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Jiang Pu

De Vinci Research Center


Publications


Journal Articles

Jiang Pu; Stéphane Crépey; Marc Chataigner

Nowcasting networks Journal Article

In: Journal Of Computational Finance, vol. 24, no. 3, pp. 1-39, 2020.

Abstract | Links | BibTeX

Marc Chataigner; Stéphane Crépey; Jiang Pu

Nowcasting networks Journal Article

In: Journal Of Computational Finance, vol. 24, no. 3, pp. 1-39, 2020.

Abstract | Links | BibTeX

Jiang Pu; Olivier Guéant; Iiulia Manziuk

Accelerated share repurchase and other buyback programs: what neural networks can bring Journal Article

In: Quantitative Finance, vol. 20, no. 8, pp. 1389-1404, 2020.

Abstract | Links | BibTeX

Olivier Guéant; Iiulia Manziuk; Jiang Pu

Accelerated share repurchase and other buyback programs: what neural networks can bring Journal Article

In: Quantitative Finance, vol. 20, no. 8, pp. 1389-1404, 2020.

Abstract | Links | BibTeX

Jiang Pu; Olivier Guéant

Mid-price estimation for European corporate bonds: a particle filtering approach Journal Article

In: Market Microstructure and Liquidity, vol. 2018, vol. 4, no. no 01n02, pp. 1950005, 2019.

Abstract | Links | BibTeX

Olivier Guéant; Jiang Pu

Mid-price estimation for European corporate bonds: a particle filtering approach Journal Article

In: Market Microstructure and Liquidity, vol. 4, no. no 01n02, pp. 1950005, 2019.

Abstract | Links | BibTeX

Jiang Pu; Olivier Guéant; Alexis Bismuth

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty Journal Article

In: Mathematics And Financial Economics, vol. 13, no. 4, pp. 661-719, 2019.

Abstract | Links | BibTeX

Alexis Bismuth; Olivier Guéant; Jiang Pu

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty Journal Article

In: Mathematics And Financial Economics, vol. 13, no. 4, pp. 661-719, 2019.

Abstract | Links | BibTeX

Olivier Guéant; Jiang Pu

Option pricing and hedging with execution costs and market impact Journal Article

In: Mathematical Finance, vol. 27, no. 3, pp. 803-831, 2017.

Abstract | Links | BibTeX

Olivier Guéant; Jean-David Fermanian; Jiang Pu

The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms Journal Article

In: Market Microstructure and Liquidity, vol. 2, no. 03n04, pp. 1750004, 2016.

Abstract | Links | BibTeX

Olivier Guéant; Jean-Michel Lasry; Jiang Pu

A convex duality method for optimal liquidation with participation constraints Journal Article

In: Market Microstructure and Liquidity, vol. 1, no. 01, pp. 1550002, 2015.

Abstract | Links | BibTeX

Olivier Guéant; Royer Guillaume; Jiang Pu

Accelerated Share Repurchase: pricing and execution strategy Journal Article

In: International Journal of Theoretical and Applied Finance, vol. 18, no. 03, pp. 1550019, 2015.

Abstract | Links | BibTeX




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