| Publication | Date of Publication | Type |
|---|
A pure dual approach for hedging Bermudan options
Mathematical Finance | 2025-09-30 | Paper |
Data-driven uncertainty quantification for constrained stochastic differential equations and application to solar photovoltaic power forecast data
Statistics and Computing | 2025-09-05 | Paper |
Asymptotic behavior of a multilevel type error for SDEs driven by a pure jump Lévy process
Theory of Probability and its Applications | 2025-08-07 | Paper |
Local asymptotic properties for the growth rate of a jump-type CIR process
Stochastic Processes and their Applications | 2025-06-30 | Paper |
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Mathematics of Computation | 2024-01-02 | Paper |
Adaptive importance sampling for multilevel Monte Carlo Euler method
Stochastics | 2023-07-03 | Paper |
| The interpolated drift implicit Euler scheme Multilevel Monte Carlo method for pricing Barrier options and applications to the CIR and CEV models | 2022-10-03 | Paper |
Central limit theorem for the antithetic multilevel Monte Carlo method
The Annals of Applied Probability | 2022-09-05 | Paper |
Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
Statistics and Computing | 2021-12-10 | Paper |
Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations
Scandinavian Journal of Statistics | 2021-06-22 | Paper |
| Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump L\'evy process | 2021-04-28 | Paper |
Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
Electronic Journal of Probability | 2019-05-16 | Paper |
Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
Electronic Journal of Probability | 2019-05-16 | Paper |
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
Statistics | 2019-05-15 | Paper |
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
Statistics | 2019-05-15 | Paper |
| Local asymptotic properties for the growth rate of a jump-type CIR process | 2019-02-28 | Paper |
Coupling importance sampling and multilevel Monte Carlo using sample average approximation
Methodology and Computing in Applied Probability | 2018-08-14 | Paper |
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Journal of Statistical Planning and Inference | 2018-06-21 | Paper |
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Journal of Statistical Planning and Inference | 2018-06-21 | Paper |
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
Stochastic Processes and their Applications | 2018-04-13 | Paper |
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
Stochastic Processes and their Applications | 2018-04-13 | Paper |
Maximum likelihood estimation for Wishart processes
Stochastic Processes and their Applications | 2016-10-12 | Paper |
Importance sampling and statistical Romberg method for Lévy processes
Stochastic Processes and their Applications | 2016-04-20 | Paper |
| Improved adaptive Multilevel Monte Carlo and applications to finance | 2016-03-09 | Paper |
Importance sampling and statistical Romberg method
Bernoulli | 2015-10-30 | Paper |
Central limit theorem for the multilevel Monte Carlo Euler method
The Annals of Applied Probability | 2015-02-26 | Paper |
Central limit theorem for the multilevel Monte Carlo Euler method
The Annals of Applied Probability | 2015-02-26 | Paper |
Multilevel Monte Carlo for Asian options and limit theorems
Monte Carlo Methods and Applications | 2014-09-17 | Paper |
Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
Stochastic Analysis and Applications | 2013-08-27 | Paper |
Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
Stochastic Models | 2012-12-20 | Paper |
Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth
Stochastic Analysis and Applications | 2012-04-18 | Paper |
Théorèmes limites avec poids pour les martingales vectorielles à temps continu
ESAIM: Probability and Statistics | 2010-03-15 | Paper |
Théorèmes limites avec poids pour les martingales vectorielles à temps continu
ESAIM: Probability and Statistics | 2010-03-15 | Paper |
An optimal control variance reduction method for density estimation
Stochastic Processes and their Applications | 2009-01-16 | Paper |
Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
The Annals of Applied Probability | 2006-07-10 | Paper |
A pure dual approach for hedging Bermudan options
(available as arXiv preprint) | N/A | Paper |
