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Laurence Carassus

De Vinci Research Center


Laurence Carassus

Laurence Carassus est co-directeur du DVRC et directeur de la recherche pour l'ESILV. Elle est professeur des universités à l'université de Reims. Diplômée à Dauphine d'un Master 2 en Mathématiques Appliquées, Laurence est également titulaire d'un Doctorat en Mathématiques Appliquées à Paris 1 Panthéon-Sorbonne, préparé au CREST, et d'une HDR (Habilitation à Diriger la Recherche) en Mathématiques Appliquées à Paris 7. Après avoir été monitrice à Paris 1 et ATER à Paris 9, elle obtient un poste de maître de conférences à Paris 7. Elle participe au Master 2 Modélisation Aléatoire puis monte le master Ingénierie Statistique et Informatique, de la Finance, de l'Assurance et du Risque. Laurence rejoint ensuite Deloitte Risk Services en tant que Manager et intervient sur des missions d'audit et de conseil dans les domaines de la banque et de l'énergie. De retour à Paris 7, elle obtient son HDR et est promue professeur des universités à Reims, où elle gère le master Statistique pour l'Evaluation et la Prévision. Pendant sa carrière, Laurence a enseigné des cours de finance, de probabilités et d'autres domaines des mathématiques, essentiellement en master à l'université mais aussi à l'ENSAE et dans le cadre de la formation continue. Laurence publie régulièrement pour des revues de 1er plan comme Mathematics of Operations Research, Mathematical Finance ou encore Annals of Applied Probability. Elle a participé à de nombreuses conférences et a été invitée dans des universités étrangères. Elle a également publié deux livres « Modèles de marchés financiers en temps discret: cours et exercices corrigés » avec G. Pagès, chez Vuibert et « Probabilités : cours, exercices et problèmes corrigés », chez De Boeck Sup.

laurence.carassus@devinci.fr

Publications


Journal Articles

Laurence Carassus; Jan Obloj; Johannes Wiesel

Erratum: The Robust Superreplication Problem: A Dynamic Approach Journal Article

In: Siam Journal On Financial Mathematics, vol. 13, no. 2, pp. 653-655, 2022.

Abstract | Links | BibTeX

Laurence Carassus; Romain Blanchard

Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time Journal Article

In: Siam Journal On Financial Mathematics, vol. 13, no. 2, pp. 53-65, 2022.

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Laurence Carassus; Emmanuel Lépinette

Pricing without no-arbitrage condition in discrete time Journal Article

In: Journal Of Mathematical Analysis And Applications, vol. 505, no. 1, pp. 125441, 2022.

Abstract | Links | BibTeX

Romain Blanchard; Laurence Carassus

Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Journal Article

In: Mathematical Finance, vol. 31, no. 1, pp. 366-398, 2021.

Abstract | Links | BibTeX

Romain Blanchard; Laurence Carassus

No-arbitrage with multiple-priors in discrete time Journal Article

In: Stochastic Processes And Their Applications, vol. 130, no. 11, pp. 6657-6688, 2020.

Abstract | Links | BibTeX

Laurence Carassus; Miklos Rásonyi

Risk-neutral pricing for Arbitrage Pricing Theory Journal Article

In: Journal Of Optimization Theory And Applications, vol. 186, no. 1, pp. 248-263, 2020.

Abstract | Links | BibTeX

Laurence Carassus; Miklos Rásonyi

From small markets to big markets Journal Article

In: Banach Center Publications, vol. 122, pp. 41-52, 2020.

Abstract | Links | BibTeX

Laurence Carassus; Jan Obloj; Johannes Wiesel

The robust superreplication problem: a dynamic approach Journal Article

In: Siam Journal On Financial Mathematics, vol. 10, no. 4, pp. 907-941, 2019.

Abstract | Links | BibTeX

Romain Blanchard; Laurence Carassus; Miklos Rásonyi

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach Journal Article

In: Mathematical Methods Of Operations Research, vol. 88, no. 2, pp. 241-281, 2018.

Abstract | Links | BibTeX

Laurence Carassus; Tiziano Vargiolu

Super-replication price : it can be ok Journal Article

In: Esaim: proceedings and surveys, vol. 64, pp. 54 - 64, 2018.

Links | BibTeX

Romain Blanchard; Laurence Carassus

Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function Journal Article

In: Annals Of Applied Probability, vol. 28, no. 3, pp. 1856-1892, 2018.

Abstract | Links | BibTeX

Laurence Carassus; Miklos Rásonyi

Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models Journal Article

In: Mathematics Of Operations Research, vol. 41, no. 1, pp. 146-173, 2016.

Abstract | Links | BibTeX

Laurence Carassus; Miklos Rásonyi; Andrea M. Rodrigues

Non-concave utility maximization on the positive real axis in discrete time Journal Article

In: Mathematics And Financial Economics, vol. 9, no. 4, pp. 325-349, 2015.

Abstract | Links | BibTeX

Guillaume Bernis; Laurence Carassus; Grégoire Docq; Simone Scotti

Optimal Credit Allocation under Regime Uncertainty with Sensitivity Analysis Journal Article

In: International Journal of Theoretical and Applied Finance, vol. 18, no. 1, pp. 1550002, 2015.

