87 citations · 148 across the 20 of their papers we have counts for
4 papers · 1 filter
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…
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can b…
Maximum Likelihood Estimation for Wishart processes
Aurélien Alfonsi, Ahmed Kebaier, Clément Rey
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the est…
Central limit theorem for the multilevel Monte Carlo Euler method
Mohamed Ben Alaya, Ahmed Kebaier
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classica…