87 citations · 148 across the 20 of their papers we have counts for
3 papers · 1 filter
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…