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Publications
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"A quantization algorithm for solving multidimensional optimal stopping problems, preprint",
University de Paris VI, pp. 1003–1049, 2001.
Abstract
"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)
"Quantization of probability distributions under norm-based distortion measures II: Self-similar distributions",
Journal of Mathematical Analysis and Applications, vol. 318, no. 2, pp. 507 - 516, 2006.
Abstract
"The quantization dimension of self-similar probabilities",
Math. Nachrichten, vol. 241, pp. 103-109 , 2002.
"The quantization of the Cantor distribution",
Math. Nachrichten, vol. 183, pp. 113-133, 1997.
Abstract
"Quantization for probability measures in the Prokhorov metric",
Theory Probab. Appl., vol. 53, pp. 216-241, 2009.
Abstract
"Quantization for probability measures with respect to the geometric mean error",
Math. Proc. Cambridge Phil. Soc., vol. 136, pp. 687-717, 2004.
"Quantization based filtering method using first order approximation",
SIAM journal on numerical analysis, vol. 47, issue 6, pp. 4711-4734 , 2010.
Abstract