Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Bentata, Amel"'
Publikováno v:
Journal of Risk Management in Financial Institutions. Spring2024, Vol. 17 Issue 2, p213-230. 18p.
Autor:
Bentata, Amel
Cette thèse porte sur l'étude mathématique du problème de projection Markovienne d'un processus aléatoire: il s'agit de construire, étant donné un processus aléatoire ξ, un processus de Markov ayant à chaque instant la même distribution qu
Externí odkaz:
http://tel.archives-ouvertes.fr/tel-00766235
http://tel.archives-ouvertes.fr/docs/00/76/62/35/PDF/These.pdf
http://tel.archives-ouvertes.fr/docs/00/76/62/35/PDF/These.pdf
Autor:
Bentata, Amel, Cont, Rama
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We
Externí odkaz:
http://arxiv.org/abs/1202.1302
Autor:
Cont, Rama, Bentata, Amel
Publikováno v:
Finance and Stochastics, July 2015, Volume 19, Issue 3, pp 617-65
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness theorem is gi
Externí odkaz:
http://arxiv.org/abs/1001.1380
Autor:
Bentata, Amel, Cont, Rama
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our constructi
Externí odkaz:
http://arxiv.org/abs/0910.3992
Autor:
Bentata, Amel, Yor, Marc
These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.
Externí odkaz:
http://arxiv.org/abs/0807.0788
Autor:
Bentata, Amel, Yor, Marc
These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.
Externí odkaz:
http://arxiv.org/abs/0806.0239
Autor:
Bentata, Amel
In this short note, the identity in law, which was obtained by P. Salminen, between on one hand, the Ornstein-Uhlenbeck process with parameter gamma, killed when it reaches 0, and on the other hand, the 3-dimensional radial Ornstein-Uhlenbeck process
Externí odkaz:
http://arxiv.org/abs/0801.3261
Autor:
Bentata, Amel, Nguyen, Laurent
Publikováno v:
Journal of Risk Management in Financial Institutions. Spring2022, Vol. 15 Issue 2, p142-154. 13p.
Autor:
Bentata, Amel1 Rama.Cont@upmc.fr, Cont, Rama1 Amel.Bentata@gmail.com
Publikováno v:
Finance & Stochastics. Jul2015, Vol. 19 Issue 3, p617-651. 35p.