Mohamed Sbai und Benjamin Jourdain - Info zur Person

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Seminar on Stochastic Analysis, Random Fields and Applications VII:...

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c⃝ Springer Basel Efficient Second-order Weak Scheme for Stochastic Volatility Models Benjamin Jourdain and Mohamed Sbai Abstract. Stochastic ...

[ v1] Coupling Index and Stocks

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Authors: Benjamin Jourdain (CERMICS), Mohamed Sbai (CERMICS). (Submitted on 15 Nov 2009). Abstract: In this paper, we are interested in continuous time ...

High Order Discretization Schemes for Stochastic Volatility Modelspapers.ssrn.com › sol3 › papers

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· Mohamed Sbai · Benjamin Jourdain · Do you have a job opening that you would like to promote on SSRN? · Paper statistics · Related eJournals.

Mathematics authors/titles Apr (960 skipped)

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Comments: 7 pages, 3 figures, 2 tables; Version 2 - math nomenclature fine-tuned ... Benjamin Jourdain (CERMICS), Mohamed Sbai (CERMICS)

Coupling Index and Stocks by Benjamin Jourdain, Mohamed Sbai :: SSRN

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In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisel

EconPapers: High order discretization schemes for stochastic...

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By Benjamin Jourdain and Mohamed Sbai; Abstract: In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an

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Contents of the 13th Volume

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Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation Benjamin Jourdain and Mohamed Sbai

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