Recherche - Archive ouverte HAL

33 résultats

	Pour les 33 documents Envoyer sur ORCID RSS ATOM Exporter BibTeX XML-TEI CSV RTF EndNote PDF HTML Export avancé	Page : Page précédente 1 2 Page suivante	triés par Pertinence Auteur A→Z Auteur Z→A Titre A→Z Titre Z→A Date de publication croissante Date de publication décroissante Date de dépôt croissante Date de dépôt décroissante

		Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation Ahmed Kebaier , Jérôme Lelong Methodology and Computing in Applied Probability, 2018, 20 (2), pp.611-641. ⟨10.1007/s11009-017-9579-y⟩ Article dans une revue hal-01214840v4	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach Areski Cousin , Jérôme Lelong , Tom Picard 2023 Pré-publication, Document de travail hal-04086378v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Automatic Control Variates for Option Pricing using Neural Networks Jérôme Lelong , Zineb El Filali Ech-Chafiq , Adil Reghai Monte Carlo Methods and Applications, 2021, 27 (2), pp.91-104. ⟨10.1515/mcma-2020-2081⟩ Article dans une revue hal-02891798v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A closed-form extension to the Black-Cox model Aurélien Alfonsi , Jérôme Lelong International Journal of Theoretical and Applied Finance, 2012, 15 (8), pp.1250053:1-30. ⟨10.1142/S0219024912500537⟩ Article dans une revue hal-00414280v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Rare event simulation for electronic circuit design Xavier Jonsson , Jérôme Lelong MathematicS In Action, 2022, 11 (1), pp.91-108. ⟨10.5802/msia.19⟩ Article dans une revue hal-03346622v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A Parallel Algorithm for solving BSDEs Céline Labart , Jérôme Lelong Monte Carlo Methods and Applications, 2013, 19 (1), pp.11-39. ⟨10.1515/mcma-2013-0001⟩ Article dans une revue hal-00680652v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Classifying and explaining defects with small data for the semiconductor industry Jean-François Boulanger , Franck Corset , Franck Iutzeler , Jérôme Lelong MathematicS In Action, 2022, 11 (1), pp.109-114. ⟨10.5802/msia.20⟩ Article dans une revue hal-03544717v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A framework for adaptive Monte-Carlo procedures Bernard Lapeyre , Jérôme Lelong Monte Carlo Methods and Applications, 2011, 17 (1), pp.77-98. ⟨10.1515/MCMA.2011.002⟩ Article dans une revue hal-00448864v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Pricing Parisian options using Laplace transforms Céline Labart , Jérôme Lelong Bankers Markets & Investors : an academic & professional review, 2009, 99, 24 p Article dans une revue hal-00776703v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Robust Adaptive Importance Sampling for Normal Random Vectors Benjamin Jourdain , Jérôme Lelong The Annals of Applied Probability, 2009, 19 (5), pp.1687-1718. ⟨10.1214/09-AAP595⟩ Article dans une revue hal-00334697v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		How many inner simulations to compute conditional expectations with least-square Monte Carlo? Aurélien Alfonsi , Bernard Lapeyre , Jérôme Lelong Methodology and Computing in Applied Probability, 2023, 25 (3), pp.71. ⟨10.1007/s11009-023-10038-x⟩ Article dans une revue hal-03770051v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Rating transitions forecasting: a filtering approach Areski Cousin , Jérôme Lelong , Tom Picard International Journal of Theoretical and Applied Finance, 2023, 26 (02n03), pp.2350009. ⟨10.1142/S0219024923500097⟩ Article dans une revue hal-03347521v4	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Long time behaviour of a stochastic nanoparticle Pierre Etoré , Stéphane Labbé , Jérôme Lelong Journal of Differential Equations, 2014, 257 (6), pp.2115-2135. ⟨10.1016/j.jde.2014.05.033⟩ Article dans une revue hal-00680775v4	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Dual pricing of American options by Wiener chaos expansion Jérôme Lelong SIAM Journal on Financial Mathematics, 2018, 9 (2), pp.493-519. ⟨10.1137/16M1102161⟩ Article dans une revue hal-01299819v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Stochastic Local Intensity Loss Models with Interacting Particle Systems Aurélien Alfonsi , Céline Labart , Jérôme Lelong Mathematical Finance, 2016, 26 (2), pp.366-394. ⟨10.1111/mafi.12059⟩ Article dans une revue hal-00786239v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture Jean-Philippe Chancelier , Bernard Lapeyre , Jérôme Lelong Concurrency and Computation: Practice and Experience, 2014, 26 (9), pp.1654-1665. ⟨10.1002/cpe.2893⟩ Article dans une revue hal-00447845v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Stein estimation of the intensity of a spatial homogeneous Poisson point process Marianne Clausel , Jean-François Coeurjolly , Jérôme Lelong The Annals of Applied Probability, 2016, 26 (3), pp.1495-1534. ⟨10.1214/15-AAP1124⟩ Article dans une revue hal-01024648v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions Jérôme Lelong Statistics and Probability Letters, 2008, 78 (16), pp.2632-2636. ⟨10.1016/j.spl.2008.02.034⟩ Article dans une revue hal-00152255v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Online Tuning of EASY-Backfilling using Queue Reordering Policies Éric Gaussier , Jérôme Lelong , Valentin Reis , Denis Trystram IEEE Transactions on Parallel and Distributed Systems, 2018, 29 (10), pp.2304-2316. ⟨10.1109/TPDS.2018.2820699⟩ Article dans une revue hal-01963216v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options Christophe de Luigi , Jérôme Lelong , Sylvain Maire Applied Numerical Mathematics, 2016, 100, pp.14-30. ⟨10.1016/j.apnum.2015.11.001⟩ Article dans une revue hal-00746872v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Tuning EASY-Backfilling Queues Jérôme Lelong , Valentin Reis , Denis Trystram 21st Workshop on Job Scheduling Strategies for Parallel Processing, May 2017, Orlando, United States. pp.43-61, ⟨10.1007/978-3-319-77398-8_3⟩ Communication dans un congrès hal-01522459v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Tree methods Jérôme Lelong , Antonino Zanette Rama Cont. Encyclopedia of Quantitative Finance, John Wiley & Sons, Ltd., 7 p., 2010, ⟨10.1002/9780470061602.eqf12017⟩ Chapitre d'ouvrage hal-00776713v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Pricing double barrier Parisian options using Laplace transforms Céline Labart , Jérôme Lelong International Journal of Theoretical and Applied Finance, 2009, 12 (1), pp.19-44. ⟨10.1142/S0219024909005154⟩ Article dans une revue hal-00220470v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Neural network regression for Bermudan option pricing Bernard Lapeyre , Jérôme Lelong Monte Carlo Methods and Applications, 2021, 27 (3), pp.227-247. ⟨10.1515/mcma-2021-2091⟩ Article dans une revue hal-02183587v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Importance sampling for jump processes and applications to finance Laetitia Badouraly Kassim , Jérôme Lelong , Imane Loumrhari The Journal of Computational Finance, 2015, 19 (2), pp.109-139. ⟨10.21314/JCF.2015.292⟩ Article dans une revue hal-00842362v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Quelques contributions aux méthodes numériques probabilistes et à la modélisation stochastique Jérôme Lelong Probability [math.PR]. UGA - Université Grenoble Alpes, 2017 HDR tel-01612297v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Stochastic modelling of thermal effects on a ferromagnetic nano particle Stéphane Labbé , Jérôme Lelong Journal of Dynamics and Differential Equations, 2020, 32, pp.1273-1290. ⟨10.1007/s10884-019-09769-8⟩ Article dans une revue hal-01337197v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options Céline Labart , Jérôme Lelong [Research Report] LAMA-LJK. 2011 Rapport hal-00567729v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Asymptotic normality of randomly truncated stochastic algorithms Jérôme Lelong ESAIM: Probability and Statistics, 2013, 17, pp.105-119. ⟨10.1051/ps/2011110⟩ Article dans une revue hal-00464380v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Pricing Bermudan options using regression trees/random forests Zineb El Filali Ech-Chafiq , Pierre Henry Labordère , Jérôme Lelong SIAM Journal on Financial Mathematics, 2023, 14 (4), pp.1113-1139. ⟨10.1137/21M1460648⟩ Article dans une revue hal-03436046v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More

