BOUCHARD Bruno - Université Paris Dauphine

BOUCHARD Bruno
Professeur des universités
[email protected]
Tél : 01 44 05 44 05
Bureau : B514
Site web : Site web
Poste actuel et responsabilités à Dauphine
Responsable d'un programme de formation : M2 MIDO/MAMD/MATH. DE L'ASSURANCE DE L'ECON. & DE LA FINANCE
Département de rattachement : MIDO
Centre de recherche de rattachement : Mathématiques (CEREMADE)
Responsable éditorial d'une revue :
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Finance and Stochastics
Formation et qualification
HDR
Mathématiques appliquées et applications (2006 - Pierre et Marie Curie)
Doctorat
Mathématiques appliquées et applications (2000 - Paris-Dauphine)
Master (Recherche) spécialité : BFA (1997 - Paris-Dauphine)
Curriculum vitae : BOUCHARD Bruno
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Domaine d'enseignement, de recherche et d'expertise professionnelle
Domaines d'enseignements
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Mathématiques
Mathématiques financières
Mathématiques appliquées à l'économie
Contrôle Stochastique
Probabilités Numériques
Domaines de recherche
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Mathématiques appliquées et applications
Probabilités
Contrôle stochastique
Probabilités numériques
Domaines d'expertise
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Contrôle stochastique
Finance Mathématique
Probabilités numériques
Encadrement doctoral
Nombre de thèses encadrées et soutenues : 6
Nombre de thèses encadrées en cours : 2
Curriculum vitae : BOUCHARD Bruno
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Publications de Bruno BOUCHARD
2014
Articles
Réveillac, Anthony ; Elie, Romuald ; Bouchard, Bruno . BSDEs with weak terminal condition. . 2014. pages 39. Université
Paris-Dauphine.
● Nutz, Marcel ; Moreau, Ludovic ; Bouchard, Bruno . Stochastic Target Games with Controlled Loss. Annals of Applied
Probability. Volume 24. n° 3. 2014. pages 899-934. Institute of Mathematical Statistics. DOI
http://dx.doi.org/10.1214/13-AAP938.
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Documents de travail
Biagini, Sara ; Bouchard, Bruno ; Kardaras, Constantinos ; Nutz, Marcel . Robust Fundamental Theorem for Continuous
Processes. Universtié Paris-Dauphine . 2014 .
● Bouchard, Bruno ; Chassagneux, Jean-François ; Bouveret, Géraldine . A backward dual representation for the quantile
hedging of Bermudan options. Université Paris-Dauphine . 2014 .
● Bouchard, Bruno ; Elie, Romuald ; Moreau, Ludovic . Regularity of BSDEs with a convex constraint on the gains-process.
Universtié Paris-Dauphine . 2014 .
● Nutz, Marcel ; Bouchard, Bruno . Consistent Price Systems under Model Uncertainty. Universtié Paris-Dauphine . 2014 .
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Ouvrages
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Chassagneux, Jean-François ; Bouchard, Bruno . Valorisation des produits dérivés: des théorèmes fondamentaux à la
couverture sous contrainte de risque. . Economica . 2014 . pages 304 . ISBN 978-2-7178-6674-2 .
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.
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Documents de travail
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Soner, Mete H. ; Moreau, Ludovic ; Bouchard, Bruno . Hedging under an expected loss constraint with small transaction costs.
Curriculum vitae : BOUCHARD Bruno
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Nutz, Marcel ; Bouchard, Bruno . Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions. U
Gobet, Emmanuel ; Geiss, Stefan ; Bouchard, Bruno . First time to exit of a continuous It^{o} process: general moment estimat
discrete time approximations. Univeristé Paris - Dauphine . 2013 .
● Nutz, Marcel ; Bouchard, Bruno . Arbitrage and Duality in Nondominated Discrete-Time Models. Université Paris-Dauphine . 2
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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 526-558. 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.
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Chapitres d'ouvrage
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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.
2011
Articles
Bouchard, Bruno ; Dang, Ngoc Minh ; Lehalle, Charles-Albert . Optimal Control of Trading Algorithms: A General Impulse
Control Approach. SIAM Journal on Financial Mathematics. Volume 2. n° 1. 2011. pages 404-438. SIAM. DOI
http://dx.doi.org/10.1137/090777293.
● 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.
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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.
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Chapitres d'ouvrage
Curriculum vitae : BOUCHARD Bruno
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Bouchard, Bruno ; Jouini, Elyès . Transaction costs in financial model. Cont, Rama. Encyclopedia of Quantitative Finance. .
2010.
Communications / Conférences
Bouchard, Bruno . Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk
Management and Risk Sharing. MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing. Vancouver.
Canada. 2010.
● 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.
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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. DOI
http://dx.doi.org/10.1214/EJP.v14-625.
● 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. 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.
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Chapitres d'ouvrage
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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.
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2008
Articles
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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.
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2007
Articles
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Bouchard, Bruno ; Ben Tahar, 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 ; Ben Tahar, 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.
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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.
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2004
Articles
Curriculum vitae : BOUCHARD Bruno
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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 Differentia
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.
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2003
Articles
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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.
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2001
Articles
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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
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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
Curriculum vitae : BOUCHARD Bruno
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Bouchard, Bruno . Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis.
Université Paris-Dauphine . 2000 .

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