Asma Khedher
Asma Khedher
Bestätigte E-Mail-Adresse bei uva.nl
Titel
Zitiert von
Zitiert von
Jahr
Robustness of option prices and their deltas in markets modeled by jump-diffusions
FE Benth, G Di Nunno, A Khedher
Communications on Stochastic Analysis 5 (2), 285–307, 2011
262011
Lévy models robustness and sensitivity
FE Benth, G Di Nunno, A Khedher
Quantum Probability And Infinite Dimensional Analysis, 153-184, 2010
142010
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
G Di Nunno, A Khedher, M Vanmaele
Applied Mathematics & Optimization 72 (3), 353-389, 2015
132015
A note on convergence of option prices and their Greeks for Lévy models
FE Benth, GD Nunno, A Khedher
Stochastics An International Journal of Probability and Stochastic Processes …, 2013
102013
Pricing of spread options on a bivariate jump market and stability to model risk
FE Benth, G Di Nunno, A Khedher, MD Schmeck
Applied Mathematical Finance 22 (1), 28-62, 2015
92015
Robustness of quadratic hedging strategies in finance via Fourier transforms
C Daveloose, A Khedher, M Vanmaele
Journal of Computational and Applied Mathematics 296, 56-88, 2016
72016
Discretisation of FBSDEs driven by càdlàg martingales
A Khedher, M Vanmaele
Journal of Mathematical Analysis and Applications 435 (1), 508-531, 2016
72016
Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
A Khedher
Stochastic analysis and applications 30 (3), 403-425, 2012
72012
Computation of greeks in multi-factor models with applications to power and commodity markets
FE Benth, G Di Nunno, A Khedher
Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076, 2010
62010
Weak stationarity of ornstein-uhlenbeck processes with stochastic speed of mean reversion
FE Benth, A Khedher
The Fascination of Probability, Statistics and their Applications, 153-189, 2016
52016
Robustness of option prices and their deltas in markets modelled by jump-diffusions
FE Benth, G Di Nunno, A Khedher
Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076, 2010
52010
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
C Daveloose, A Khedher, M Vanmaele
Submitted paper, 2015
42015
A Kalman particle filter for online parameter estimation with applications to affine models
J He, A Khedher, P Spreij
Statistical Inference for Stochastic Processes, 1-51, 2021
12021
Affine pure-jump processes on positive Hilbert-Schmidt operators
S Cox, S Karbach, A Khedher
arXiv preprint arXiv:2012.10406, 2020
12020
Pricing of commodity derivatives on processes with memory
FE Benth, A Khedher, M Vanmaele
Risks 8 (1), 8, 2020
12020
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
C Daveloose, A Khedher, M Vanmaele
Stochastic Analysis and Applications 37 (2), 281-319, 2019
12019
Model risk and discretisation of locally risk-minimising strategies
X Sun, T Schulz, A Khedher, M Vanmaele
Journal of Computational and Applied Mathematics 311, 38-53, 2017
12017
Quantification of model risk in quadratic hedging in finance
C Daveloose, A Khedher, M Vanmaele
Stochastics of Environmental and Financial Economics, 211-241, 2016
12016
Sensitivity and robustness to model risk in L´ evy and jump-diffusion setting
A Khedher
12011
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
M Michielon, A Khedher, P Spreij
International Journal of Theoretical and Applied Finance, 2021
2021
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