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ELIE Romuald

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Associate professor

Romuald.ELIEping@dauphinepong.fr

Phone : 01 44 05 47 27

Office : N/A

Current Position - Status

Department of attachment : MIDO

Centre of Research : Mathématiques (CEREMADE)

Other activities and responsibilities

member of the Consultative Recrutement Comity of the CEREMADE

Former positions

Teaching Assistant, ENSAE, Paris

Education and qualification

Ph.D.

Mathématiques appliquées et applications (2006 - ENSAE)

Master (Search) specialty : Mathématiques de l'économie et de la finance (2002 - Paris 7)

Fields of teaching, research and professionnal competence

Fields of teaching

  • Quantitative Finance
  • Continuous stochastic processes
  • Probability
  • Numerical Methods in Finance

Fields of research

  • Probability
  • Mathematical Finance

Areas of Expertise

  • Backward Stochastic differential equations

Publications of ELIE Romuald

2013

Articles

  • Elie, Romuald ; Briand, Philippe . A simple constructive approach to quadratic BSDEs with or without delay. Stochastic Processes and their Applications. Volume 123. n° 8. 2013. pages 2921-2939. Elsevier. DOI http://dx.doi.org/10.1016/j.spa.2013.02.013.

2012

Articles

  • Bouchard, Bruno ; Elie, Romuald ; Moreau, Ludovic . A note on utility based pricing and asymptotic risk diversification. Mathematics and Financial Economics. Volume 6. n° 1. 2012. pages 59-74. Springer. DOI http://dx.doi.org/10.1007/s11579-011-0055-0.
  • Chassagneux, Jean-François ; Kharroubi, Idris ; Elie, Romuald . Discrete-time Approximation of Multidimensional BSDEs with oblique reflections. Annals of Applied Probability. Volume 22. n° 3. 2012. pages 971-1007. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/11-AAP771.

Working Papers

  • Reveillac, Anthony ; Elie, Romuald ; Bouchard, Bruno . BSDEs with weak terminal condition. Université Paris-Dauphine . 2012 .
  • Espinosa, Gilles-Edouard ; Elie, Romuald . Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift,. Université Paris-Dauphine . 2012 .

2011

Working Papers

  • Kharroubi, Idris ; Elie, Romuald . Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections. Université Paris-Dauphine . 2011 .
  • Espinosa, Gilles-Edouard ; Elie, Romuald . Optimal stopping of a mean reverting diffusion: minimizing the relative distance to the maximum. Université Paris-Dauphine . 2011 .
  • Kharroubi, Idris ; Elie, Romuald . BSDE representations for optimal switching problems with controlled volatility. Université Paris-Dauphine . 2011 .

2010

Articles

  • Elie, Romuald ; Kharroubi, Idris . Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities. Statistics & Probability Letters. Volume 80. n° 17-18. 2010. pages 1388-1396. Elsevier. DOI http://dx.doi.org/10.1016/j.spl.2010.05.003.
  • Elie, Romuald ; Imbert, Cyril ; Bouchard, Bruno . Optimal Control under Stochastic Target Constraints. SIAM Journal on Control and Optimization. Volume 48. n° 5. 2010. pages 3501-3531. SIAM. DOI http://dx.doi.org/10.1137/090757629.

2009

Articles

  • Bouchard, Bruno ; Elie, Romuald ; Touzi, Nizar . Stochastic target problems with controlled loss. SIAM Journal on Control and Optimization. Volume 48. n° 5. 2009. pages 3123-3150. SIAM. DOI http://dx.doi.org/10.1137/08073593X.
  • Elie, Romuald . Double Kernel Estimation of Sensitivities. Journal of Applied Probability. Volume 46. n° 3. 2009. pages 791-811. Applied Probability Trust. DOI http://dx.doi.org/10.1239/jap/1253279852.

Book chapters

  • Touzi, Nizar ; Elie, Romuald ; Bouchard, Bruno . Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs. Schachermayer, Walter; Runggaldier, Wolfgang J.; Albrecher, Hansjörg. Advanced Financial Modelling. . 2009. pages 91-124.

Conference Contributions

  • Elie, Romuald . Quantile hedging and optimal control under stochastic target constraints. Istanbul Workshop on Mathematical Finance. Istanbul. Turquie. 2009.

Working Papers

  • Elie, Romuald ; Kharroubi, Idris . Constrained Backward SDEs with Jumps: Application to Optimal Switching. Université Paris-Dauphine . 2009 .

2008

Articles

  • Touzi, Nizar ; Elie, Romuald . Optimal lifetime consumption and investment under a drawdown constraint. Finance and Stochastics. Volume 12. n° 3. 2008. pages 299-330. Springer. DOI http://dx.doi.org/10.1007/s00780-008-0066-8.
  • Bouchard, Bruno ; Elie, Romuald . Discrete-time approximation of decoupled Forward–Backward SDE with jumps. Stochastic Processes and their Applications. Volume 118. n° 1. 2008. pages 53-75. Elsevier. DOI http://dx.doi.org/10.1016/j.spa.2007.03.010.
  • Elie, Romuald . Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution Approach. Applied Mathematics and Optimization. Volume 58. n° 3. 2008. pages 411-431. Springer. DOI http://dx.doi.org/10.1007/s00245-008-9044-y.

2007

Articles

  • Touzi, Nizar ; Fermanian, Jean-David ; Elie, Romuald . Kernel estimation of Greek weights by parameter randomization. Annals of Applied Probability. Volume 17. n° 4. 2007. pages 1399 - 1423. DOI http://dx.doi.org/10.1214/105051607000000186.

FACULTY & RESEARCHER PROFILES