87 citations · 148 across the 20 of their papers we have counts for
24 papers
Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
Aurélien Alfonsi, Ahmed Kebaier
For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using…
How can the dual martingale help solving the primal optimal stopping problem?
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can impro…
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results…
Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within…
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…
Data-driven uncertainty quantification for constrained stochastic differential equations and application to solar photovoltaic power forecast data
Khaoula Ben Chaabane, Ahmed Kebaier, Marco Scavino +1
In this work, we extend the data-driven Itô stochastic differential equation (SDE) framework for the pathwise assessment of short-term forecast errors to account for the time-depen…