26 citations · 87 across the 17 of their papers we have counts for
22 papers
A pure dual approach for hedging Bermudan options
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Roge…
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
Areski Cousin, Jérôme Lelong, Tom Picard
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-…
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Aurélien Alfonsi, Bernard Lapeyre, Jérôme Lelong
The problem of computing the conditional expectation E[f (Y)|X] with least-square Monte-Carlo is of general importance and has been widely studied. To solve this problem, it is usu…
Pricing Bermudan options using regression trees/random forests
Zineb El Filali Ech-Chafiq, Pierre Henry-Labordere, Jérôme Lelong
The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the c…
Rare event simulation for electronic circuit design
Xavier Jonsson, Jérôme Lelong
In this work, we propose an algorithm to simulate rare events for electronic circuit design. Our approach heavily relies on a smart use of importance sampling, which enables us to…
Rating transitions forecasting: a filtering approach
Areski Cousin, Jérôme Lelong, Tom Picard
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from…