Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales, Lecture Notes in Mathematics, Springer, 2009, 319 pages, ISBN: 978-3-642-02379-8. pdf flyer, e-book
 
An Elementary Introduction to Stochastic Interest Rate Modeling, Advanced Series on Statistical Science and Applied Probability, World Scientific, 2008, 192 pages, ISBN: 978-981-283-273-3. pdf flyer, review

      Revised and augmented Chinese translation: 随机利率模型及相关衍生品定价, 南开大学出版社, Nankai University Press, 2010, ISBN: 978-7-310-03413-0.

(with J.-C. Zambrini) Stochastic deformation of integrable dynamical systems and random time symmetry. pdf
 
(with G. L. Torrisi) Density estimation of functionals of spatial point processes with application to wireless networks. pdf
 
(with C. Pintoux) A direct solution to the Fokker-Planck equation for exponential Brownian functionals. pdf
 
Covariance identities and mixing of random transformations on the Wiener space. pdf
 
(with B. Laquerrière) Deviation inequalities for exponential jump-diffusion processes. pdf

(with A. Réveillac) SURE shrinkage of Gaussian paths and signal identification, to appear in ESAIM Probability & Statistics. pdf
 
(with C. Pintoux) The Dothan pricing model revisited, to appear in Mathematical Finance. pdf
 
Moment identities for Poisson-Skorohod integrals and application to measure invariance, to appear in C. R. Math. Acad. Sci. Paris. pdf

(with D. David) Numerical computation of Theta in a jump-diffusion model by integration by parts. Quantitative Finance 9 (2009) 727-735. pdf
 
(with S. Loisel) Sensitivity analysis and density estimation for finite-time ruin probabilities. Journal of Computational and Applied Mathematics 230 (2009) 107-120. pdf
 
Moment identities for Skorohod integrals on the Wiener space and applications. Electronic Communications in Probability 14 (2009) 116-121. pdf
 
(with A. Réveillac) Stein estimation of Poisson process intensities. Statistical Inference for Stochastic Processes 12 (2009) 37-53. pdf
 
A probabilistic interpretation to the symmetries of a discrete heat equation. Séminaire de Probabilités XLI, Lecture Notes in Mathematics1934 (2008) 379-399, Springer. pdf
 
(with M. Arnaudon and J.C. Breton) Convex ordering for random vectors using predictable representation. Potential Analysis 29 (2008) 327-349. pdf
 
(with C. Houdré) Isoperimetric and related bounds on configuration spaces. Statistics & Probability Letters 78 (2008) 2154-2164. pdf
 
(with A. Réveillac) Stein estimation for the drift of Gaussian processes using the Malliavin calculus. Annals of Statistics 36 (2008) 2531-2550. pdf
 
(with J.C. Breton) Bounds on option prices in point process diffusion models. International Journal of Theoretical and Applied Finance 11 (2008) 597-610. pdf
 
(with X. Wei) Integration by parts for point processes and Monte Carlo estimation. Journal of Applied Probability 44 (2007) 806-823. pdf
 
(with J.-C. Breton) Convex comparison inequalities for exponential jump-diffusion processes. Communications on Stochastic Analysis 1 (2007) 263-277. pdf
 
(with J.-C. Breton and C. Houdré) Dimension free and infinite variance tail estimates on Poisson space. Acta Applicandae Mathematicae 95 (2007) 151-203. pdf
 
(with Th. Klein and Y. Ma) Convex concentration inequalities and forward-backward stochastic calculus. Electronic Journal of Probability 11 (2006) 486-512. pdf
 
(with X. Zhang) Deviation inequalities and the law of iterated logarithm on the path space over a loop group. Stochastics 77 (2005) 515-536. pdf
 
(with J.A. López-Mimbela) Blow-up and stability of semilinear PDE's with gamma generators. Journal of Mathematical Analysis and Applications 307 (2005) 181-205. pdf
 
(with J.-C. Zambrini) Euclidean quantum mechanics in the momentum representation. Journal of Mathematical Physics 46 (2005). pdf
 
(with U. Franz and R. Schott) Non-Gaussian Malliavin calculus on real Lie algebras. Journal of Functional Analysis 218 (2005) 347-371. pdf
 
(with X. Wei) A Malliavin calculus approach to sensitivity analysis in insurance. Insurance: Mathematics and Economics 35 (2004) 679-690. pdf
 
(with J.-C. Zambrini) Markovian bridges and reversible diffusions with jumps. Annales de l'Institut Henri Poincaré 40 (2004) 599-633. pdf
 
(with A. Joulin) Functional inequalities for discrete gradients and applications to the geometric distribution. ESAIM Probability & Statistics 8 (2004) 87-101. pdf
 
(with U. Franz) Quasi-invariance formulas for components of quantum Lévy processes. Infinite Dimensional Analysis, Quantum Probability and Related Topics 7 (2004) 131-145. pdf
 
