Scientific papers

Published or accepted papers

• "Continuous-time persuasion by filtering" (with R. Aïd, O. Bonesini and G. Callegaro). Journal of Economic Dynamics and Control, Vol. 176 (July 2025). Preprint on arXiv.

• "Coarse correlated equilibria for mean field games in open loop strategies" (with F. Cannerozzi and M. Fischer). Electronic Journal of Probability 29, 1-56 (2024). Preprint on arXiv. 

• "Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game" (with F. Cannerozzi and F. Cartellier). Applied Mathematics and Optimization, Vol. 91,  article number 8 (2025). Preprint on arXiv.

• "Correlated equilibria in mean field games with progressive strategies" (with O. Bonesini and M. Fischer). Published online in Mathematics of Operations Research (April 2024). Preprint on arXiv.

• "MFG with a long-lived penalty at random jump times: application to demand side management for electricity contracts" (with C. Alasseur, R. Dumitrescu, J. Zeng). Annals of Operations Research, Vol. 336, pages 541-569 (2024). Preprint on arXiv. 

• "Mean field games with absorption and common noise with a model of bank run" (with M. Burzoni). Stochastic Processes and Their Applications, Vol. 164 (October 2023). Preprint on arXiv.

• "A McKean-Vlasov game of commodity production, consumption and trading" (with R. Aïd, O. Bonesini and G. Callegaro). Applied Mathematics and Optimization, Vol. 86, 40 (2022). Preprint on arXiv.

• "Mean-field games of finite-fuel capacity expansion with singular controls" (with T. De Angelis, M. Ghio and G. Livieri). Annals of Applied Probability, Vol. 32, No. 5 (2022). Preprint on arXiv. 

• "Correlated equilibria and mean field games: a simple model" (with M. Fischer). Mathematics of Operations Research , Vol. 47, Issue 3 (August 2022). Preprint on arXiv.

• "An Impulse-Regime Switching Game Model of Vertical Competition" (with R. Aïd, L. Li and M. Ludkovski). Dynamic Games and Applications 11, 621-669 (published online on March 2021). Preprint on arXiv.

• "N-player games and mean-field games with smooth dependence on past absorptions" (with M. Ghio and G. Livieri). Annales de l'Institut Henri Poincaré, Vol. 57, No. 4 (November 2021). Preprint on arXiv.

• "Mean-field games with controlled jump-diffusion dynamics: existence results and an interbank illiquid market model" (with C. Benazzoli and L. Di Persio). Stochastic Processes and their Applications, Vol. 130, Issue 11 (November  2020). Preprint on arXiv.

• "Nonzero-sum stochastic differential games between an impulse controller and a stopper" (with D. De Santis). Journal of Optimization Theory and Applications, Vol. 186 (2020). Preprint on arXiv.

• "Optimal market-making under partial information with general intensities" (with D. Zabaljauregui). Applied Mathematical Finance, Vol. 27, Issue 1-2 (2020). Preprint on arXiv.

• "No-Arbitrage Commodity Option Pricing with Market Manipulation" (with R. Aïd and G. Callegaro). Mathematics and Financial Economics, Vol. 14, Issue 3 (April 2020). Preprint on arXiv. A correction to this article is available here.

• "Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications" (with R. Aïd, M. Basei, G. Callegaro and T. Vargiolu). Mathematics of Operations Research, Vol. 45, Issue 1 (February 2020). Preprint on arXiv.

• "ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps" (with C. Benazzoli and L. Di Persio). Statistics & Probability Letters, Vol. 154 (November 2019). Preprint on arXiv.

• "On the support of extremal martingale measures with given marginals: the countable case" (with C. Martini). Advances in Applied Probability, Vol. 51, Issue 2 (August 2019). Preprint on arXiv.

• "A note on the spot-forward no-arbitrage relations in a trading-production model for commodities" (with R. Aïd and D. Lautier). In: Handbook of Applied Econometrics: Financial Mathematics, Volatility and Covariance Modelling, Eds. J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji. Routledge Taylor and Francis (2019).

• "N-player games and mean-field games with absorption" (with M. Fischer). Annals of Applied Probability, Vol. 28, No. 4 (2018). Preprint on arXiv.

• "Utility indifference pricing and hedging for structured contracts in energy markets" (with G. Callegaro, V. Giusto and T. Vargiolu). Mathematical Methods of Operations Research, Vol. 85, Issue 2 (2017). Preprint on arXiv.

