Hosted by cogitel-forum. |
Publications
Filters: Keyword is numerical integration [Clear All Filters]
"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
"Quantization based filtering method using first order approximation",
SIAM journal on numerical analysis, vol. 47, issue 6, pp. 4711-4734 , 2010.
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)
"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)
"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)
The Nyström method for functional quantization with an application to the fractional Brownian motion,
, 2010.
Abstract
Download: nystrom_quantization.pdf (457.33 KB)
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 KB)
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)