| Publication | Date of Publication | Type |
|---|
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Methodology and Computing in Applied Probability | 2023-07-25 | Paper |
Economic scenario generators: a risk management tool for insurance
MathematicS In Action | 2022-11-08 | Paper |
Jacobi stochastic volatility factor for the LIBOR market model
Finance and Stochastics | 2022-09-26 | Paper |
Neural network regression for Bermudan option pricing
Monte Carlo Methods and Applications | 2021-11-03 | Paper |
A forward equation for computing derivatives exposure
International Journal of Theoretical and Applied Finance | 2019-05-21 | Paper |
American options by Malliavin calculus and nonparametric variance and bias reduction methods
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Convenient multiple directions of stratification
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
| American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods | 2011-04-27 | Paper |
A framework for adaptive Monte Carlo procedures
Monte Carlo Methods and Applications | 2011-04-19 | Paper |
| scientific article; zbMATH DE number 5181830 (Why is no real title available?) | 2007-08-23 | Paper |
| scientific article; zbMATH DE number 1865950 (Why is no real title available?) | 2003-02-10 | Paper |
| scientific article; zbMATH DE number 1255542 (Why is no real title available?) | 1999-02-28 | Paper |
Hedging Index Options With Few Assets<sup>1</sup>
Mathematical Finance | 1998-04-05 | Paper |
Monte-Carlo methods for the transport and diffusion equations
Mathématiques & Applications (Berlin) | 1997-12-10 | Paper |
| scientific article; zbMATH DE number 845007 (Why is no real title available?) | 1996-02-14 | Paper |
| scientific article; zbMATH DE number 52588 (Why is no real title available?) | 1992-09-18 | Paper |
| scientific article; zbMATH DE number 3234 (Why is no real title available?) | 1992-06-25 | Paper |
Variational inequalities and the pricing of American options
Acta Applicandae Mathematicae | 1990-01-01 | Paper |
Une application de la théorie des excursions à une diffusion réfléchie dégénérée. (An application of the theory of excursions to a degenerated reflected diffusion)
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm
Statistics | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4106971 (Why is no real title available?) | 1989-01-01 | Paper |
A priori bound for the supremum of solutions of stable stochastic differential equations
Stochastics and Stochastic Reports | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4048780 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4055175 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3988391 (Why is no real title available?) | 1986-01-01 | Paper |
