| Publication | Date of Publication | Type |
|---|
Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
Applied Mathematical Finance | 2025-01-27 | Paper |
Pricing Bermudan Options Using Regression Trees/Random Forests
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
International Journal of Theoretical and Applied Finance | 2023-09-08 | Paper |
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Methodology and Computing in Applied Probability | 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
MathematicS In Action | 2022-11-08 | Paper |
Classifying and explaining defects with small data for the semiconductor industry
MathematicS In Action | 2022-11-08 | Paper |
Neural network regression for Bermudan option pricing
Monte Carlo Methods and Applications | 2021-11-03 | Paper |
Rare event simulation for electronic circuit design
(available as arXiv preprint) | 2021-09-17 | Paper |
Automatic control variates for option pricing using neural networks
Monte Carlo Methods and Applications | 2021-07-14 | Paper |
Stochastic modelling of thermal effects on a ferromagnetic nano particle
Journal of Dynamics and Differential Equations | 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
Methodology and Computing in Applied Probability | 2018-08-14 | Paper |
Dual pricing of American options by Wiener chaos expansion
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Stein estimation of the intensity of a spatial homogeneous Poisson point process
The Annals of Applied Probability | 2016-08-23 | Paper |
Stein estimation of the intensity of a spatial homogeneous Poisson point process
The Annals of Applied Probability | 2016-08-23 | Paper |
Stochastic local intensity loss models with interacting particle systems
Mathematical Finance | 2016-04-14 | Paper |
Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options
Applied Numerical Mathematics | 2015-12-18 | Paper |
Long time behaviour of a stochastic nanoparticle
Journal of Differential Equations | 2014-07-07 | Paper |
Asymptotic normality of randomly truncated stochastic algorithms
ESAIM: Probability and Statistics | 2014-04-10 | Paper |
| Importance sampling for jump processes and applications to finance | 2013-07-08 | Paper |
A parallel algorithm for solving BSDEs
Monte Carlo Methods and Applications | 2013-04-12 | Paper |
A closed-form extension to the Black-Cox model
International Journal of Theoretical and Applied Finance | 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
Monte Carlo Methods and Applications | 2011-04-19 | Paper |
Robust adaptive importance sampling for normal random vectors
The Annals of Applied Probability | 2010-07-13 | Paper |
| Asymptotic study of stochastic algorithms and price calculations of Parisian options. | 2010-04-06 | Paper |
| Asymptotic normality of randomly truncated stochastic algorithms | 2010-03-25 | Paper |
PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
International Journal of Theoretical and Applied Finance | 2009-06-23 | Paper |
Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
Statistics & Probability Letters | 2008-11-14 | Paper |
A pure dual approach for hedging Bermudan options
(available as arXiv preprint) | N/A | Paper |
