Lautier, Delphine; Raynaud, Franck - In: Derivative securities pricing and modelling, (pp. 93-119). 2012
In this chapter, we propose a nonconventional methodology, the graph theory, which is especially relevant for the study of high-dimensional financial data. We illustrate the advantages of this method in the context of systemic risk in derivative markets, a main subject nowadays in finance. A key...