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This webpage presents a selected series of articles related to the use of particle methods in Mathematical finance, including

- Option pricing & Portfolio optimization
- Risk analysis
- Filtering and hidden Markov models
- Stochastic Sampling Models and Methods
- Econometrics

**R. Carmona, P. Del Moral, P. Hu, N. Oudjane. Numerical Methods in Finance. Springer New York, Series : Proceeding in Mathematics, (460p.) (to appear 2012).**

The software BIIPS is a general software developed by the INRIA team ALEA for bayesian inference with interacting particle systems, a.k.a. Sequential Monte Carlo methods. A demonstration of the BiiPS software for estimating the stochastic volatility of financial data can be found in

(Jantine Koebrugge, Ph.D. University of Twente, Enschede, The Netherlands 2011)

Springer New York, Series : Proceeding in Mathematics, (to appear 2012).

Foundations and Trends in Machine Learning, Vol. 3, No. 3 - 4, 225-389 (2012). (online article, 167 pages)

SIAM Journal on Financial Mathematics, vol.2, 587-626 (2011).

Numerical Methods in Finance (28p.). Springer New York, Series : Proceeding in Mathematics, (to appear 2012).