=====Etienne Chevalier=======
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<wrap second colum> Maître de conférences \\
Université d'Évry Val d'Essonne \\
Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071) \\
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex \\
Bureau : 303\\
☎  +33 (0) 1 64  85 34 93  \\
<etienne.chevalier@univ-evry.fr> \\
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==== Thèmes de recherche ====

  * Contrôle stochastique et optimisation

  * Finance de marché: options américaines, risque de liquidité, assurance

  * Finance d'entreprise: Options réelles, structure de capital, théorie de la ruine

==== Publications ====

  * American options in the Volterra Heston model, with S.Pulido and E. Zúñiga // SIAM Journal on Financial Mathematics//, Vol. 13, No 2, 2022

  * Optimal dividend and capital structure with debt covenants, with V. Ly Vath et A.Roch,//Journal of Optimization Theory and Applications//, Vol. 187, No 2, 2020

  * Path-dependent American Options, with V. Ly Vath et M. Mnif,//Journal of Computationnal Finance//, Vol. 23, No 1, 2019. 

  * Optimal market dealing under constraints, with M. Gaigi, V. Ly Vath, and M. Mnif //Journal of Optimization Theory and Applications//, Vol. 173 (1), pp 313-335, 2017. 

  * Liquidity risk and optimal dividend/investment strategies, with M. Gaigi and V. Ly Vath, //Mathematics and Financial Economics//, Vol. 11 (1), pp 111-135, 2017. 

  * Indifference fees for variable annuities, with T. Lim, and R. Romo Romero, //Applied Mathematical Finance//, Vol. 23 (4), pp 278-308, 2016

  * Optimal execution cost for liquidation through a limit order market, with V. Ly Vath, A. Roch and S. Scotti, //International Journal of Theoretical and Applied Finance//,  Vol. 19, No. 1, 2016.

  * Exit Optimal exit strategies for investment projects, with V. Ly Vath, A. Roch and S. Scotti, //Journal of Mathematical Analysis and Applications//, Vol.425(2), pp.666-694, 2015.

  * Max-min optimization problem for variable annuities pricing, with C.Blanchet-Scalliet, I. Kharroubi and T. Lim, //International Journal of Theoritical and Applied Finance//, Vol. 18, No. 08, 2015.

  * An Optimal Dividend and Investment Control Problem under Debt Constraints, with V. Ly Vath and S. Scotti, //SIAM J. Finan. Math.//, 4(1), 297 - 326, 2013.
  
  *  Exercise boundary near maturity for an American option on several assets, //Journal of Stochastic Analysis and Applications//, Vol. 28, No 4, 623-647, 2010.

  * American options, Encyclopedia of Quantitative Finance, editor Rama Cont, 2009.
  
  * On the American option value function near its maturity, Progress in Industrial Mathematics at ECMI 2006, 650-655, 2007.

  * Bermudean Approximation of the Free Boundary Associated with an American Option, //Free Boundary Problems: Theory and Applications//, 137-147, 2007.
 
  * Optimal early retirement near the expiration of a pension plan, //Finance and Stochastics//, Vol. 10, No 2, 2006.

  * Critical price near maturity for an American option on a dividend-paying stock in a local volatility model, //Mathematical Finance//, Vol. 15, No 3, 2005.



==== Mémoire d'HDR ====

Quelques contributions au contrôle stochastique appliqué à la finance de marché, d'entreprise et à l'assurance
{{:members:echevalier:hdr_etiennechevalier.pdf}}