LABORATOIRE J.A. DIEUDONNE

UMR CNRS-UNS N°7351

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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 K. Ebrahimi-Fard Quasi-shuffle algebras in non-commutative stochastic calculus. arXiv:2004.06945.

  • With Kurusch Ebrahimi-Fard, N. Tapia, L. Zambotti Wick polynomials in non-commutative probability. arXiv:2001.03808.

  • With A. Celestino, K. Ebrahimi-Fard, D. Perales Anaya Cumulant-cumulant relations in free probability theory from Magnus' expansion. Found. of Comput. Math. (to appear).

  • With Kurusch Ebrahimi-Fard, A group-theoretical approach to conditionally free cumulants. in Algebraic Combinatorics, Resurgence, Moulds and Applications (CARMA),F. Chapoton et al. eds, IRMA Lectures in Mathematics and Theoretical Physics Vol.31, (2020), 67-94.

  • With Kurusch Ebrahimi-Fard, Loic Foissy and Joachim Kock, Operads of (noncrossing) partitions, interacting bialgebras, and moment-cumulant relations. Advances in Mathematics 369 (2020) 107170.

  • With K. Ebrahimi-Fard, Shuffle group laws. Applications in free probability. Proc. London Math. Soc. Volume 119, Issue 3, September 2019, 814-840.

  • With C. Curry and K. Ebrahimi-Fard, On Non-commutative Stochastic Exponentials. In: Radu F., Kumar K., Berre I., Nordbotten J., Pop I. (eds) Numerical Mathematics and Advanced Applications ENUMATH 2017. ENUMATH 2017. Lecture Notes in Computational Science and Engineering, vol 126. Springer, Cham (2019).

  • With Kurusch Ebrahimi-Fard, Nikolas Tapia and Lorenzo Zambotti, Hopf-algebraic Deformations of Products and Wick Polynomials. International Mathematics Research Notices, rny269, pp. 1–36, 2018.

  • With K. Ebrahimi-Fard, Monotone, free, and boolean cumulants: a shuffle algebra approach. Advances in Mathematics 328 (2018) 112-132.

  • With S. El Kolei, Analysis, detection and correction of misspecified discrete time state space models. Journal of Computational and Applied Mathematics 333 (2018) 200-214.

  • 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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