Pierre Henry-Labordere

Natixis - Paris, France

Paris, Paris 75

France

SCHOLARLY PAPERS

33

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26,235

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Top 7,024

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75

CROSSREF CITATIONS

114

Scholarly Papers (33)

1.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Natixis - Paris, France
Downloads 4,295 (2,644)
Citation 16

Abstract:

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non linear SDEs, particle method, calibration, Malliavin calculus

2.

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Number of pages: 35 Posted: 14 Apr 2005
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 3,509 (3,726)
Citation 54

Abstract:

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Heat kernel expansion, hyperbolic geometry, asymptotic smile, SABR with a mean-reversion term

3.

Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach

Risk Magazine, September 2009
Number of pages: 16 Posted: 24 Oct 2009 Last Revised: 19 Aug 2011
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 3,186 (4,431)
Citation 1

Abstract:

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Bergomi's model, $2$-factor log-normal, Malliavin's calculus, Markovian projection

4.

Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry

Number of pages: 12 Posted: 23 Jan 2006
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 1,542 (14,464)
Citation 9

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Stochastic Libor Market Model, Asymptotic smile

5.

From Spot Volatilities to Implied Volatilities

Number of pages: 14 Posted: 24 Aug 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Natixis - Paris, France
Downloads 1,392 (17,013)
Citation 7

Abstract:

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Implied volatility, local volatility, approximation, heat kernel expansion

6.

Uncertain Volatility Model: A Monte-Carlo Approach

Number of pages: 25 Posted: 21 Jan 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Natixis - Paris, France
Downloads 1,352 (17,795)
Citation 2

Abstract:

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Uncertain volatility model, optimization of non-smooth function, backward stochastic differential equation, Monte-Carlo simulation, regression, Malliavin

7.

Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing

Number of pages: 21 Posted: 09 Aug 2005
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 1,248 (19,990)
Citation 3

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Solvable diffusion process, supersymmetry, differential geometry

8.

Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM

Number of pages: 16 Posted: 20 Nov 2017 Last Revised: 14 Dec 2017
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 1,203 (21,152)
Citation 14

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BSDE, Stochastic Control, Machine Learning, CVA, Initial Margin

9.

Automated Option Pricing: Numerical Methods

Number of pages: 23 Posted: 05 Dec 2011
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 972 (28,842)
Citation 5

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sub/super-replication, model-independent bounds, semi-infinite linear programming, duality, primal-dual interior-point, cutting-plane, risk-neutral weighted Monte-Carlo

10.

Local Volatility from American Options

Number of pages: 21 Posted: 16 Nov 2016 Last Revised: 04 Sep 2017
Stefano De Marco and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Natixis - Paris, France
Downloads 864 (34,051)
Citation 1

Abstract:

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Local volatility model, stochastic volatility model, American options, calibration, discrete dividends

11.

Generative Models for Financial Data

Number of pages: 9 Posted: 27 Jun 2019 Last Revised: 03 Jul 2019
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 698 (45,558)
Citation 9

Abstract:

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Optimal Transport, Generative Adversarial Networks, Wasserstein-GAN, Anomaly Detection

12.

Interest Rate Models Enhanced with Local Volatility

Number of pages: 9 Posted: 13 Jun 2016 Last Revised: 23 Jul 2016
Lingling Cao and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 677 (47,486)
Citation 1

Abstract:

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calibration, interest rate models, swaption smile

13.

Equity Modeling with Stochastic Dividends

Number of pages: 8 Posted: 02 May 2017
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 616 (53,761)
Citation 2

Abstract:

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stochastic dividends, local stochastic volatility model

14.

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

Number of pages: 21 Posted: 19 Nov 2013 Last Revised: 25 Apr 2015
Stefano De Marco and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Natixis - Paris, France
Downloads 549 (62,101)
Citation 10

Abstract:

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15.

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Number of pages: 17 Posted: 18 Feb 2012
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 541 (63,230)
Citation 24

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counterparty risk valuation, branching diffusions, Galton-Watson tree, BSDE, super-diffusion, semi-linear PDE

16.

Vega Decomposition of Exotics on Vanillas: A Monte-Carlo Approach

Number of pages: 18 Posted: 09 Mar 2013
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 477 (73,873)
Citation 1

Abstract:

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Malliavin calculus, Functional derivative, Vega hedging, Local volatility model, Libor Market Model

17.

Local Volatility Models Enhanced with Jumps

Number of pages: 22 Posted: 31 May 2016
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 339 (109,776)
Citation 2

Abstract:

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Local volatility, jumps, nonlinear McKean, particle method

18.

