Kebaier, Ahmed
- Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
2015/10/13 by Kebaier, Ahmed, Lelong, Jérôme · 3 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR)
- Improved adaptive Multilevel Monte Carlo and applications to finance
2016/03/09 by Mohamed Ben Alaya, Kaouther Hajji, Alaya, Mohamed Ben +3 · 3 citations
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Probability and Risk Models #Financial Risk and Volatility Modeling
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type
2021/02/26 by Aurélien Alfonsi, Alfonsi, Aurélien, Ahmed Kebaier +1 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #60H35 60G22 91G60 45D05 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
- A pure dual approach for hedging Bermudan options
2024/04/29 by Alfonsi, Aurélien, Kebaier, Ahmed, Lelong, Jérôme · 2 citations
#60G40 #62L15 #65C05 #91G20 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)