35 citations · 41 across the 11 of their papers we have counts for
14 papers
On Conditional least squares estimation for the AD(1,n) model
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of AD(1, n) where n is a positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic,…
Maximum likelihood estimation in the ergodic Volterra Ornstein-Uhlenbeck process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study statistical inference of the drift parameters for the Volterra Ornstein-Uhlenbeck process on R in the ergodic regime. For continuous-time observations, we derive the corre…
Asymptotic properties of AD(1, n) model and its maximum likelihood estimator
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of affine diffusions in denoted by where is a positive integer wh…
Mathematical analysis of a delayed SEIRDS epidemics models: deterministic and stochastic approach
Mohamed Ben Alaya, Walid Ben Aribi, Slimane Ben Miled
The primary goal of this research is to investigate the impact of delay on the dynamics of the Susceptible-Exposed-Infected-Recovered-Death and Susceptible (SEIRDS) model, to which…
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…
Central Limit Theorem for the -antithetic multilevel Monte Carlo method
Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo
In this paper, we introduce the -antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLM…
Local asymptotic properties for the growth rate of a jump-type CIR process
Mohamed Ben Alaya, Ahmed Kebaier, Gyula Pap +1
In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven by a Brownian motion and a subordinator, whose growth rate is an unknown parameter. Conside…
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable Lévy process, and we study asymptotic properties of…
Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations
Mohamed Ben Alaya, Ahmed Kebaier, Ngoc Khue Tran
In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at…
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…
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…
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…
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…
Importance Sampling and Statistical Romberg Method for Lévy Processes
M. Ben Alaya, K. Hajji, A. Kebaier
An important family of stochastic processes arising in many areas of applied probability is the class of Lévy processes. Generally, such processes are not simulatable especially fo…