Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Kamal Boukhetala"'
Publikováno v:
Journal of Statistical Software, Vol 96, Iss 1, Pp 1-82 (2020)
We introduce Sim.DiffProc, an R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, analyze, and visualize
Externí odkaz:
https://doaj.org/article/cf8104daee84413c8f4539a22512e61e
Autor:
Kamal Boukhetala, Mohamed Amine Kacef
The Istanbul options were first introduced by Michel Jacques in 1997. These derivatives are considered as an extension of the Asian options. In this paper, we propose an analytical approximation formula for a geometric Istanbul call option (GIC) unde
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52d013cc50f4791cceeb847ddacbb54b
Publikováno v:
Computational Statistics and Data Analysis
Computational Statistics and Data Analysis, Elsevier, 2016, 104, pp.148-168. ⟨10.1016/j.csda.2016.06.009⟩
Computational Statistics and Data Analysis, 2016, 104, pp.148-168. ⟨10.1016/j.csda.2016.06.009⟩
Computational Statistics and Data Analysis, Elsevier, 2016, 104, pp.148-168. ⟨10.1016/j.csda.2016.06.009⟩
Computational Statistics and Data Analysis, 2016, 104, pp.148-168. ⟨10.1016/j.csda.2016.06.009⟩
Bayesian estimation of the tail index of a heavy-tailed distribution is addressed when data are randomly right-censored. Maximum a posteriori and mean posterior estimators are constructed for various prior distributions of the tail index. Convergence
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22810ce7350aedd06cf160efe3a7c0b4
https://hal.archives-ouvertes.fr/hal-01071496
https://hal.archives-ouvertes.fr/hal-01071496
Publikováno v:
Statistical Models and Methods for Reliability and Survival Analysis
Couaillier Vincent; Gerville-Reache Leo; Huber-Carol Catherine; Limnios Nikolaos; Mesbah Mounir. Statistical Models and Methods for Reliability and Survival Analysis, Wiley-ISTE, pp.297-310, 2013, Mathematics and Statistics Series, 978-1-84821-619-8
Couaillier Vincent; Gerville-Reache Leo; Huber-Carol Catherine; Limnios Nikolaos; Mesbah Mounir. Statistical Models and Methods for Reliability and Survival Analysis, Wiley-ISTE, pp.297-310, 2013, Mathematics and Statistics Series, 978-1-84821-619-8
International audience
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1325bfedee8f72a3c32cc09803a11f59
https://doi.org/10.1002/9781118826805.ch19
https://doi.org/10.1002/9781118826805.ch19
Autor:
Kamal Boukhetala, Arsalane Guidoum
The Sim.DiProc package provides a simulation of diffusion processes and the differences methods of simulation of solutions for stochastic differential equations (SDEs) of the Ito's type, in financial and actuarial modeling and other areas of applicat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::54f55e1754531245b7ad9f87af78b55c
https://hal.archives-ouvertes.fr/hal-00629841/document
https://hal.archives-ouvertes.fr/hal-00629841/document
Autor:
Kacef, Mohamed Amine
Publikováno v:
Pricing [q-fin.PR]. Université des Sciences et de la Technologie Houari Boumediène (Algérie), 2021. Français
In this thesis, we studied the problem of the first passage time in options pricing which are financial products allowing the transfer of risks related to the stochastic dynamics of financial markets. In this framework, we developed a new derivative
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9917500ed41bad9e141ae87d95186725
https://tel.archives-ouvertes.fr/tel-03279247/document
https://tel.archives-ouvertes.fr/tel-03279247/document