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math.ST2022
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Aurélien Alfonsi, Bernard Lapeyre, Jérôme Lelong
The problem of computing the conditional expectation E[f (Y)|X] with least-square Monte-Carlo is of general importance and has been widely studied. To solve this problem, it is usu…
math.ST2015
Maximum Likelihood Estimation for Wishart processes
Aurélien Alfonsi, Ahmed Kebaier, Clément Rey
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the est…