Nicolas Privault
Division of Mathematical Sciences
School of Physical and Mathematical Sciences
Nanyang Technological University
21 Nanyang Link, Singapore 637371
Tel. +65 6513 7176
nprivault at ntu.edu.sg

 

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  • Books
  • Preprints

  • To appear

  • Journal articles

  • Surveys
    • (with X. Wei) Calibration of the LIBOR market model - implementation in PREMIA. Bankers, Markets & Investors 99 (2009) 20-28.
       
      Stochastic analysis of Bernoulli processes. Probability Surveys 5 (2008) 435-483.


  • Book chapters
    • Combinatorics of Poisson stochastic integrals with random integrands, in Stochastic Analysis for Poisson Point Processes: Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry, edited by G. Peccati and M. Reitzner, Bocconi & Springer Series 7, 37-80, Springer, 2016.
       
      (with L. Decreusefond, I. Flint, and G. L. Torrisi) Determinantal point processes: a survey, in Stochastic Analysis for Poisson Point Processes: Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry, edited by G. Peccati and M. Reitzner, Bocconi & Springer Series 7, 311-342, Springer, 2016.
       
      Potential theory in classical probability, in Quantum Potential Theory: Structure and Applications to Physics, Lecture Notes in Mathematics 1954, 3-59, Springer, 2008.


  • Proceedings

  • Unpublished

  • Conference slides