3 papers
q-fin.PR2009
Coupling Index and Stocks
Benjamin Jourdain, Mohamed Sbai
In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a mode…
math.PR2009
High order discretization schemes for stochastic volatility models
Benjamin Jourdain, Mohamed Sbai
In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an autonomous one-dimensional stochastic differential equation. We…
q-fin.CP2007
Exact retrospective Monte Carlo computation of arithmetic average Asian options
Benjamin Jourdain, Mohamed Sbai
Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional in…