Peyre, Rémi
- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
2016/08/03 by Christoph Czichowsky, Czichowsky, Christoph, Rémi Peyre +5 · 2 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling
- Comparison between W2 distance and H-1 norm, and localisation of Wasserstein distance
2011/04/24 by Rémi Peyre, Peyre, Rémi · 1 citation
Mathematics · #28A75 #46E35 #FOS: Mathematics #Functional Analysis (math.FA) #Geometric Analysis and Curvature Flows #Geometry and complex manifolds #Nonlinear Partial Differential Equations