Vincent Lacoste

Professor, Finance Department

  "Optimal Portfolio Management with American Capital Guarantee" (N. El Karoui, M. Jeanblanc), Journal of Economic, Dynamics and Control, Jan. 2005, Vol. 29, p. 449‑468
  "Choix de la moins chère à livrer : un raccourci utile" (V. Lacoste), Finance, Dec. 2002, Vol. 23, Issue Hors Série, p. 77‑92
  "Understanding Bid-ask Spreads of Derivatives Under Uncertain Volatility and Transaction Costs" (T. Ane), International Journal of Theoretical and Applied Finance (The), Jan. 2001, Vol. 4, Issue 3, p. 467‑489
  "On the Role of State Variables in Interest Rates Models" (N. El Karoui, H. Geman), Applied Stochastic Models in Business and Industry, Jan. 2000, Issue 16, p. 197‑217
  "Wiener Chaos : A New Approach to Option Hedging" (V. Lacoste), Mathematical Finance, Special Issue on Market Imperfections, Apr. 1996, Vol. 6, Issue 2, p. 197‑213
  "Propriétés de l'erreur quadratique intégrée des estimateurs à noyau du terme de variance d'une diffusion" (V. Lacoste), C.R. Académie des Sciences, Jan. 1991, p. 317‑320


  Captions and Swaptions. In: ALEXANDER C.. Risk Management and Analysis. Chichester (Angleterre) : John Wiley & Sons, 1998, p. 239-260


  "Term Capital Guaranteed Funds : the Option Method versus the Cushion Method" (with D. Abou-saleh, F. Longin). CCF-DRI, janv. 20.
  "Optimal Portfolio Management with American Capital Guarantee" (N. El Karoui, M. Jeanblanc). Essec Research Center, DR‑02010 mai 02.
  "Multi-factor Models of the Term Structure of Interest Rates" (N. El Karoui). Essec Research Center, DR‑95010 avr. 95.
  "Wiener Chaos : A New Approach to Option Hedging" (V. Lacoste). Essec Research Center, DR‑95009 avr. 95.


  "On the Role of State Variables in Interest Rates Models", With N. El Karoui, H. Geman. In : Workshop on Quantitative Methods in Finance,. Canberra (Australie) : Centre for Mathematics and its Applications-School of Mathematical Sciences, 1996
  "On the Role of State Variables in Interest Rate Models", With N. El Karoui, H. Geman. In : Journées Internationales de Finance,. Bordeaux (France) : Université de Bordeaux 1, 1995


  "Optimal Portfolio Management with American Guarantee". 01 janv. 2000

  International Journal of Theoretical and Applied Finance (The)
  International Journal of Theoretical and Applied Finance (The)
  Theoretical and Applied Finance


  "Understanding bid-ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs", (with T. Ane). European Financial Management Association 2000 Annual Meeting, Athenes, Grece, 28 juin 2000
  "Understanding bid-ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs", (with T. Ane). First World Congress of the Bachelier Finance Society 2000, Paris, France, 28 juin 2000
  "Wiener Chaos and Optimal Hedging of a Book of Options", Séminaire de recherche bimensuel organisé par le Professeur Delbaen, Zürich, Suisse, 01 févr. 1997
  "On the Role of State Variables in Interest Rate Models", (with N. El Karoui, H. Geman). American Mathematical Society Session on Mathematical Finance, New York, USA, 01 avr. 1996
  "Empirical Analysis of Gaussian Interest Rates Models", (with N. El Karoui, H. Geman). Workshop on Quantitative Methods in Finance, Canberra, Australie, 16 févr. 1996
  "Wiener Chaos : A New Approach to Option Pricing", EFA 1995, Milan, Italie, 01 août 1995
  "On the Role of State Variables in Interest Rate Models", (with N. El Karoui, H. Geman). Financial Mathematics : Term Structures, Cambridge, Grande-Bretagne, 12 juin 1995
  "On the Role of State Variables in Interest Rate Models", (with N. El Karoui, H. Geman). AFFI 95, Bordeaux, France, 01 juin 1995
  "Wiener Chaos : A New Approach to Option Hedging", Mathematics of Finance : Models, Theories and Computation, Cambridge, Grande-Bretagne, 21 mai 1995
  "On the Role of State Variables in Interest Rate Models", (with N. El Karoui, H. Geman). Quantitative Research Group, Sydney, Australie, 17 mai 1995
  "Wiener Chaos : A New Approach to Option Hedging", University of New South Wales, Sydney, Australie, 10 mai 1995
  "Wiener Chaos and Option Hedging", Séminaire d'Economie Mathématique, Université Paris I Panthéon-Sorbonne, Paris, France, 18 nov. 1994
  "Wiener Chaos and Option Hedging", Séminaire CREST, Econométrie et Microéconomie, Malakoff, France, 17 nov. 1994
  "How to Optimise the Usual Dynamic Hedging Strategy Using Wiener Chaos Theory - Application to Multi-Asset", Advanced Mathematics for Derivatives, New York, USA, 26 sept. 1994
  "Multifactor Analysis of the Term Structure of Interest Rates", (with N. El Karoui). Proceedings AFFI, 01 janv. 1992