2013

Articles

• Bouchard, Bruno ; Nguyen Huu, Adrien . No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs. Mathematical Finance. Volume 23. n° 2. 2013. pages 366-386. Wiley. DOI http://dx.doi.org/10.1111/j.1467-9965.2011.00493.x.
• Bouchard, Bruno ; Dang, Ngoc Minh . Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation. Finance and Stochastics. Volume 17. n° 1. 2013. pages 31-72. Springer. DOI http://dx.doi.org/10.1007/s00780-012-0198-8.

Documents de travail

• Nutz, Marcel ; Bouchard, Bruno . Arbitrage and Duality in Nondominated Discrete-Time Models. Université Paris-Dauphine . 2013 .
• Taflin, Erik ; Lépinette, Emmanuel ; Bouchard, Bruno . Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs. Université Paris-Dauphine . 2013 .

2012

Articles

• Bouchard, Bruno ; Vu, Thanh Nam . A stochastic target approach for P&L matching problems. Mathematics of Operations Research. Volume 37. n° 3. 2012. pages 40. Informs. DOI http://dx.doi.org/10.1287/moor.1120.0549.
• Bouchard, Bruno ; Dang, Ngoc Minh . Optimal Control versus Stochastic Target problems: An Equivalence Result. Systems & Control Letters. Volume 61. n° 2. 2012. pages 343-346. DOI http://dx.doi.org/10.1016/j.sysconle.2011.11.010.
• 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.

Chapitres d'ouvrage

• Warin, Xavier ; Bouchard, Bruno . Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods. Del Moral, Pierre; Oudjane, Nadia; Carmona, Rene A.; Hu, Peng. Numerical Methods in Finance. Berlin. 2012. pages 215-255.

Documents de travail

• Reveillac, Anthony ; Elie, Romuald ; Bouchard, Bruno . BSDEs with weak terminal condition. Université Paris-Dauphine . 2012 .
• Nutz, Marcel ; Moreau, Ludovic ; Bouchard, Bruno . Stochastic Target Games with Controlled Loss. Université Paris-Dauphine . 2012 .

2011

Articles

• Bouchard, Bruno ; Touzi, Nizar . Weak Dynamic Programming Principle for Viscosity Solutions. SIAM Journal on Control and Optimization. Volume 49. n° 3. 2011. SIAM. DOI http://dx.doi.org/10.1137/090752328.

2010

Articles

• Bouchard, Bruno ; Vu, Thanh Nam . The obstacle version of the Geometric Dynamic Programming Principle: Application to the pricing of American options under constraints. Applied Mathematics and Optimization. Volume 61. n° 2. 2010. pages 235-265. Springer. DOI http://dx.doi.org/10.1007/s00245-009-9084-y.
• 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.

Chapitres d'ouvrage

• Bouchard, Bruno ; Jouini, Elyès . Transaction costs in financial model. Cont, Rama. Encyclopedia of Quantitative Finance. . 2010.

Communications / Conférences

• Bouchard, Bruno ; Lehalle, Charles-Albert ; Dang, Ngoc Minh . Optimal control of trading algorithms: a general impulse control approach. 6th World Congress of the Bachelier Finance Society. Toronto. Canada. 2010.

2009

Articles

• Chassagneux, Jean-François ; Bouchard, Bruno . Representation of continuous linear forms on the set of ladlag processes and the pricing of American claims under proportional costs. Electronic Journal of Probability. Volume 14. n° paper numéro 24. 2009. pages 612-632. Department of Mathematics, University of Washington, Seattle, USA.
• 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.
• Bouchard, Bruno . A stochastic target formulation for optimal switching problems in finite horizon. Stochastics An International Journal of Probability and Stochastic Processes. Volume 81. n° 2. 2009. pages 171 - 197. Taylor & Francis. DOI http://dx.doi.org/10.1080/17442500802327360.
• Menozzi, Stéphane ; Bouchard, Bruno . Strong Approximations of BSDEs in a domain. Bernoulli Journal. Volume 15. n° 4. 2009. pages 1117-1147. Bernoulli Society. DOI http://dx.doi.org/10.3150/08-BEJ181.

Chapitres d'ouvrage

• 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.

Communications / Conférences

• Bouchard, Bruno . Weak Dynamic Programming Principle for Viscosity Solutions. Istanbul Workshop on Mathematical Finance. Istanbul. Turquie. 2009.
• Bouchard, Bruno . Optimal Control under Stochastic Target Constraints. Symposium on Optimal Stopping with Applications. Turku. Finlande. 2009.

2008

Articles

• Bouchard, Bruno . Optimal reflection of diffusions and barrier options pricing under constraints. SIAM Journal on Control and Optimization. Volume 47. n° 4. 2008. pages 1785–1813. Society for Industrial and Applied Mathematics. DOI http://dx.doi.org/10.1137/070697161.
• Chassagneux, Jean-François ; Bouchard, Bruno . Discrete time approximation for continuously and discretely reflected BSDE's. Stochastic Processes and their Applications. Volume 118. n° 12. 2008. pages 2269-2293. Elsevier. DOI http://dx.doi.org/10.1016/j.spa.2007.12.007.
• 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.

