Nombre de documents

17

CV de Damien Lamberton


Article dans une revue17 documents

  • Aych Bouselmi, Damien Lamberton. The critical price of the American put near maturity in the jump diffusion model. SIAM Journal on Financial Mathematics, SIAM, 2016, 7 (1), pp.236-272. <10.1137/140965910>. <hal-00979936v2>
  • Lokman Abbas-Turki, Damien Lamberton. European Options Sensitivity with Respect to the Correlation for Multidimensional Heston Models. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2014, 17 (03), pp.DOI: 10.1142/S0219024914500150. <hal-00867887>
  • Damien Lamberton, Mihail Zervos. On the Optimal Stopping of a One-dimensional Diffusion. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2013, 18 (34), pp.1-49. <10.1214/EJP.v18-2182>. <hal-00720149>
  • Damien Lamberton, Mohammed Mikou. The smooth-fit property in an exponential Lévy model. Journal of Applied Probability, Applied Probability Trust, 2012, 49 (1), pp.137-149. <hal-00677327>
  • Damien Lamberton, Mohammed Mikou. Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model. Finance and Stochastics, Springer Verlag (Germany), 2012, 17 (2), pp.355-394. <10.1007/s00780-012-0194-z>. <hal-00796717>
  • El Hadj Aly Dia, Damien Lamberton. Continuity correction for barrier options in jump-diffusion models. SIAM Journal on Financial Mathematics, SIAM, 2011, 2 (1), pp.866-900. <10.1137/100817553>. <hal-00547668>
  • El Hadj Aly Dia, Damien Lamberton. Connecting discrete and continuous lookback or hindsight options in exponential Lévy models. Advances in Applied Probability, Applied Probability Trust, 2011, 43 (4), pp.1136-1165. <hal-00520227v2>
  • Damien Lamberton. Optimal stopping with irregular reward functions. Stochastic Processes and their Applications, Elsevier, 2009, 119 (10), pp.3253-3284. <hal-00796701>
  • Damien Lamberton, Gilles Pagès. A penalized bandit algorithm. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2008, 13, 341-373 ; http://dx.doi.org/10.1214/EJP.v13-489. <10.1214/EJP.v13-489>. <hal-00012187>
  • Damien Lamberton, Gilles Pagès. How fast is the bandit?. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2008, 26 (3), pp.603-623. <10.1080/07362990802007202>. <hal-00012182>
  • Damien Lamberton, Mohammed Mikou. The critical price for the American put in an exponential Levy model. Finance and Stochastics, Springer Verlag (Germany), 2008, 12 (4), pp.561--581. <10.1007/s00780-008-0073-9>. <hal-00693063>
  • Emmanuelle Clement, Arturo Kohatsu-Higa, Damien Lamberton. A duality approach for the weak approximation of stochastic differential equations. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2006, 16 (3), pp.1124--1154. <10.1214/105051606000000060>. <hal-00693740>
  • Damien Lamberton. Brownian optimal stopping and random walks. Applied Mathematics and Optimization, Springer Verlag (Germany), 2002, 45 (3), pp.283--324. <10.1007/s00245-001-0033-7>. <hal-00693616>
  • Damien Lamberton, Lcg Rogers. Optimal stopping and embedding. Journal of Applied Probability, Applied Probability Trust, 2000, 37 (4), pp.1143--1148. <hal-00693753>
  • Damien Lamberton. Error estimates for the binomial approximation of American put options. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 1998, 8 (1), pp.206--233. <hal-00694268>
  • Damien Lamberton, H Pham, M Schweizer. Local risk-minimization under transaction costs. Mathematics of Operations Research, INFORMS, 1998, 23 (3), pp.585--612. <10.1287/moor.23.3.585>. <hal-00693905>
  • Nicolas Bouleau, Damien Lamberton. Residual risks and hedging strategies in Markovian markets. Stochastic Processes and their Applications, Elsevier, 1989, 33, pp.131-150. <hal-00017929>