Emmanuel Gobet

Finance · 2000–2011

A researcher in the Science corpus: 13 papers; trusts 23 researchers and is trusted by 53 researchers here, as inferred from the citation graph.

Subfields

• Finance — 32 citations into it; #563 of 10,518 by trust here, #1,508 by citations
• Demography — 9 citations into it; #175 of 4,236 by trust here, #597 by citations
• Economics and Econometrics — 9 citations into it; #16,779 of 23,481 by trust here, #22,774 by citations
• Management Science and Operations Research — 6 citations into it
• Statistics and Probability — 5 citations into it; #1,408 of 12,932 by trust here, #2,965 by citations

Whom Emmanuel Gobet trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Bruno Bouchard
2. Jianfeng Zhang
3. Nizar Touzi
4. Jean-Philippe Lemor
5. P. Briand
6. Francis A. Longstaff
7. Jianqing Fan
8. David A. Chapman
9. Peter Hall
10. Jin Ma

Who trusts Emmanuel Gobet overall

1. D. Crisan
2. Jean-François Chassagneux
3. Michael SØrensen
4. Huyen Pham
5. K. Manolarakis
6. Arnaud Gloter
7. J. Forman
8. Eric Benhamou
9. Adrien Richou
10. Mireille Bossy

Papers from Emmanuel Gobet's perspective

Ordered by how strongly the researchers Emmanuel Gobet trusts endorse each paper. Same corpus, a different order for every researcher.

1. DONSKER-TYPE THEOREM FOR BSDES
2. Valuing American Options by Simulation: A Simple Least-Squares Approach
3. Forward-Backward Stochastic Differential Equations and their Applications
4. Path regularity for solutions of backward stochastic differential equations
5. Numberical Method for Backward Stochastic Differential Equations
6. A numerical scheme for BSDEs
7. A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs
8. Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
9. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
10. Martingale Limit Theory and Its Application

Their papers

• LAN property for ergodic diffusions with discrete observations (2002) — 134 citations
• Nonparametric estimation of scalar diffusions based on low frequency data (2002) — 135 citations
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006) — 191 citations
• Error expansion for the discretization of backward stochastic differential equations (2006) — 109 citations
• Local asymptotic mixed normality property for elliptic diffusion: a Malliavin calculus approach (2001) — 96 citations
• Weak approximation of killed diffusion using Euler schemes (2000) — 218 citations
• Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001) — 107 citations
• Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus (2003) — 56 citations
• Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition (2011) — 47 citations
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004) — 104 citations
• Stopped diffusion processes: Boundary corrections and overshoot (2007) — 72 citations
• Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach (2006) — 108 citations
• A regression-based Monte Carlo method to solve backward stochastic differential equations (2005) — 423 citations