10 citations · 15 across the 10 of their papers we have counts for
12 papers
Fair profit sharing ratios of Islamic investment contracts
Abass Sagna
The aim of this work is to calculate the fair profit-sharing ratios and the expected payoffs at maturity for each partner in islamic investment contrats (or instruments), based on…
Conditional survival probabilities under partial information: a recursive quantization approach with applications
Cheikh Mbaye, Abass Sagna, Frédéric Vrins
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic…
A general weak and strong error analysis of the recursive quantization with an application to jump diffusions
Gilles Pagès, Abass Sagna
Observing that the recent developments of the recursive (product) quantization method induces a family of Markov chains which includes all standard discretization schemes of diffus…
Product Markovian quantization of an R^d -valued Euler scheme of a diffusion process with applications to finance
Fiorin Lucio, Gilles Pagès, Abass Sagna
We introduce a new approach to quantize the Euler scheme of an -valued diffusion process. This method is based on a Markovian and componentwise product quantization a…
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
Gilles Pagès
We take advantage of recent and new results on optimal quantization theory to improve the quadratic optimal quantization error bounds for backward stochastic differential equations…
Recursive marginal quantization of the Euler scheme of a diffusion process
Gilles Pagès, Abass Sagna
We propose a new approach to quantize the marginals of the discrete Euler diffusion process. The method is built recursively and involves the conditional distribution of the margin…