6 papers
Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
Aurélien Alfonsi, Ahmed Kebaier
For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using…
How can the dual martingale help solving the primal optimal stopping problem?
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can impro…
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…
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…
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…
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…