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Jérôme LELONG
Jérôme LELONG
Professor, Univ. Grenoble Alpes
Adresă de e-mail confirmată pe univ-grenoble-alpes.fr
Titlu
Citat de
Citat de
Anul
Robust adaptive importance sampling for normal random vectors
B Jourdain, J Lelong
592009
Neural network regression for Bermudan option pricing
B Lapeyre, J Lelong
Monte Carlo Methods and Applications 27 (3), 227-247, 2021
572021
A framework for adaptive Monte Carlo procedures
B Lapeyre, J Lelong
Walter de Gruyter GmbH & Co. KG 17 (1), 77-98, 2011
402011
Pricing double barrier Parisian options using Laplace transforms
C Labart, J Lelong
International Journal of Theoretical and Applied Finance 12 (01), 19-44, 2009
392009
Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions
J Lelong
Statistics & Probability Letters 78 (16), 2632-2636, 2008
382008
Coupling importance sampling and multilevel Monte Carlo using sample average approximation
A Kebaier, J Lelong
Methodology and computing in applied probability 20, 611-641, 2018
362018
Tuning easy-backfilling queues
J Lelong, V Reis, D Trystram
Job Scheduling Strategies for Parallel Processing: 21st International …, 2018
342018
Online tuning of EASY-backfilling using queue reordering policies
E Gaussier, J Lelong, V Reis, D Trystram
IEEE Transactions on Parallel and Distributed Systems 29 (10), 2304-2316, 2018
332018
STochastic OPTimization library in C++
H Gevret, N Langrené, J Lelong, RD Lobato, T Ouillon, X Warin, ...
EDF Lab, 2018
262018
A parallel algorithm for solving BSDEs
C Labart, J Lelong
Monte Carlo Methods and Applications 19 (1), 11-39, 2013
252013
Dual pricing of American options by Wiener chaos expansion
J Lelong
SIAM Journal on Financial Mathematics 9 (2), 493-519, 2018
232018
Pricing Parisian options using Laplace transforms
C Labart, J Lelong
Bankers Markets & Investors: an academic & professional review 99, 24 pages, 2009
152009
Pricing parisian options
C Labart, J Lelong
École polytechnique, 2005
132005
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
J Lelong
arXiv preprint arXiv:1901.05672, 2019
102019
Asymptotic normality of randomly truncated stochastic algorithms
J Lelong
ESAIM: Probability and Statistics 17, 105-119, 2013
102013
A Parallel Algorithm for solving BSDEs-Application to the pricing and hedging of American options
C Labart, J Lelong
arXiv preprint arXiv:1102.4666, 2011
102011
Etude asymptotique des algorithmes stochastiques et calcul des prix des options Parisiennes
J Lelong
Ecole Nationale des Ponts et Chaussées, 2007
102007
Stochastic local intensity loss models with interacting particle systems
A Alfonsi, C Labart, J Lelong
Mathematical Finance 26 (2), 366-394, 2016
92016
Long time behaviour of a stochastic nanoparticle
P Etoré, S Labbé, J Lelong
Journal of Differential Equations 257 (6), 2115-2135, 2014
92014
Importance sampling for jump processes and applications to finance
LB Kassim, J Lelong, I Loumrhari
arXiv preprint arXiv:1307.2218, 2013
92013
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Articole 1–20