(with Y. El Khatib) Computations of Greeks in a market with jumps via the Malliavin calculus. Finance & Stochastics 8 (2004) 161-179. pdf
 
(with Y. El Khatib) Hedging in complete markets driven by normal martingales. Applicationes Mathematicae 30 (2003) 147-172. pdf
 
(with M. Mensi) Conditional calculus and enlargement of filtration on Poisson space. Stochastic Analysis and Applications 21 (2003) 183-204. pdf
 
(with C. Houdré) Concentration and deviation inequalities in infinite dimensions via covariance representations. Bernoulli 8 (2002) 697-720. pdf
 
Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals. Publicacions Matemàtiques 46 (2002) 27-48. pdf
 
(with W. Schoutens) Discrete chaotic calculus and covariance identities. Stochastics and Stochastics Reports 72 (2002) 289-315. pdf
 
Splitting of Poisson noise and Lévy processes on real Lie algebras. Infinite Dimensional Analysis, Quantum Probability and Related Topics 5 (2002) 21-40. pdf
 
Extended covariance identities and inequalities. Statistics & Probability Letters 55 (2001) 247-255. pdf
 
Connections and curvature in the Riemannian geometry of configuration spaces. Journal of Functional Analysis 185 (2001) 367-403. pdf
 
A characterization of grand canonical Gibbs measures by duality. Potential Analysis 15 (2001) 23-38. pdf
 
Quantum stochastic calculus for the uniform measure and Boolean convolution. Séminaire de Probabilités XXXV, Lecture Notes in Mathematics 1755 (2001) 28-47, Springer. pdf
 
On logarithmic Sobolev inequalities for normal martingales. Annales de la Faculté des Sciences de Toulouse 9 (2000) 509-518. pdf
 
(with J.L. Solé and J. Vives) Chaotic Kabanov formula for the Azéma martingales. Bernoulli 6 (2000) 633-651. pdf
 
Hypothesis testing and Skorokhod stochastic integration. Journal of Applied Probability 37 (2000) 560-574. pdf
 
(with K. Aase, B. Øksendal and J. Ubøe) White noise generalizations of the Clark-Haussmann-Ocone theorem, with application to mathematical finance. Finance & Stochastics 4 (2000) 465-496. pdf
 
(with C.A. Tudor) Skorokhod and pathwise stochastic calculus with respect to an L² process. Random Operators and Stochastic Equations 8 (2000) 201-224. pdf
 
(with J.L. Wu) Poisson stochastic integration in Hilbert spaces. Annales Mathématiques Blaise Pascal 6 (1999) 41-61. pdf
 
(with J.J. Prat) Explicit stochastic analysis of Brownian motion and point measures on Riemannian manifolds. Journal of Functional Analysis 167 (1999) 201-242. pdf
 
Equivalence of gradients on configuration spaces. Random Operators and Stochastic Equations 7 (1999) 241-262. pdf
 
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals. Statistics & Probability Letters 43 (1999) 179-188. pdf
 
A calculus on Fock space and its probabilistic interpretations. Bulletin des Sciences Mathématiques 123 (1999) 97-114. pdf
 
Skorohod stochastic integration with respect to non-adapted processes on Wiener space. Stochastics and Stochastics Reports 65 (1998) 13-39. pdf
 
Absolute continuity in infinite dimensions and anticipating stochastic calculus. Potential Analysis 8 (1998) 325-343. pdf
 
Calcul des variations stochastique pour la mesure de densité uniforme. Potential Analysis 7 (1997) 577-601. pdf
 
A different quantum stochastic calculus for the Poisson process. Probability Theory and Related Fields 105 (1996) 255-278.
 
Girsanov theorem for anticipative shifts on Poisson space. Probability Theory and Related Fields 104 (1996) 61-76. pdf
 
A transfer principle from Wiener to Poisson space and applications. Journal of Functional Analysis 132 (1995) 335-360. pdf
 
Chaotic and variational calculus in discrete and continuous time for the Poisson process. Stochastics and Stochastics Reports 51 (1994) 83-109. pdf

(with A. Réveillac) Superefficient drift estimation on the Wiener space. C. R. Acad. Sci. Paris 343 (2006) 607-612. pdf
 
(with H. Ouerdiane) Asymptotic estimates for white noise distributions. C. R. Acad. Sci. Paris 338 (2004) 799-804. pdf
 
(with U. Franz and R. Schott) Smoothness of Wigner densities on the affine algebra. C. R. Acad. Sci. Paris 337 (2003) 609-614. pdf
 
(with F.Q. Gao) Clark formula and logarithmic Sobolev inequalities for Bernoulli measures. C. R. Acad. Sci. Paris 336 (2003) 51-56. pdf
 
Connection, parallel transport, curvature and energy identities on spaces of configurations. C. R. Acad. Sci. Paris 330 (2000) 899-904. pdf
 
A pointwise equivalence of gradients on configuration spaces. C. R. Acad. Sci. Paris 327 (1998) 677-682. pdf
 
An analytic approach to stochastic calculus. C. R. Acad. Sci. Paris 326 (1998) 353-358. pdf
 
Calculus on Fock space and a quantum non-adapted Itô formula. C. R. Acad. Sci. Paris 323 (1996) 927-932. pdf
 
On the independence of multiple stochastic integrals with respect to a class of martingales. C. R. Acad. Sci. Paris 323 (1996) 515-520.
 
