153 citations · 427 across the 46 of their papers we have counts for
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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.PR2009★ 4 cited
Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities
Romuald Elie, Idris Kharroubi
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component o…
math.PR2009★ 1 cited
Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections
Romuald Elie, Idris Kharroubi
This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of…