moments relations and Wick polynomials. arXiv:1710.00735.

  • With K. Ebrahimi-Fard, Shuffle group laws. Applications in free probability. arXiv:1704.04942.

  • With K. Ebrahimi-Fard, Monotone, free, and boolean cumulants: a shuffle algebra approach . arXiv:1701.06152.

  • With S. El Kolei, Analysis, detection and correction of misspecified discrete time state space models. Journal of Computational and Applied Mathematics (to appear).

  • With K. Ebrahimi-Fard and R. Speicher, Epsilon-noncrossing partitions and cumulants in free probability. International Mathematics Research Notices, Mai 2017, rnx098

  • With P. Del Moral and R. Kohn, On Feynman-Kac and particle Markov chain Monte Carlo models. Annales de l’Institut Henri Poincaré - Probabilités et Statistiques. 2016, Vol. 52, No. 4, 1687–1733.

  • With K. Ebrahimi-Fard, S.J.A. Malham and A. Wiese, The exponential Lie series for continuous semimartingales. Proc. R. Soc. A 2015 471 20150429.

  • With K. Ebrahimi-Fard, S.J.A. Malham and A. Wiese, Flows and stochastic Taylor series in Ito calculus. J. Phys. A: Math. Theor. 48 (2015) 495202.

  • With K. Ebrahimi-Fard, The splitting process in free probability theory. International Mathematics Research Notices 2015; doi: 10.1093/imrn/rnv209.

  • With P. Del Moral and R. Kohn, A duality formula for Feynman-Kac particle models. C. R. Acad. Sci. Paris, Ser. I 353 (2015) 465–469

  • With K. Ebrahimi-Fard, Cumulants, free cumulants and half-shuffles. Proceedings of the Royal Society of London A: Mathematical, Physical and Engineering Sciences Vol. 471, No. 2176, (2015) p. 20140843.

  • With Pierre Cohort and Pierre-Emmanuel Levy dit Vehel, Toward model value-at-risk: bespoke CDO tranches, a case study. The Journal of Risk Model Validation: Volume 7/Number 3, Fall 2013.

  • With P. Del Moral and S. Rubenthaler. A mean field theory of nonlinear filtering. Crisan, Dan (ed.) et al., The Oxford handbook of nonlinear filtering. Oxford: Oxford University Press. 705-740 (2011).

  • With P. Del Moral and S. Rubenthaler. Convergence of U-statistics for interacting particle systems. J Theor Probab (2011) 24:1002–1027.

  • With P. Del Moral. Interacting path systems for credit risk. "Credit Risk Frontiers". D. Brigo, T. Bielecki, F. Patras Eds. Wiley--Bloomberg Press, (2011), 649--674. Short announcement available as Interacting path systems for credit portfolios risk analysis. INRIA:RR-7196

  • With Ch. Blanchet-Scalliet. Structural counterparty risk valuation for CDS. "Credit Risk Frontiers". D. Brigo, T. Bielecki, F. Patras Eds. Wiley--Bloomberg Press, (2011), 437--456.

  • With P. Del Moral, L. Miclo and S. Rubenthaler. The convergence to equilibrium of neutral genetic models . Stochastic Analysis and Applications Vol 28 (1), (2010), 123--143.

  • With P. Del Moral and S. Rubenthaler. Tree based functional expansions for Feynman-Kac particle models . Annals of Applied Probability Vol. 19, No. 2, 778–825 (2009)

  • With Jean-Pierre Lardy and Francois-Xavier Vialard. Correlation, CDOs of ABS and the subprime crisis, in: Financial Risks: New Developments in Structured Product and Credit Derivatives. Eds: Christian Gourieroux and Monique Jeanblanc, Economica (2009) 7-16.

  • A reflection principle for correlated defaults. Stochastic Processes Appl. 116, (4) , (2006), 690-698.

  • Corrélation et défauts: évaluation de first-to-default swaps dans un modèle multi-name à la Lardy-Finkelstein. Banque et Marchés, 80 (2006), 1-5.



    CONFERENCES COORGANISEES RECEMMENT


    RECENT ADVANCEMENTS IN THE THEORY AND PRACTICE OF CREDIT DERIVATIVES. Conference in NICE, September 28-30, 2009



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