Une nouvelle représentation non-commutative du mouvement brownien et du processus de Poisson. C. R. Acad. Sci. Paris 322 (1996) 959-964.
 
Calcul des variations stochastique pour les martingales. C. R. Acad. Sci. Paris 321 (1995) 923-928. pdf
 
Inégalités de Meyer sur l'espace de Poisson. C. R. Acad. Sci. Paris 318 (1994) 559-562. pdf
 
Décompositions chaotiques sur l'espace de Poisson et applications. C. R. Acad. Sci. Paris 317 (1993) 385-388.
 
Calcul chaotique et variationnel pour le processus de Poisson. C. R. Acad. Sci. Paris 316 (1993) 597-600.

(with J.A. López-Mimbela) Critical exponents for semilinear PDEs with a bounded potential, Proceedings of the 2005 Ascona conference on stochastic analysis, random fields and applications, Progress in Probability 59 (2008) 245-262, Birkäuser. pdf
 
(with A. Joulin) A logarithmic Sobolev inequality for an interacting spin system under a geometric reference measure, Proceedings of the 2005 Levico conference, Quantum Probability and White Noise Analysis XX (2007) 267-273, World Scientific. pdf
 
(with Y. Ma) FKG inequality on the Wiener space via predictable representation. Proceedings of the 2005 Hammamet Conference on Mathematical Analysis of Random Phenomena (2007) 155-166, World Scientific. pdf
 
Quantum stochastic calculus applied to path spaces over Lie groups. Proceedings of the 2001 Hammamet International Conference on Stochastic Analysis and Applications (2004) 85-94, Kluwer. pdf
 
(with C. Houdré) A concentration inequality on Riemannian path space. Proceedings of the 2002 Barcelona Conference on Stochastic Inequalities and their Applications, Progress in Probability 56 (2003) 15-21, Birkäuser. pdf
 
Quasi-invariance for Lévy processes under anticipating shifts. Stochastic Analysis and Related Topics VIII, Progress in Probability 53 (2003) 181-202, Birkäuser. pdf
 
A relation between the Gross Laplacian and time changes on Brownian motion. Proceedings of the Burg Conference, Quantum Probability and White Noise Analysis XV (2003) 195-204, World Scientific. pdf
 
(with M. Jeanblanc) A complete market model with Poisson and Brownian components. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, 1999. Progress in Probability 52 (2002) 189-204, Birkäuser. pdf
 
Weitzenböck formulas on Poisson probability spaces. Proceedings of the Third International Conference on Geometry, Integrability and Quantization, Varna, 2001, Coral Press Sci. Publ., Sofia, 382-394. pdf
 
The Fourier-Mehler transform and generalised dilation of Gaussian and Poisson measures. Complex Analysis and Related Topics, the VIII^th Romanian-Finnish Seminar, Iassy, 1999, Revue Roumaine Math. Pures Appl. 46 (2001) 85-98. pdf
 
Variational calculus for a Lévy process based on a Lie group. Stochastic analysis and Related Topics VII, Progress in Probability 48 (2000) 207-223, Birkäuser. pdf
 
Différents aspects stochastiques et géométriques de la formule de Clark. Actes du Colloque 2000 de la Société Mathématique de Tunisie, 125-136. pdf
 
Independence of a class of multiple stochastic integrals. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, 1996. Progress in Probability 45 (1998) 333-348, Birkäuser. pdf
 
An extension of the quantum Itô table and its matrix representation. Quantum Probability Communications X (1998) 311-320, World Scientific.
 
Splitting the conservation process into creation and annihilation parts. Banach Center Publications 43 (1998) 341-348.
 
Construction of a quantum field linked to the Coulomb potential. Stochastic Analysis and Related Topics VI, Progress in Probability 42 (1998) 333-348, Birkäuser.
 
The Sard inequality on two non-Gaussian spaces. Stochastic Analysis and Related Topics VI, Progress in Probability 42 (1998) 349-356, Birkäuser. pdf
 
Linear Skorohod stochastic differential equations on Poisson space. Stochastic Analysis and Related Topics V, Progress in Probability 38 (1996) 237-253, Birkäuser. pdf
 
Stochastic calculus of variations for martingales. Proceedings of the Fifth Gregynog Symposium (1995) 385-400, World Scientific. pdf

(with V. Debelley) Sensitivity analysis of European options in jump-diffusion models via the Malliavin calculus on the Wiener space. Preprint, 2004. pdf
 
(with C. Houdré) Surface measures and related functional inequalities on configuration spaces. Preprint, 2003. pdf

Monte Carlo methods and Malliavin calculus in jump models. pdf