Groupe d’études et de recherche en analyse des décisions


Bruno Rémillard


Dynamic programming and parallel computing for valuing two-dimensional American options
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À paraître dans : Journal of Systems Science and Complexity, 2018 référence BibTeX
A simple discretization scheme for nonnegative diffusion processes with applications to option pricing
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Journal of Computational Finance, 15, 3–35, 2012 référence BibTeX
A martingale representation for the maximum of a Lévy process
Communications on Stochastic Analysis, 5(4), 683–688, 2011 référence BibTeX
On the robustness of the snell envelope
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SIAM Journal on Financial Mathematics, 2, 587–626, 2011 référence BibTeX
The value of liquidity from the hedge fund portfolio manager’s perspective
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Journal of Alternative Investments, 13, 30–39, 2011 référence BibTeX
Empirical study of dependence of credit default data and equity prices
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Journal of Futures Markets, 29(8), 695–712, 2009 référence BibTeX
Discussion of: Brownian distance covariance
Annals of Applied Statistics, 3, 1295–1298, 2009 référence BibTeX
Omnibus goodness-of-fit tests for copulas: A review and a power study
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Insurance: Mathematics and Economics, 44, 199–213, 2009 référence BibTeX
Testing for equality between two copulas
Journal of Multivariate Analysis, 100, 377–386, 2009 référence BibTeX
Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
Annales de l'Institut Henri-Poincaré, 44(6), 1096–1127, 2008 référence BibTeX
Optimal hedging strategies with an application to hedge fund replication
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Wilmott Magazine, 62–66, 2008 référence BibTeX
Replicating the properties of hedge fund returns
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Journal of Alternative Investments, 11(2), 8–38, 2008 référence BibTeX
Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations
Advances in Applied Probability, 40(2), 454–472, 2008 référence BibTeX
Asymptotic local efficiency of Cramér-von Mises type tests for multivariate independence
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Annals of Statistics, 35(1), 166–191, 2007 référence BibTeX
Explicit martingale representations for Brownian functionals and applications to option hedging
Stochastic Analysis and Applications, 25(1), 801–820, 2007 référence BibTeX
Hedge funds returnd weighted-symmetry and the Omega© performance measure
AIMA Journal, 77, 20–22, 2007 référence BibTeX
Rank-based extensions of the Brock, Dechert, and Scheinkman test
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Journal of the American Statistical Association, 102(480), 1363–1376, 2007 référence BibTeX
Local efficiency of a Carmér-von mises test of independence
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Journal of Multivariate Analysis, 97(1), 274–294, 2006 référence BibTeX
On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model 
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Statistics and Probability Letters, 76(1), 10–18, 2006 référence BibTeX
Goodness-of-fit procedures for copula models based on the integral probability transformation
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Scandinavian Journal of Statistics, 33(2), 337–366, 2006 référence BibTeX
Credit migration and derivatives pricing using copulas
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Journal of Computational Finance, 10(1), 43–68, 2006 référence BibTeX
Nonparametric weighted symmetry-tests
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Canadian Journal of Statistics - La revue canadienne de statistique, 31(4), 357–381, 2003 référence BibTeX


Statistical methods for financial engineering
Chapman and Hall/CRC, 496 pages, 2013 référence BibTeX
Une introduction aux probabilités
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Éditions Ellipses, 338 pages, 2006 référence BibTeX
Statistical modeling and analysis for complex data problems
GERAD 25th Anniversary Series, Springer: New York, 2005 référence BibTeX

Chapitres de livre

Monte Carlo approximations of American options that preserve monotonicity and convexity
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R. Carmona, P. del Moral, P. Hu and N. Oudjane, Numerical Methods in Finance, 12, Springer New York, 115–143, 2012 référence BibTeX
Optimal hedging of American options in discrete time
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R. Carmona, P. del Moral, P. Hu and N. Oudjane, Numerical Methods in Finance, 12, Springer New York, 145–170, 2012 référence BibTeX
Tests of independence
M. Lovric, International Encyclopedia of Statistical Science, Springer, 1598–1601, 2011 référence BibTeX
Copula-based credit rating model for evaluating credit basket derivatives
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G. Gregoriou and C. Hoppe, Handbook of Credit Portfolio Management, 163–181, 2008 référence BibTeX
Filtering of images for detecting multiple targets trajectories
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Eds P Duchesne et B Rémillard, Statistical Modeling and Analysis for Complex Data Problems, Springer, 267–280, 2005 référence BibTeX
Dependence properties of meta-elliptical distributions
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Eds P Duchesne et B Rémillard, Statistical Modeling and Analysis for Complex Data Problems, Springer, 1–15, 2005 référence BibTeX
Empirical processes based on pseudo-observations II: The multivariate case
Asymptotic Methods in Stochastics, Fields Institute Communications Series, 44, American Mathematical Society, 381–406, 2004 référence BibTeX

Actes de conférence

Gough-Stewart platform control: A fuzzy control approach 
Nafips 2006, Montréal, Canada,, 2006 référence BibTeX