2007

Articles

• Bouchard, Bruno ; Bentahar, Imen . Explicit characterization of the super-replication strategy in financial markets with partial transaction costs. Stochastic Processes and their Applications. Volume 117. n° 5. 2007. pages 655-672. Elsevier. DOI http://dx.doi.org/10.1016/j.spa.2006.09.010.

2006

Articles

• Bouchard, Bruno ; Bentahar, Imen . Barrier option hedging under constraints: a viscosity approach. SIAM Journal on Control and Optimization. Volume 45. n° 5. 2006. pages 1846-1874. Society for Industrial and Applied Mathematics. DOI http://dx.doi.org/10.1137/06065324X.
• Bouchard, Bruno . No-arbitrage in discrete-time markets with proportional transaction costs and general information structure. Finance and Stochastics. Volume 10. n° 2. 2006. pages 276-297. Springer. DOI http://dx.doi.org/10.1007/s00780-006-0002-8.

2005

Articles

• Pham, Huyen ; Bouchard, Bruno . Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns. Annals of Applied Probability. Volume 15. n° 4. 2005. pages 2393-2421. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/105051605000000467.
• Bouchard, Bruno . A version of the G-conditionial bipolar theorem in L0(Rd;P). Journal of Theoretical Probability. Volume 18. n° 2. 2005. pages 439-467. Springer. DOI http://dx.doi.org/10.1007/s10959-005-3512-y.
• Temam, Emmanuel ; Bouchard, Bruno . On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs. Electronic Journal of Probability. Volume 10. n° 22. 2005. pages 746-760. Institute of Mathematical Statistics and the Bernoulli society..
• Touzi, Nizar ; Karoui, Nicole El ; Bouchard, Bruno . Maturity randomization for stochastic control problems. Annals of Applied Probability. Volume 15. n° 4. 2005. pages 2575-2605. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/105051605000000593.

2004

Articles

• Bouchard, Bruno ; Touzi, Nizar ; Ekeland, Ivar . On the Malliavin approach to Monte Carlo approximation of conditional expectations. Finance and Stochastics. Volume 8. n° 1. 2004. pages 45-71. Springer. DOI http://dx.doi.org/10.1007/s00780-003-0109-0.
• Zhegal, Amina ; Touzi, Nizar ; Bouchard, Bruno . Dual Formulation of the Utility Maximization Problem : the case of Nonsmooth Utility. Annals of Applied Probability. Volume 14. n° 2. 2004. pages 678-717. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/105051604000000062.
• Bouchard, Bruno ; Pham, Huyen . Wealth-Path Dependent Utility Maximization in Incomplete Markets. Finance and Stochastics. Volume 8. n° 4. 2004. pages 579-603. Springer. DOI http://dx.doi.org/10.1007/s00780-004-0125-8.
• Touzi, Nizar ; Bouchard, Bruno . Discrete-Time Approximation and Monte-Carlo Simulation of Backward Stochastic Differential Equations. Stochastic Processes and their Applications. Volume 111. n° 2. 2004. pages 175-206. Elsevier. DOI http://dx.doi.org/10.1016/j.spa.2004.01.001.

2003

Articles

• Bouchard, Bruno ; Mazliak, Laurent . A multidimensional bipolar theorem in L0(Rd;P). Stochastic Processes and their Applications. Volume 107. n° 2. 2003. pages 213-231. Elsevier. DOI http://dx.doi.org/10.1016/S0304-4149(03)00073-5.

2002

Articles

• Bouchard, Bruno . Utility Maximization on the Real Line under Proportional Transaction Costs. Finance and Stochastics. Volume 6. n° 4. 2002. pages 495-516. Springer. DOI http://dx.doi.org/10.1007/s007800200068.
• Bouchard, Bruno . Stochastic Target with Mixed diffusion processes. Stochastic Processes and their Applications. Volume 101. n° 2. 2002. pages 273-302. DOI http://dx.doi.org/10.1016/S0304-4149(02)00129-1.

2001

Articles

• Bouchard, Bruno ; Touzi, Nizar ; Kabanov, Yuri . Option pricing by large risk aversion utility under transaction costs. Decisions in economics and finance. Volume 24. n° 2. 2001. pages 127-136. Springer. DOI http://dx.doi.org/10.1007/s102030170003.

2000

Articles

• Bouchard, Bruno ; Touzi, Nizar . Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs. Annals of Applied Probability. Volume 10. n° 3. 2000. pages 685-708. Institute of Mathematical Statistics. DOI http://dx.doi.org/10.1214/aoap/1019487506.

Documents de travail

• Bouchard, Bruno . Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis. Université Paris-Dauphine . 2000 .