22 citations · 36 across the 3 of their papers we have counts for
3 papers
math.PR2012★ 22 cited
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…
q-fin.CP2009
Double Kernel estimation of sensitivities
Romuald Elie
This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for…
math.PR2007★ 14 cited
Kernel estimation of Greek weights by parameter randomization
Romuald Elie, Jean-David Fermanian, Nizar Touzi
A Greek weight associated to a parameterized random variable is a random variable such that for any function . The importance of the…