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Publications
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"Quantization based filtering method using first order approximation",
SIAM journal on numerical analysis, vol. 47, issue 6, pp. 4711-4734 , 2010.
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)
"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)
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
The Nyström method for functional quantization with an application to the fractional Brownian motion,
, 2010.
Abstract
Download: nystrom_quantization.pdf (457.33 KB)