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Publications
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"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
"Error analysis of the quantization algorithm for obstacle problems",
Stochastic Processes & Their Applications, vol. 106(1), 2003.
Abstract
"Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation",
Monte Carlo methods and Applications, vol. 11(1), pp. 57-81, 2005.
Abstract
Download: Quantization filter process optimal stopping.pdf (345.93 KB)
"A quantization tree method for pricing and hedging multidimensional American options",
Mathematical Finance, vol. 15, no. 1, pp. 119-168, 2005.
Abstract
Download: Quantization-Tree.pdf (483.24 KB)
"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)