Search results
Results: 17
Number of items: 17
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He, J., Khedher, A., & Spreij, P. J. C. (2021). A Kalman particle filter for online parameter estimation with applications to affine models. Statistical Inference for Stochastic Processes, 24(3), 353-403. https://doi.org/10.1007/s11203-021-09239-3 -
Michielon, M., Khedher, A., & Spreij, P. (2021). Liquidity-free implied volatilities: an approach using conic finance. International Journal of Financial Engineering, 8(4), Article 2150041. https://doi.org/10.1142/S2424786321500419
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Benth, F. E., Khedher, A., & Vanmaele, M. (2020). Pricing of commodity derivatives on processes with memory. Risks, 8(1), Article 8. https://doi.org/10.3390/risks8010008
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Daveloose, C., Khedher, A., & Vanmaele, M. (2019). Representations for conditional expectations and applications to pricing and hedging of financial products in Levy and jump-diffusion setting. Stochastic Analysis and Applications, 37(2), 281-319. https://doi.org/10.1080/07362994.2018.1561306
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Sun, X., Schulz, T., Khedher, A., & Vanmaele, M. (2017). Model risk and discretisation of locally risk-minimising strategies. Journal of Computational and Applied Mathematics, 311, 38-53. https://doi.org/10.1016/j.cam.2016.07.009
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Khedher, A., & Vanmaele, M. (2016). Discretisation of FBSDEs driven by càdlàg martingales. Journal of Mathematical Analysis and Applications, 435(1), 508-531. https://doi.org/10.1016/j.jmaa.2015.10.022
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Daveloose, C., Khedher, A., & Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. Journal of Computational and Applied Mathematics, 296, 56-88. https://doi.org/10.1016/j.cam.2015.09.005
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