61 citations · 542 across the 63 of their papers we have counts for
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q-fin.TR2011★ 2 cited
Optimal posting price of limit orders: learning by trading
Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts…
q-fin.CP2011
GPGPUs in computational finance: Massive parallel computing for American style options
Gilles Pagès, Benedikt Wilbertz
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaf…
math.PR2011
Randomized Urn Models revisited using Stochastic Approximation
Sophie Laruelle, Gilles Pagès
This paper presents the link between stochastic approximation and clinical trials based on randomized urn models investigated in Bai and Hu (1999,2005) and Bai, Hu and Shen (2002).…