2 citations · 2 across the 5 of their papers we have counts for
6 papers
A posteriori error bounds for the Uncertain Volatility Model
Lokman A Abbas-Turki, Chassagneux Jean-Fran{\c c}ois, Jean-Philippe Lemor +2
We develop a posteriori primal-dual bounds for numerical approximations of European option prices in the Uncertain Volatility Model. Given a smooth candidate approximation of the v…
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Fran{\c c}ois Chassagneux +4
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becom…
An Explicit Scheme for Pathwise XVA Computations
Lokman Abbas-Turki, Stéphane Crépey, Botao Li +1
Motivated by the equations of cross valuation adjustments (XVAs) in the realistic case where capital is deemed fungible as a source of funding for variation margin, we introduce a…
Pathwise CVA Regressions With Oversimulated Defaults
Lokman Abbas-Turki, Stéphane Crépey, Bouazza Saadeddine
We consider the computation by simulation and neural net regression of conditional expectations, or more general elicitable statistics, of functionals of processes . Here…
Impulse Control of a Diffusion with a Change Point
Lokman A. Abbas-Turki, Ioannis Karatzas, Qinghua Li
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is refor…
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
Lokman Abbas-Turki, Bernard Lapeyre
This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use…