87 citations · 148 across the 20 of their papers we have counts for
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q-fin.ST2021★ 1 cited
Deep Calibration of Interest Rates Model
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
For any financial institution, it is essential to understand the behavior of interest rates. Despite the growing use of Deep Learning, for many reasons (expertise, ease of use, etc…
math.PR2021
Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump Lévy process
Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo
Motivated by the multilevel Monte Carlo method introduced by Giles [5], we study the asymptotic behavior of the normalized error process where and $X^{n…
math.PR2021★ 7 cited
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Aurélien Alfonsi, Ahmed Kebaier
In this work, we develop a multifactor approximation for -dimensional Stochastic Volterra Equations (SVE) with Lipschitz coefficients and kernels of completely monotone type tha…