Abstract | Links | BibTeX

Laurence Carassus; Miklos Rásonyi

On optimal investment for a behavioral investor in multiperiod incomplete market models Journal Article

In: Mathematical Finance, vol. 25, no. 1, pp. 115-153, 2015.

Abstract | Links | BibTeX

Laurence Carassus; E. Temam

Pricing and Hedging Basis Risk under No Good Deal Assumption Journal Article

In: Annals of Finance, vol. 10, no. 1, pp. 127-170, 2014.

Abstract | Links | BibTeX

Books

Laurence Carassus

Probabilités Book

1st edition, Deboeck Superieur, 2018, ISBN: 978-2807313200.

Links | BibTeX

Laurence Carassus; Gilles Pagès

Modèles de marchés financiers en temps discret: cours et exercices corrigés Book

Vuibert, 1995, ISBN: 978-2-311-40136-3.

Links | BibTeX

Conferences

Laurence Carassus; Miklos Rásonyi

Risk-neutral pricing for arbitrage pricing theory Conference

Bachelier Colloquium 2020, Metabief, France, 2020.

Links | BibTeX

Laurence Carassus; Romain Blanchard

No-arbitrage with multiple-priors in discrete time Conference

Model Uncertainly in Risk Management, Paris, France, 2020.

Links | BibTeX

Romain Blanchard; Laurence Carassus

No-arbitrage with multiple-priors in discrete time Conference

Séminaire de Finance Londonien, Londres, UK, 2019.

Links | BibTeX

Miklos Rásonyi; Laurence Carassus

Pricing for APT Conference

Stochastic Analysis for Handling Risks in Finance and Insurance CIRM, Marseille, France, 2019.

Links | BibTeX

Laurence Carassus; Romain Blanchard

No-arbitrage with multiple-priors in discrete time Conference

9th General AMaMeF Conference, Paris, France, 2019.

Links | BibTeX

Laurence Carassus; Julien Baptiste; Emmanuel Lépinette

Pricing without martingale measure Conference

SMAI 9ieme Biennale des Mathématiques Appliquées, Lorient, France, 2019.

Links | BibTeX

Julien Baptiste; Laurence Carassus; Emmanuel Lépinette

Pricing without martingale measure Conference

Séminaire de l'équipe Probability Theory de l'université du Connecticut, Storrs, USA, 2019.

Links | BibTeX

Laurence Carassus; Miklos Rásonyi

From Small to Big markets Conference

Conference for the Simons Semester, Bedlewo, Poland, 2019.

Links | BibTeX

Laurence Carassus; Julien Baptiste; Emmanuel Lépinette

Pricing without martingale measure Conference

Séminaire at Alfréd Rényi Institute of Mathematics, Budapest, Hungary, 2018.

Links | BibTeX

Laurence Carassus

Pricing without martingale measure Conference

Robust Techniques in Quantitative Finance, Oxford, UK, 2018.

Links | BibTeX

Julien Baptiste; Laurence Carassus; Emmanuel Lépinette

Pricing without martingale measure Conference

Innovative Research in Mathematical Finance, Marseille, France, 2018.

Links | BibTeX

Laurence Carassus; Romain Blanchard

Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Conference

10th World Congress of the Bachelier Finance Society, Dublin, Ireland, 2018.

Links | BibTeX

Laurence Carassus; Romain Blanchard

Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Conference

Model Uncertainty & Robust Finance - Workshop, Milan, Italie, 2018.

Links | BibTeX

Laurence Carassus

Economic and financial problematics in discrete-time models with multiple and non-dominated priors Conference

Séminaire de Probabilités Université Lorraine, Nancy, France, 2018.

Links | BibTeX

Laurence Carassus; Romain Blanchard

Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Conference

The Twelfth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, 2018.

Links | BibTeX

Laurence Carassus; Romain Blanchard

Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Conference

Mathematical and computational Finance seminar, Oxford, UK, 2017.

Links | BibTeX

Laurence Carassus

Mini-symposium Big Data Mégadonnées : quelques enjeux Conference

minisymposium industriel Big Data au SMAI, Moulimes, France, 2017.

Links | BibTeX

Romain Blanchard; Laurence Carassus

Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Conference

8th General AMaMeF Conference, Amsterdam, Netherlands, 2017.

Links | BibTeX

Laurence Carassus; Romain Blanchard

Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Conference

Alfred Rényi Institute of Mathematics, Hungarian Academy of Sciences, Budapest, Hungary, 2017.

Links | BibTeX

Laurence Carassus; Romain Blanchard

Robust Optimal Investment for Unbounded Utility Function in Discrete Time Conference

The Eleventh Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, 2017.

Links | BibTeX

Laurence Carassus

Non concave optimization: a measure theory approach Conference

The Tenth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, France, 2016.

Links | BibTeX

Laurence Carassus

Non-Concave Utility Maximisation in Discrete Time Conference

2nd NUS-U Paris Diderot Workshop on Quantitative Finance, Paris, France, 2015.

Links | BibTeX

Incollections

Laurence Carassus; Simone Scotti

Stochastic Sensitivity Study for Optimal Credit Allocation Incollection

In: Monique Jeanblanc Caroline Hillairet, Ying Jiao (Ed.): Arbitrage, Credit and Informational Risks, vol. Volume 5 - Arbitrage, Credit and Informa, pp. 147-168, World Scientific, 2014, ISBN: 978-981-4602-06-8.

Links | BibTeX




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