• "Change of numeraire in the two-marginals martingale transport problem" (with I. Laachir and C. Martini). Finance and Stochastics, Vol. 21, Issue 2 (2017). Preprint on arXiv. 

• "Utility indifference valuation for non-smooth payoffs with an application to power derivatives" (with G. Benedetti). Applied Mathematics and Optimization, Vol. 73, Issue 2 (2016). Preprint on arXiv.

• "A probabilistic numerical method for optimal multiple switching problem in high dimension" (with R. Aïd, N. Langrené and H. Pham). SIAM J. Financial Mathematics, Vol. 15, No. 1 (2014). Preprint on HAL.

• "A note on market completeness with American put options". Published in Inspired by Finance, The Musiela Festschrift, Eds. Yu. Kabanov, M. Rutkowski, T. Zariphopoulou. Springer (2014). Preprint on HAL.

• "On the existence of shadow prices" (with G. Benedetti, J. Kallsen and J. Muhle-Karbe). Finance and Stochastics , Vol. 17, No. 4 (October 2013). Preprint on arXiv.

• "Explicit construction of a dynamic Bessel bridge of dimension 3" (with U. Cetin and A. Danilova). Electronic Journal of Probability, Vol. 18 (2013). Preprint on arXiv.

• "Efficient portfolios in financial markets with proportional transaction costs" (with E. Jouini and V. Portes). Mathematics and Financial Economics, Vol. 7, No. 3 (June 2013). Preprint on HAL.

• "Equilibrium model with default and dynamic insider's information" (with U. Cetin and A. Danilova). Finance and Stochastics, Vol. 17, No. 3 (July 2013). Preprint on HAL.

• "A structural risk-neutral model for pricing and hedging electricity derivatives" (with R. Aïd and N. Langrené). Mathematical Finance, Vol. 23, No. 3 (July 2013). Preprint on HAL.

• "Multivariate utility maximization with proportional transaction costs and random endowment" (with G. Benedetti). SIAM J. Control and Optimization, Vol. 50-3 (2012). Preprint on HAL.

• "Weak Insider Trading and Behavioral Finance" (with M. Del Vigna). SIAM J. Financial Mathematics, Vol. 3-1 (2012). Preprint on HAL.

• "Multivariate Utility Maximization with Proportional Transaction Costs" (with M. Owen). Finance and Stochastics, Vol. 15, No. 3 (2011). Preprint on arXiv.

• "Dynamic Markov bridges motivated by models of insider trading" (with U. Cetin and A. Danilova). Stochastic Processes and Their Applications, Vol. 121, Issue 3 (March 2011). Preprint on HAL.

• "Super-hedging". Encyclopedia of Quantitative Finance, R. Cont (Ed.), Wiley 2010.

• "Structural risk-neutral model of electricity prices" (with R. Aïd, A. Nguyen Huu and N. Touzi). International Journal of Theoretical and Applied Finance, Vol. 12, Issue 7 (November 2009). Preprint on HAL.

• "Systematic Equity-Based Credit Risk: A CEV Model with Jump to Default" (with S. Polbennikov and A. Sbuelz). Journal of Economic Dynamics and Control, Vol. 33, Issue 1 (January 2009). Preprint on SSRN.

• "Mean-variance hedging for large financial markets". Stochastic Analysis and Applications, Vol. 27, Issue 6 (November 2009).

• "Insider trading in an equilibrium model with default: a passage from reduced form to structural modelling" (with U. Cetin). Finance and Stochastics, Vol. 11, No. 4 (October 2007). Preprint here.

• "A super-replication theorem in Kabanov's model for transaction costs" (with W. Schachermayer). Finance and Stochastics, Vol.10, No.4 (December 2006). Preprint here.

• "Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption" (with A. Sbuelz). Risk Letters, Vol. 1, Issue 3 (September 2005).   Preprint on SSRN.

• "Some results on quadratic hedging with insider trading". Stochastics and Stochastics Reports, Vol. 77, Issue 4 (August 2005).

• "A Note on Extremality and Completeness in Financial Markets with Infinitely Many Risky Assets". Rendiconti del Seminario Matematico di Padova, Vol. 112 (2004).

• "Arbitrage and completeness in financial markets with given N-dimensional distributions". Decisions in Economics and Finance, Vol. 27, No.1 (August 2004).