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Publications
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"Optimal quantization methods for nonlinear filtering with discrete-time observations",
Bernoulli, vol. 11(5), 2005.
Abstract
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 KB)
"Optimal quadratic quantization for numerics: the Gaussian case",
Monte Carlo Methods and Applications, vol. 9, pp. 135–166, 2003.
Abstract
Download: Gaussian Case.pdf (563.34 KB)
"An optimal Markovian quantization algorithm for multidimensional stochastic control problems",
Stochastics and Dynamics, vol. 4(4), pp. 501-545, 2004.
Abstract
"Optimal quantization for Finance: from random vectors to stochastic processes",
Handbook of Numerical Analysis, vol. 15, 2008.
Abstract
Download: Handbook_2008_Quantization_in_finance.pdf (478.77 KB)
"A space quantization method for numerical integration",
J. Comput. Appl. Math., vol. 89, no. 1, Amsterdam, The Netherlands, Elsevier Science Publishers B. V., pp. 1–38, 1998.
Abstract
"Pricing path-dependent options using optimized functional quantization",
Numerical Methods in Finance, 2006.
Download: Pricing Path Dependent Option Using Functional Quantization.pdf (762.71 KB)
Convergence of multi-dimensional quantized SDE's,
, 2010.
Abstract
Download: Pages_Sellami_Quantized_SDE.pdf (356.05 KB)
"Méthodes de quantification optimale pour le filtrage et applications à la finance",
Applied mathematics: Université Paris Dauphine, 2005.
Abstract
Download: PhD_AfefSELLAMI.pdf (1.35 MB)Introduction_Sellami.pdf (248.72 KB)