87 citations · 148 across the 20 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.ST2016
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood esti…
math.PR2016★ 2 cited
Improved adaptive Multilevel Monte Carlo and applications to finance
Mohamed Ben Alaya, Kaouther Hajji, Ahmed Kebaier
This paper focuses on the study of an original combination of the Multilevel Monte Carlo method introduced by Giles [10] and the popular importance sampling technique. To compute t…