2 citations · 3 across the 4 of their papers we have counts for
6 papers
Universal approximation by signatures for infinite-dimensional rough paths
Sonja Cox, Asma Khedher, Thijs Maessen
We establish universal approximation theorems for infinite-dimensional geometric rough paths, i.e., we show that continuous functions on the space of infinite-dimensional weakly ge…
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
A dynamic optimal reinsurance strategy with capital injections in the Cramer-Lundberg model
Zakaria Aljaberi, Asma Khedher, Mohamed Mnif
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of…
Calibration of the rating transition model for high and low default portfolios
Jian He, Asma Khedher, Peter Spreij
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models ar…
A dimension reduction approach for loss valuation in credit risk modelling
Jian He, Asma Khedher, Peter Spreij
This paper addresses the ``curse of dimensionality'' in the loss valuation of credit risk models. A dimension reduction methodology based on the Bayesian filter and smoother is pro…
Liquidity-free implied volatilities: an approach using conic finance
Matteo Michielon, Asma Khedher, Peter Spreij
We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an ap…