9 citations · 14 across the 5 of their papers we have counts for
6 papers
Properties of the Ornstein-Uhlenbeck bridge
Sylvain Corlay
This paper presents a study of the properties of the Ornstein-Uhlenbeck bridge, specifically, we derive its Karhunen-Loève expansion for any value of the initial variance and mean-…
B-spline techniques for volatility modeling
Sylvain Corlay
This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility models and the pa…
A fast nearest neighbor search algorithm based on vector quantization
Sylvain Corlay
In this article, we propose a new fast nearest neighbor search algorithm, based on vector quantization. Like many other branch and bound search algorithms [1,10], a preprocessing r…
Partial functional quantization and generalized bridges
Sylvain Corlay
In this article, we develop a new approach to functional quantization, which consists in discretizing only a finite subset of the Karhunen-Loève coordinates of a continuous Gaussia…
The Nyström method for functional quantization with an application to the fractional Brownian motion
Sylvain Corlay
In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional B…
Functional quantization-based stratified sampling methods
Sylvain Corlay, Gilles Pagès
In this article, we propose several quantization-based stratified sampling methods to reduce the variance of a Monte Carlo simulation. Theoretical aspects of stratification lead to…