Concepedia

Pierre Henry‐Labordère

PH

26

Publications

951

Citations

18

H-Index

2002

Active since

Affiliations

École Polytechnique(Current)

Centre de Mathématiques Appliquées de l'École polytechnique

Courant Institute of Mathematical Sciences

Université Paris Dauphine-PSL

Laboratoire de Physique Théorique

Pierre Henry‐Labordère is an author at École Polytechnique specializing in engineering, probability theory, and business.

Top concepts

Publications per year

2002–2019

26

Publications

26

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Pierre Henry‐Labordère · SSRN Electronic Journal · 2005 · 124 citations · Full text

An explicit martingale version of the one-dimensional Brenier theorem

Pierre Henry‐Labordère, Nizar Touzi · Finance and Stochastics · 2016 · 75 citations

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Borcherds symmetries in M-theory

Pierre Henry‐Labordère, B. Juliá, Louis Paulot · Journal of High Energy Physics · 2002 · 74 citations · Full text

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Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM

Pierre Henry‐Labordère · SSRN Electronic Journal · 2017 · 71 citations · Full text

Counterparty Risk Valuation: A Marked Branching Diffusion Approach

Pierre Henry‐Labordère · SSRN Electronic Journal · 2012 · 56 citations · Full text

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