Jean-François Chassagneux

According to our database, Jean-François Chassagneux authored at least 13 papers between 2014 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Computing the invariant distribution of McKean-Vlasov SDEs by ergodic simulation.

Jean-François Chassagneux, Gilles Pagès

CoRR, 2024

2023

Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs.

Jean-François Chassagneux, Hinesh Chotai, Dan Crisan

Math. Oper. Res., February, 2023

2022

Numerical approximation of singular forward-backward SDEs.

Jean-François Chassagneux, Mohan Yang

J. Comput. Phys., 2022

Deep Runge-Kutta schemes for BSDEs.

Jean-François Chassagneux, Junchao Chen, Noufel Frikha

CoRR, 2022

Convergence of particles and tree based scheme for singular FBSDEs.

Jean-François Chassagneux, Mohan Yang

CoRR, 2022

2021

A Numerical Scheme for the Quantile Hedging Problem.

Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger

SIAM J. Financial Math., 2021

A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs.

Jean-François Chassagneux, Junchao Chen, Noufel Frikha, Chao Zhou

CoRR, 2021

2020

Cubature method to solve BSDEs: Error expansion and complexity control.

Jean-François Chassagneux, Camilo A. Garcia Trillos

Math. Comput., 2020

2016

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients.

Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov

SIAM J. Financial Math., 2016

A Backward Dual Representation for the Quantile Hedging of Bermudan Options.

Bruno Bouchard, Géraldine Bouveret, Jean-François Chassagneux

SIAM J. Financial Math., 2016

2015

Numerical Stability Analysis of the Euler Scheme for BSDEs.

Jean-François Chassagneux, Adrien Richou

SIAM J. Numer. Anal., 2015

When terminal facelift enforces delta constraints.

Jean-François Chassagneux, Romuald Elie, Idris Kharroubi

Finance Stochastics, 2015

2014

Linear Multistep Schemes for BSDEs.

Jean-François Chassagneux

SIAM J. Numer. Anal., 2014