Ahmed Kebaier

activity

20062026

most citedStatistical Romberg extrapolation: A new variance reduction method and applications to option pricing

87 citations · 148 across the 20 of their papers we have counts for

collaborators

Showing 2020Show all

2 papers · 1 filter

stat.ME2020★ 8 cited

Quantifying Uncertainty with a Derivative Tracking SDE Model and Application to Wind Power Forecast Data

Renzo Caballero, Ahmed Kebaier, Marco Scavino +1

We develop a data-driven methodology based on parametric Itô's Stochastic Differential Equations (SDEs) to capture the real asymmetric dynamics of forecast errors. Our SDE framewor…

math.PR2020★ 2 cited

Central Limit Theorem for the $σ$ -antithetic multilevel Monte Carlo method

Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo

In this paper, we introduce the $σ$ -antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLM…

Quantifying Uncertainty with a Derivative Tracking SDE Model and Application to Wind Power Forecast Data

Central Limit Theorem for the σ-antithetic multilevel Monte Carlo method

Central Limit Theorem for the $σ$ -antithetic multilevel Monte Carlo method