Kebiri, Omar
- α-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
2021/08/16 by Zaineb Mezdoud, Carsten Hartmann, Mezdoud, Zaineb +5 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #35Q93 #91G30 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probabilistic and Robust Engineering Design #Probability (math.PR) #Stochastic processes and financial applications
- Adaptive importance sampling with forward-backward stochastic\n differential equations
2018/02/14 by Omar Kebiri, Lara Neureither, Kebiri, Omar +3 · 1 citation
Decision Sciences · Mathematics · #65C05 (primary) #65C30 #92C40 (secondary) #Dynamical Systems (math.DS) #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and statistical mechanics