Jérôme Lelong

Available identifiers

zbMath Open lelong.jeromeMaRDI QIDQ303953

List of research outcomes

Publication	Date of Publication	Type
Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach	2025-01-27	Paper
Pricing Bermudan Options Using Regression Trees/Random Forests	2023-11-23	Paper
RATING TRANSITIONS FORECASTING: A FILTERING APPROACH	2023-09-08	Paper
How many inner simulations to compute conditional expectations with least-square Monte Carlo?	2023-07-25	Paper
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach	2023-05-03	Paper
Rare event simulation for electronic circuit design	2022-11-08	Paper
Classifying and explaining defects with small data for the semiconductor industry	2022-11-08	Paper
Neural network regression for Bermudan option pricing	2021-11-03	Paper
Rare event simulation for electronic circuit design	2021-09-17	Paper
Automatic control variates for option pricing using neural networks	2021-07-14	Paper
Stochastic modelling of thermal effects on a ferromagnetic nano particle	2020-08-06	Paper
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach	2019-01-17	Paper
Coupling importance sampling and multilevel Monte Carlo using sample average approximation	2018-08-14	Paper
Dual Pricing of American Options by Wiener Chaos Expansion	2018-08-10	Paper
Stein estimation of the intensity of a spatial homogeneous Poisson point process	2016-08-23	Paper
Stochastic local intensity loss models with interacting particle systems	2016-04-14	Paper
Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options	2015-12-18	Paper
Long time behaviour of a stochastic nanoparticle	2014-07-07	Paper
Asymptotic normality of randomly truncated stochastic algorithms	2014-04-10	Paper
Importance sampling for jump processes and applications to finance	2013-07-08	Paper
A parallel algorithm for solving BSDEs	2013-04-12	Paper
A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL	2013-03-12	Paper
Adaptive numerical integration and control variates for pricing Basket Options	2012-10-29	Paper
A framework for adaptive Monte Carlo procedures	2011-04-19	Paper
Robust adaptive importance sampling for normal random vectors	2010-07-13	Paper
https://portal.mardi4nfdi.de/entity/Q3550812	2010-04-06	Paper
Asymptotic normality of randomly truncated stochastic algorithms	2010-03-25	Paper
PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS	2009-06-23	Paper
Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions	2008-11-14	Paper
A pure dual approach for hedging Bermudan options	N/A	Paper

Research outcomes over time

This page was built for person: Jérôme Lelong