Asma Khedher

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Neural network empowered liquidity pricing in a two-price economy under conic finance settings Quantitative Finance	2025-01-06	Paper
Infinite-dimensional Wishart processes Electronic Journal of Probability	2024-10-16	Paper
Proxying credit curves via Wasserstein distances Annals of Operations Research	2024-06-04	Paper
An infinite‐dimensional affine stochastic volatility model Mathematical Finance	2023-09-28	Paper
Infinite-dimensional Wishart-processes	2023-04-07	Paper
Affine pure-jump processes on positive Hilbert-Schmidt operators Stochastic Processes and their Applications	2022-07-27	Paper
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations International Journal of Theoretical and Applied Finance	2021-08-24	Paper
A Kalman particle filter for online parameter estimation with applications to affine models Statistical Inference for Stochastic Processes	2021-08-17	Paper
Utility maximisation and time-change	2019-12-06	Paper
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting Stochastic Analysis and Applications	2019-05-15	Paper
Pricing of spread options on a bivariate jump market and stability to model risk Applied Mathematical Finance	2018-09-18	Paper
Pricing of commodity derivatives on processes with memory	2017-11-01	Paper
Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion The Fascination of Probability, Statistics and their Applications	2017-01-16	Paper
Model risk and discretisation of locally risk-minimising strategies Journal of Computational and Applied Mathematics	2016-12-28	Paper
Quantification of model risk in quadratic hedging in finance Stochastics of Environmental and Financial Economics	2016-04-22	Paper
Robustness of option prices and their deltas in markets modelled by jump-diffusions Communications on Stochastic Analysis	2016-03-04	Paper
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps Applied Mathematics and Optimization	2015-12-23	Paper
Robustness of quadratic hedging strategies in finance via Fourier transforms Journal of Computational and Applied Mathematics	2015-12-21	Paper
Discretisation of FBSDEs driven by càdlàg martingales Journal of Mathematical Analysis and Applications	2015-11-18	Paper
A note on convergence of option prices and their Greeks for Lévy models Stochastics	2014-04-17	Paper
Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models Stochastic Analysis and Applications	2012-06-20	Paper
scientific article; zbMATH DE number 5853093 (Why is no real title available?)	2011-02-18	Paper

Research outcomes over time

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