output
20122022
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2015Show all

6 papers · 1 filter

q-fin.MF2015

Equilibrium pricing under relative performance concerns

Jana Bielagk, Arnaud Lionnet, Goncalo Dos Reis

We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced…

math.PR2015★ 2 cited

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier, Jérôme Lelong

In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters…

q-fin.PR2015★ 19 cited

Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

Ludovic Goudenege, Andrea Molent, Antonino Zanette

Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and…

math.AP2015★ 1 cited

Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data

Benjamin Jourdain, Julien Reygner

Brenier and Grenier [SIAM J. Numer. Anal., 1998] proved that sticky particle dynamics with a large number of particles allow to approximate the entropy solution to scalar one-dimen…

math.PR2015

Simulation of BSDEs with jumps by Wiener Chaos Expansion

Christel Geiss, Céline Labart

We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case…

math.PR2015

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

Roxana Dumitrescu, Céline Labart

We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an…