26 citations · 87 across the 17 of their papers we have counts for
14 papers · 1 filter
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…
Neural network regression for Bermudan option pricing
Bernard Lapeyre, Jérôme Lelong
The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectati…
Stochastic modelling of thermal effects on a ferromagnetic nano particle
Stéphane Labbé, Jérôme Lelong
In this work, we are interested in the behaviour of a single ferromagnetic mono--domain particle submitted to an external field with a stochastic perturbation. This model is a step…
Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
Ahmed Kebaier, Jérôme Lelong
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters…
Importance sampling for jump processes and applications to finance
Laetitia Badouraly Kassim, Jérôme Lelong, Imane Loumrhari
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approac…