Exact Simulation of Multi-Dimensional Stochastic Differential Equations

Number of pages: 28 Posted: 26 Apr 2015
Pierre Henry-Labordere, Xiaolu Tan and Nizar Touzi
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 296 (126,967)
Citation 6

Abstract:

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19.

Optimal Posting of Collateral with Recurrent Neural Networks

Number of pages: 12 Posted: 14 Mar 2018
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 291 (129,309)

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posting collateral, recurrent neural networks

20.

Model-Independent Bounds for Option Prices: A Mass Transport Approach

Number of pages: 18 Posted: 23 Aug 2011 Last Revised: 21 Feb 2013
Mathias Beiglböck, Pierre Henry-Labordere and Friedrich Penkner
University of Vienna, Natixis - Paris, France and University of Vienna
Downloads 271 (139,283)
Citation 24

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model-independent pricing, Monge-Kantorovich transport problem, option arbitrage

21.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Pierre Henry-Labordere, Jan Obłój, Peter Spoida and Nizar Touzi
Natixis - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 232 (162,319)
Citation 11

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Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option

22.

A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options

Number of pages: 25 Posted: 22 Sep 2011 Last Revised: 20 Feb 2013
Alfred Galichon, Pierre Henry-Labordere and Nizar Touzi
NYU, Department of Economics and Courant Institute, Natixis - Paris, France and Ecole Polytechnique, Paris
Downloads 229 (164,341)
Citation 10

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Optimal control, volatility uncertainty, convex duality

23.

Building Arbitrage-Free Implied Volatility: Sinkhorn's Algorithm and Variants

Number of pages: 19 Posted: 08 Feb 2019
Hadrien De March and Pierre Henry-Labordere
QantEv, Paris - Research Team and Natixis - Paris, France
Downloads 186 (199,293)
Citation 1

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24.

Completing a Correlation Matrix with Fixed Subcorrelations

Number of pages: 9 Posted: 08 Feb 2018
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 164 (222,148)

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25.

(Non)-Parametric Regressions: Applications to Local Stochastic Volatility Models

Number of pages: 7 Posted: 29 Apr 2019
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 152 (236,735)

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Nadaraya-Watson, LP(p)-Estimators, Spline Regressor, Random Forest, LSVM

26.

(Martingale) Optimal Transport and Anomaly Detection with Neural Networks: A Primal-Dual Algorithm

Number of pages: 12 Posted: 29 Apr 2019
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 150 (239,294)
Citation 7

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(Martingale) Optimal Transport, Arrow-Hurwicz's Algorithm, Generative Adversarial Networks, Anomaly Detection

27.

From (Martingale) Schrodinger Bridges to a New Class of Stochastic Volatility Model

Number of pages: 22 Posted: 02 Apr 2019 Last Revised: 27 Jun 2019
Pierre Henry-Labordere
Natixis - Paris, France
Downloads 132 (264,829)
Citation 3

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Schrodinger bridge, stochastic control, Sinkhorn algorithm, stochastic volatility model, conditioned SDEs

28.

An Explicit Martingale Version of Brenier's Theorem

Number of pages: 32 Posted: 22 Feb 2013 Last Revised: 10 Apr 2013
Pierre Henry-Labordere and Nizar Touzi
Natixis - Paris, France and Ecole Polytechnique, Paris
Downloads 122 (280,976)
Citation 7

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29.

A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

Number of pages: 21 Posted: 05 May 2015
Pierre Henry-Labordere, Christian Litterer and Zhenjie Ren
Natixis - Paris, France, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique
Downloads 120 (284,361)

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30.

A Numerical Algorithm for a Class of BSDE Via Branching Process

Number of pages: 27 Posted: 06 Feb 2013
Pierre Henry-Labordere, Xiaolu Tan and Nizar Touzi
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 118 (287,810)
Citation 2

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numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs

31.

Robust Hedging of Options on Local Time

Number of pages: 32 Posted: 22 Nov 2015
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
Independent, Ecole Polytechnique, Paris and Natixis - Paris, France
Downloads 116 (291,226)

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Skorokhod embedding, Model-free pricing, Robust hedging, Local time

32.

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint

Number of pages: 36 Posted: 14 Feb 2014
Pierre Henry-Labordere, Xiaolu Tan and Nizar Touzi
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 103 (316,110)
Citation 7

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33.

Bass Construction with Multi-Marginals: Lightspeed Computation in a New Local Volatility Model

Number of pages: 16 Posted: 26 May 2021
Antoine Conze and Pierre Henry-Labordere
Natixis and Natixis - Paris, France
Downloads 93 (337,643)

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