Lecture notes and book chapters

Linear-Quadratic McKean-Vlasov Stochastic Differential Games, [pdf], IMA Volume on Modelling, Stochastic control, Optimization and Applications" 2019, Eds. G. Yin and Q. Zhang, 451-481.

Long time asymptotics for optimal investment, "Large Deviations and Asymptotic Methods in Finance" (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015.    

Dynamic Programming for an Investment/Consumption problem in illiquid markets with regime-switching, [pdf], 2013,  “Proceedings of the conference on Stochastic Analysis and Control in honor of J. Zabczyk”, Banach Center Publication,                                                                                                                        

• Large deviations in Finance, [pdf], 2010, Third SMAI European Summer School in Financial Mathematics.                                                                               

• Investment/consumption choice in illiquid markets with random trading times, [pdf],  2009,  Radon Series on Computational and Applied Mathematics,

Portfolio optimization under partial observation : theoretical and numerical aspects, [pdf],   Handbook of Nonlinear Filtering, Oxford   Univ.  Press,  2011, eds. D. Crisan and B.  Rozovski                                                                                                                                                                                                                     

Numerical approximation by quantization of control problems in finance under partial observations  [pdf  ],with M.  Corsi and W. Runggaldier),  2008, ``Mathematical modeling and numerical methods in finance",  special volume of  Handbook  of Numerical analysis, edited by A. Bensoussan and Q. Zhang. 

• PDE formulation survey, [pdf],  Encyclopedia of Quantitative Finance, Wiley, ed. R. Cont

• Optimization methods in portfolio management and option hedging, [pdf], 2007, Lectures notes for the CIMPA-IMAMIS school on mathematical finance, Hanoi, May 2007. 

• Some methods and applications of large deviations in finance and insurance, [pdf], 2007,  Paris-Princeton Lecture notes in mathematical Finance, Springer Verlag.

• Explicit solution to an irreversible investment model with a stochastic production capacity,  [pdf],   2006, From stochastic analysis to mathematical finance, Festschrift for Albert Shiryaev, 2006,  (Y.Kabanov and R.Liptser, eds.) Springer.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       

• Numerical approximation by quantization for optimization problems in finance under partial observations, [pdf], 2006, Proceedings of the 6th Ritsumeikan symposium, Stochastic processes and applications to mathematical finance.                                         

Quantization methods in filtering and applications to partially observed stochastic volatility models, [pdf] 2005, The 7th Workshop on Stochastic Numerics (Shigeyoshi Ogawa ed.),  RIMS Kokyuroku 1462, 79-99

• Optimal quantization methods and applications to  numerical problems in finance, (with G. Pagès and J. Printems), [ps], 2004,  Handbook of  computational and numerical methods in finance, ed. Z. Rachev , Springer Verlag

• Hedging and Optimization problems in continuous financial models,  [pdf], 2000,  Mathematical Finance, Theory and Practice, Series in Contemporary Applied Mathematics,   Ed.s J. Yong, R. Cont.