Filtrer vos résultats

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach

Automatic Control Variates for Option Pricing using Neural Networks

A closed-form extension to the Black-Cox model

Rare event simulation for electronic circuit design

A Parallel Algorithm for solving BSDEs

Classifying and explaining defects with small data for the semiconductor industry

A framework for adaptive Monte-Carlo procedures

Pricing Parisian options using Laplace transforms

Robust Adaptive Importance Sampling for Normal Random Vectors

How many inner simulations to compute conditional expectations with least-square Monte Carlo?

Rating transitions forecasting: a filtering approach

Long time behaviour of a stochastic nanoparticle

Dual pricing of American options by Wiener chaos expansion

Stochastic Local Intensity Loss Models with Interacting Particle Systems

Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture

Stein estimation of the intensity of a spatial homogeneous Poisson point process

Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions

Online Tuning of EASY-Backfilling using Queue Reordering Policies

Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options

Tuning EASY-Backfilling Queues

Tree methods

Pricing double barrier Parisian options using Laplace transforms

Neural network regression for Bermudan option pricing

Importance sampling for jump processes and applications to finance

Quelques contributions aux méthodes numériques probabilistes et à la modélisation stochastique

Stochastic modelling of thermal effects on a ferromagnetic nano particle

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

Asymptotic normality of randomly truncated stochastic algorithms

Pricing Bermudan options using regression trees/random forests