62 citations · 292 across the 13 of their papers we have counts for
14 papers
Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization
Vincent Lemaire, Thibaut Montes, Gilles Pagès
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we int…
Quantization-based Bermudan option pricing in the world
Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes +1
This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Rever…
New Weak Error bounds and expansions for Optimal Quantization
Vincent Lemaire, Thibaut Montes, Gilles Pagès
We propose new weak error bounds and expansion in dimension one for optimal quantization-based cubature formula for different classes of functions, such that piecewise affine funct…
Thinning and Multilevel Monte Carlo for Piecewise Deterministic (Markov) Processes. Application to a stochastic Morris-Lecar model
Vincent Lemaire, Michèle Thieullen, Nicolas Thomas
In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also es…
Weak error for nested Multilevel Monte Carlo
Daphné Giorgi, Vincent Lemaire, Gilles Pagès
This article discusses MLMC estimators with and without weights, applied to nested expectations of the form E [f (E [F (Y, Z)|Y ])]. More precisely, we are interested on the assump…
Exact simulation of the jump times of a class of Piecewise Deterministic Markov Processes
Vincent Lemaire, Michèle Thieullen, Nicolas Thomas
In this paper, we are interested in the exact simulation of a class of Piecewise Deterministic Markov Processes (PDMP). We show how to perform efficient thinning algorithms dependi…