WorldCat Identities

Cornet, B.

Overview
Works: 59 works in 123 publications in 3 languages and 891 library holdings
Genres: Conference proceedings 
Roles: Editor, Collaborator
Classifications: QA320, 515.7
Publication Timeline
Key
Publications about  B Cornet Publications about B Cornet
Publications by  B Cornet Publications by B Cornet
Most widely held works by B Cornet
Contributions to operations research and economics : the twentieth anniversary of CORE by B Cornet ( Book )
11 editions published between 1989 and 1990 in English and Undetermined and held by 330 WorldCat member libraries worldwide
Nonlinear analysis and optimization by B Cornet ( Book )
10 editions published in 1987 in English and held by 262 WorldCat member libraries worldwide
Modélisation et décisions économiques by B Cornet ( Book )
7 editions published in 1990 in French and Undetermined and held by 62 WorldCat member libraries worldwide
Applied functional analysis by Jean Pierre Aubin ( Book )
12 editions published between 1979 and 2000 in English and Undetermined and held by 49 WorldCat member libraries worldwide
"Jean-Pierre Aubin updates his popular reference on functional analysis with new insights and recent discoveriesadding three new chapters on set-valued analysis and convex analysis, viability kernels and capture basins, and first-order partial differential equations. He presents, for the first time at an introductory level, the extension of differential calculus in the framework of both the theory of distributions and set-valued analysis, and discusses their application for studying boundary-value problems for elliptic and parabolic partial differential equations and for systems of first-order partial differential equations."--BOOK JACKET
Analyse fonctionnelle appliquée : by Jean Pierre Aubin ( Book )
3 editions published in 1987 in French and held by 42 WorldCat member libraries worldwide
Analyse fonctionnelle appliquee by Jean Pierre Aubin ( Book )
2 editions published in 1987 in French and held by 36 WorldCat member libraries worldwide
The second welfare theorem in nonconvex economies by B Cornet ( Book )
10 editions published between 1986 and 1987 in English and German and held by 16 WorldCat member libraries worldwide
Applied abstract analysis by Jean Pierre Aubin ( Book )
2 editions published in 1977 in Undetermined and English and held by 14 WorldCat member libraries worldwide
Special issue in economic theory in honor of Charalambos D. Aliprantis ( Book )
3 editions published in 2008 in English and held by 6 WorldCat member libraries worldwide
Lipschitz properties of solution in mathematical programming by B Cornet ( Book )
4 editions published in 1982 in English and held by 5 WorldCat member libraries worldwide
In this paper, we are concerned with the behaviour of the solutions of problems and also with the Lipschitzian dependence of the set of solutions with respect to the parameter alpha. The paper is organized as follows. The main theorems of the paper are stated. Sufficient conditions are give to have (1) local uniqueness of solutions and (2) Lipschitzian dependence of the solution with respect to the parameter alpha. The proofs of the theorems are given. The main tool, in this analysis, is an implicit function theorem for Lipschitzian mappings due to Clarke (see also Hiriart-Urruty). The main idea is to write the generalized equation as a system of Lipschitzian mapping, to which Clarke's implicit function can be applied. The notion of generalized derivative of the projection mapping on a convex are of particular use
Special issue in economic theory in honor of Aloisio Araujo ( Book )
3 editions published in 2009 in English and held by 5 WorldCat member libraries worldwide
Existence of equilibria in economies with increasing returns by B Cornet ( Book )
2 editions published between 1984 and 1989 in English and held by 4 WorldCat member libraries worldwide
Walrasian exchange processes by Paul Champsaur ( Book )
2 editions published in 1989 in Undetermined and English and held by 3 WorldCat member libraries worldwide
Existence of slow solutions for a class of differential inclusions by B Cornet ( Book )
2 editions published in 1982 in English and held by 3 WorldCat member libraries worldwide
Special issue on the Brown-Maastricht Conferences by CEME-NBER Conference ( Book )
1 edition published in 2002 in English and held by 2 WorldCat member libraries worldwide
Regular properties of open tangent cones by B Cornet ( Book )
2 editions published in 1984 in English and held by 2 WorldCat member libraries worldwide
Marginal cost pricing and pareto optimality by B Cornet ( Book )
2 editions published in 1988 in English and held by 2 WorldCat member libraries worldwide
Sensitivity analysis in optimization by B Cornet ( Book )
2 editions published in 1983 in English and held by 2 WorldCat member libraries worldwide
Méthodes Monte Carlo et modélisation du smile de volatilité dans un cadre multi-dimensionnel by Abir Sridi ( Book )
1 edition published in 2012 in French and held by 2 WorldCat member libraries worldwide
Cette thèse comprend deux parties qui traitent la problématique du smile de volatilité qui apparaît en finance lors de l'évaluation des produits optionnels. Dans la première partie, nous nous intéressons â l'évaluation, via les techniques Monte Carlo, des swaptions Bermudas dans un cadre BGM avec volatilité déterministe et stochastique. Afin de calculer le prix de ce produit, nous testons et comparons plusieurs schémas de discrétisation. L'évaluation d'une swaption Bermuda nécessite de résoudre un problème de temps d'arrêt optimal discret qui est résolu en procédant à une récurrence rétrograde où à chaque étape on compare la valeur intrinsèque à l'espérance des flux futurs conditionnellement à l'information disponible. Longstaff et Schwartz ont proposé une méthode qui consiste à approcher l'espérance conditionnelle par sa projection sur une famille de fonctions. Une des difficultés de l'algorithme est le choix de la base car ce choix est déterminant quant à la qualité de l'estimation. Dans notre travail, nous choisissons d'approcher l'espérance conditionnelle par une famille de fonctions issue de la théorie des réseaux de neurones monocoucbe appelée base de fonctions logistiques. Afin de tester la robustesse de cette base, nous, la comparons aux bases de fonctions de Laguerre et de Legendre en évaluant une Bermuda dans un cadre BGM à volatilité déterministe et stochastique. Dans la deuxième partie, nous nous intéressons à la modélisation du smile via un mélange de dynamiques D. Brigo et F. Mercurio ont développé un modèle unidimensionnel à volatilité locale paramétrique qui présente l'avantage d'avoir une dynamique ainsi qu'une densité explicites des sous-jacents. Dans le cadre de notre recherche, nous nous consacrons à étendre ce modèle au cas multidimensionnel. Afin de montrer la performance du modèle résultant, que nous nommons Multi Variate Mixture Dynamics (MYMD), nous le comparons à une approche classique en termes d'évaluation des options sur panier. Nous prouvons que le modèle MYMD est une projection markovienne d'un modèle â volatilité incertaine. Nous étudions aussi la structure de dépendance du modèle MVMD et nous la comparons à celle de l'approche classique. Pour ce faire, nous utilisons des coefficients de corrélation non linéaires et non paramétriques tels que le taux de Kendall ou encore le rho de Spearman
 
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Audience Level
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Audience level: 0.76 (from 0.00 for Méthodes ... to 0.92 for Sensitivit ...)
Alternative Names
Cornet, B.
Cornet, Bernard
Languages
English (65)
French (12)
German (1)
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